LeanDataWriter.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using System.IO;
using System.Linq;
using System.Text;
using QuantConnect.Util;
using System.Globalization;
using QuantConnect.Logging;
using System.Threading.Tasks;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using System.Collections.Generic;
using QuantConnect.Configuration;
using QuantConnect.Data.Auxiliary;
 
namespace QuantConnect.Data
{
    /// <summary>
    /// Data writer for saving an IEnumerable of BaseData into the LEAN data directory.
    /// </summary>
    public class LeanDataWriter
    {
        private static KeyStringSynchronizer _keySynchronizer = new();
 
        /// <summary>
        /// The map file provider instance to use
        /// </summary>
        /// <remarks>Public for testing</remarks>
        public static Lazy<IMapFileProvider> MapFileProvider { get; set; } = new(
            Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "LocalDiskMapFileProvider"), forceTypeNameOnExisting: false)
        );
 
        private readonly Symbol _symbol;
        private readonly bool _mapSymbol;
        private readonly string _dataDirectory;
        private readonly TickType _tickType;
        private readonly Resolution _resolution;
        private readonly WritePolicy _writePolicy;
        private readonly SecurityType _securityType;
        private readonly IDataCacheProvider _dataCacheProvider;
 
        /// <summary>
        /// Create a new lean data writer to this base data directory.
        /// </summary>
        /// <param name="symbol">Symbol string</param>
        /// <param name="dataDirectory">Base data directory</param>
        /// <param name="resolution">Resolution of the desired output data</param>
        /// <param name="tickType">The tick type</param>
        /// <param name="dataCacheProvider">The data cache provider to use</param>
        /// <param name="writePolicy">The file write policy to use</param>
        /// <param name="mapSymbol">True if the symbol should be mapped while writting the data</param>
        public LeanDataWriter(Resolution resolution, Symbol symbol, string dataDirectory, TickType tickType = TickType.Trade,
            IDataCacheProvider dataCacheProvider = null, WritePolicy? writePolicy = null, bool mapSymbol = false) : this(
            dataDirectory,
            resolution,
            symbol.ID.SecurityType,
            tickType,
            dataCacheProvider,
            writePolicy
        )
        {
            _symbol = symbol;
            _mapSymbol = mapSymbol;
            // All fx data is quote data.
            if (_securityType == SecurityType.Forex || _securityType == SecurityType.Cfd)
            {
                _tickType = TickType.Quote;
            }
 
            if (_securityType != SecurityType.Equity && _securityType != SecurityType.Forex && _securityType != SecurityType.Cfd && _securityType != SecurityType.Crypto
                && _securityType != SecurityType.Future && _securityType != SecurityType.Option && _securityType != SecurityType.FutureOption
                && _securityType != SecurityType.Index && _securityType != SecurityType.IndexOption && _securityType != SecurityType.CryptoFuture)
            {
                throw new NotImplementedException("Sorry this security type is not yet supported by the LEAN data writer: " + _securityType);
            }
        }
 
        /// <summary>
        /// Create a new lean data writer to this base data directory.
        /// </summary>
        /// <param name="dataDirectory">Base data directory</param>
        /// <param name="resolution">Resolution of the desired output data</param>
        /// <param name="securityType">The security type</param>
        /// <param name="tickType">The tick type</param>
        /// <param name="dataCacheProvider">The data cache provider to use</param>
        /// <param name="writePolicy">The file write policy to use</param>
        public LeanDataWriter(string dataDirectory, Resolution resolution, SecurityType securityType, TickType tickType,
            IDataCacheProvider dataCacheProvider = null, WritePolicy? writePolicy = null)
        {
            _dataDirectory = dataDirectory;
            _resolution = resolution;
            _securityType = securityType;
            _tickType = tickType;
            if (writePolicy == null)
            {
                _writePolicy = resolution >= Resolution.Hour ? WritePolicy.Merge : WritePolicy.Overwrite;
            }
            else
            {
                _writePolicy = writePolicy.Value;
            }
            _dataCacheProvider = dataCacheProvider ?? new DiskDataCacheProvider();
        }
 
