Lean
$LEAN_TAG$
IndexedLinkedData.cs
1
/*
2
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4
*
5
* Licensed under the Apache License, Version 2.0 (the "License");
6
* you may not use this file except in compliance with the License.
7
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8
*
9
* Unless required by applicable law or agreed to in writing, software
10
* distributed under the License is distributed on an "AS IS" BASIS,
11
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12
* See the License for the specific language governing permissions and
13
* limitations under the License.
14
*/
15
16
using
NodaTime;
17
using
QuantConnect
.
Data
;
18
using
System;
19
using
System.Collections.Generic;
20
using
System.IO;
21
using
ProtoBuf;
22
23
namespace
QuantConnect.Data.Custom.IconicTypes
24
{
25
/// <summary>
26
/// Data type that is indexed, i.e. a file that points to another file containing the contents
27
/// we're looking for in a Symbol.
28
/// </summary>
29
[ProtoContract(SkipConstructor =
true
)]
30
public
class
IndexedLinkedData
:
IndexedBaseData
31
{
32
/// <summary>
33
/// Example data property
34
/// </summary>
35
[ProtoMember(55)]
36
public
int
Count
{
get
;
set
; }
37
38
/// <summary>
39
/// Determines the actual source from an index contained within a ticker folder
40
/// </summary>
41
/// <param name="config">Subscription configuration</param>
42
/// <param name="date">Date</param>
43
/// <param name="index">File to load data from</param>
44
/// <param name="isLiveMode">Is live mode</param>
45
/// <returns>SubscriptionDataSource pointing to the article</returns>
46
public
override
SubscriptionDataSource
GetSourceForAnIndex
(
SubscriptionDataConfig
config, DateTime date,
string
index,
bool
isLiveMode)
47
{
48
return
new
SubscriptionDataSource
(
49
Path.Combine(
"TestData"
,
50
"indexlinked"
,
51
"content"
,
52
$
"{date.ToStringInvariant(DateFormat.EightCharacter)}.zip#{index}"
53
),
54
SubscriptionTransportMedium
.LocalFile,
55
FileFormat
.Csv
56
);
57
}
58
59
/// <summary>
60
/// Gets the source of the index file
61
/// </summary>
62
/// <param name="config">Configuration object</param>
63
/// <param name="date">Date of this source file</param>
64
/// <param name="isLiveMode">Is live mode</param>
65
/// <returns>SubscriptionDataSource indicating where data is located and how it's stored</returns>
66
public
override
SubscriptionDataSource
GetSource
(
SubscriptionDataConfig
config, DateTime date,
bool
isLiveMode)
67
{
68
return
new
SubscriptionDataSource
(
69
Path.Combine(
70
"TestData"
,
71
"indexlinked"
,
72
config.
Symbol
.
Value
.ToLowerInvariant(),
73
$
"{date.ToStringInvariant(DateFormat.EightCharacter)}.csv"
74
),
75
SubscriptionTransportMedium
.LocalFile,
76
FileFormat
.Index
77
);
78
}
79
80
/// <summary>
81
/// Creates an instance from a line of JSON containing article information read from the `content` directory
82
/// </summary>
83
/// <param name="config">Subscription configuration</param>
84
/// <param name="line">Line of data</param>
85
/// <param name="date">Date</param>
86
/// <param name="isLiveMode">Is live mode</param>
87
public
override
BaseData
Reader
(
SubscriptionDataConfig
config,
string
line, DateTime date,
bool
isLiveMode)
88
{
89
return
new
IndexedLinkedData
90
{
91
Count
= 10,
92
Symbol
= config.
Symbol
,
93
EndTime
= date
94
};
95
}
96
97
/// <summary>
98
/// Indicates whether the data source is sparse.
99
/// If false, it will disable missing file logging.
100
/// </summary>
101
/// <returns>true</returns>
102
public
override
bool
IsSparseData
()
103
{
104
return
true
;
105
}
106
107
/// <summary>
108
/// Indicates whether the data source can undergo
109
/// rename events/is tied to equities.
110
/// </summary>
111
/// <returns>true</returns>
112
public
override
bool
RequiresMapping
()
113
{
114
return
true
;
115
}
116
117
/// <summary>
118
/// Set the data time zone to UTC
119
/// </summary>
120
/// <returns>Time zone as UTC</returns>
121
public
override
DateTimeZone
DataTimeZone
()
122
{
123
return
TimeZones
.
Utc
;
124
}
125
126
/// <summary>
127
/// Sets the default resolution to Second
128
/// </summary>
129
/// <returns>Resolution.Second</returns>
130
public
override
Resolution
DefaultResolution
()
131
{
132
return
Resolution
.Daily;
133
}
134
135
/// <summary>
136
/// Gets a list of all the supported Resolutions
137
/// </summary>
138
/// <returns>All resolutions</returns>
139
public
override
List<Resolution>
SupportedResolutions
()
140
{
141
return
DailyResolution
;
142
}
143
}
144
}
Common
Data
Custom
IconicTypes
IndexedLinkedData.cs
Generated by
1.8.17