        /// <summary>
        /// Given the constructor parameters, write out the data in LEAN format.
        /// </summary>
        /// <param name="source">IEnumerable source of the data: sorted from oldest to newest.</param>
        public void Write(IEnumerable<BaseData> source)
        {
            var lastTime = DateTime.MinValue;
            var outputFile = string.Empty;
            Symbol symbol = null;
            var currentFileData = new List<TimedLine>();
            var writeTasks = new Queue<Task>();
 
            foreach (var data in source)
            {
                // Ensure the data is sorted as a safety check
                if (data.Time < lastTime) throw new Exception("The data must be pre-sorted from oldest to newest");
 
                // Update our output file
                // Only do this on date change, because we know we don't have a any data zips smaller than a day, saves time
                if (data.Time.Date != lastTime.Date)
                {
                    var mappedSymbol = GetMappedSymbol(data.Time, data.Symbol);
                    // Get the latest file name, if it has changed, we have entered a new file, write our current data to file
                    var latestOutputFile = GetZipOutputFileName(_dataDirectory, data.Time, mappedSymbol);
                    var latestSymbol = mappedSymbol;
                    if (outputFile.IsNullOrEmpty() || outputFile != latestOutputFile)
                    {
                        if (!currentFileData.IsNullOrEmpty())
                        {
                            // Launch a write task for the current file and data set
                            var file = outputFile;
                            var fileData = currentFileData;
                            var fileSymbol = symbol;
                            writeTasks.Enqueue(Task.Run(() =>
                            {
                                WriteFile(file, fileData, fileSymbol);
                            }));
                        }
 
                        // Reset our dictionary and store new output file
                        currentFileData = new List<TimedLine>();
                        outputFile = latestOutputFile;
                        symbol = latestSymbol;
                    }
                }
 
                // Add data to our current dictionary
                var line = LeanData.GenerateLine(data, _securityType, _resolution);
                currentFileData.Add(new TimedLine(data.Time, line));
 
                // Update our time
                lastTime = data.Time;
            }
 
            // Finish off my processing the last file as well
            if (!currentFileData.IsNullOrEmpty())
            {
                // we want to finish ASAP so let's do it ourselves
                WriteFile(outputFile, currentFileData, symbol);
            }
 
            // Wait for all our write tasks to finish
            while (writeTasks.Count > 0)
            {
                var task = writeTasks.Dequeue();
                task.Wait();
            }
        }
 
        /// <summary>
        /// Downloads historical data from the brokerage and saves it in LEAN format.
        /// </summary>
        /// <param name="brokerage">The brokerage from where to fetch the data</param>
        /// <param name="symbols">The list of symbols</param>
        /// <param name="startTimeUtc">The starting date/time (UTC)</param>
        /// <param name="endTimeUtc">The ending date/time (UTC)</param>
        public void DownloadAndSave(IBrokerage brokerage, List<Symbol> symbols, DateTime startTimeUtc, DateTime endTimeUtc)
        {
            if (symbols.Count == 0)
            {
                throw new ArgumentException("DownloadAndSave(): The symbol list cannot be empty.");
            }
 
            if (_tickType != TickType.Trade && _tickType != TickType.Quote)
            {
                throw new ArgumentException("DownloadAndSave(): The tick type must be Trade or Quote.");
            }
 
            if (symbols.Any(x => x.SecurityType != _securityType))
            {
                throw new ArgumentException($"DownloadAndSave(): All symbols must have {_securityType} security type.");
            }
 
            if (symbols.DistinctBy(x => x.ID.Symbol).Count() > 1)
            {
                throw new ArgumentException("DownloadAndSave(): All symbols must have the same root ticker.");
            }
 
            var dataType = LeanData.GetDataType(_resolution, _tickType);
 
            var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
 
            var ticker = symbols.First().ID.Symbol;
            var market = symbols.First().ID.Market;
 
            var canonicalSymbol = Symbol.Create(ticker, _securityType, market);
 
            var exchangeHours = marketHoursDatabase.GetExchangeHours(canonicalSymbol.ID.Market, canonicalSymbol, _securityType);
            var dataTimeZone = marketHoursDatabase.GetDataTimeZone(canonicalSymbol.ID.Market, canonicalSymbol, _securityType);
 
            foreach (var symbol in symbols)
            {
                var historyRequest = new HistoryRequest(
                    startTimeUtc,
                    endTimeUtc,
                    dataType,
                    symbol,
                    _resolution,
                    exchangeHours,
                    dataTimeZone,
                    _resolution,
                    true,
                    false,
                    DataNormalizationMode.Raw,
                    _tickType
                );
 
                var history = brokerage.GetHistory(historyRequest)?
                    .Select(
                        x =>
                        {
                            // Convert to date timezone before we write it
                            x.Time = x.Time.ConvertTo(exchangeHours.TimeZone, dataTimeZone);
                            return x;
                        })?
                    .ToList();
 
                if (history == null)
                {
                    continue;
                }
 
                // Generate a writer for this data and write it
                var writer = new LeanDataWriter(_resolution, symbol, _dataDirectory, _tickType);
                writer.Write(history);
            }
        }
 
        /// <summary>
        /// Loads an existing Lean zip file into a SortedDictionary
        /// </summary>
        private bool TryLoadFile(string fileName, string entryName, DateTime date, out SortedDictionary<DateTime, string> rows)
        {
            rows = new SortedDictionary<DateTime, string>();
 
            using (var stream = _dataCacheProvider.Fetch($"{fileName}#{entryName}"))
            {
                if (stream == null)
                {
                    return false;
                }
 
                using (var reader = new StreamReader(stream))
                {
                    string line;
                    while ((line = reader.ReadLine()) != null)
                    {
                        rows[LeanData.ParseTime(line, date, _resolution)] = line;
                    }
                }
 
                return true;
            }
        }
 
        /// <summary>
        /// Write this file to disk with the given data.
        /// </summary>
        /// <param name="filePath">The full path to the new file</param>
        /// <param name="data">The data to write as a list of dates and strings</param>
        /// <param name="symbol">The symbol associated with this data</param>
        /// <remarks>The reason we have the data as IEnumerable(DateTime, string) is to support
        /// a generic write that works for all resolutions. In order to merge in hour/daily case I need the
        /// date of the data to correctly merge the two. In order to support writing ticks I need to allow
        /// two data points to have the same time. Thus I cannot use a single list of just strings nor
        /// a sorted dictionary of DateTimes and strings. </remarks>
        private void WriteFile(string filePath, List<TimedLine> data, Symbol symbol)
        {
            filePath = FileExtension.ToNormalizedPath(filePath);
            if (data == null || data.Count == 0)
            {
                return;
            }
 
            // because we read & write the same file we need to take a lock per file path so we don't read something that might get outdated
            // by someone writting to the same path at the same time
            _keySynchronizer.Execute(filePath, singleExecution: false, () =>
            {
                var date = data[0].Time;
                // Generate this csv entry name
                var entryName = LeanData.GenerateZipEntryName(symbol, date, _resolution, _tickType);
 
                // Check disk once for this file ahead of time, reuse where possible
                var fileExists = File.Exists(filePath);
 
                // If our file doesn't exist its possible the directory doesn't exist, make sure at least the directory exists
                if (!fileExists)
                {
                    Directory.CreateDirectory(Path.GetDirectoryName(filePath));
                }
 
                // Handle merging of files
                // Only merge on files with hour/daily resolution, that exist, and can be loaded
                string finalData = null;
                if (_writePolicy == WritePolicy.Append)
                {
                    var streamWriter = new ZipStreamWriter(filePath, entryName);
                    foreach (var tuple in data)
                    {
                        streamWriter.WriteLine(tuple.Line);
                    }
                    streamWriter.DisposeSafely();
                }
                else if (_writePolicy == WritePolicy.Merge && fileExists && TryLoadFile(filePath, entryName, date, out var rows))
                {
                    // Preform merge on loaded rows
                    foreach (var timedLine in data)
                    {
                        rows[timedLine.Time] = timedLine.Line;
                    }
 
                    // Final merged data product
                    finalData = string.Join("\n", rows.Values);
                }
                else
                {
                    // Otherwise just extract the data from the given list.
                    finalData = string.Join("\n", data.Select(x => x.Line));
                }
 
                if (finalData != null)
                {
                    var bytes = Encoding.UTF8.GetBytes(finalData);
                    _dataCacheProvider.Store($"{filePath}#{entryName}", bytes);
                }
 
                if (Log.DebuggingEnabled)
                {
                    var from = data[0].Time.Date.ToString(DateFormat.EightCharacter, CultureInfo.InvariantCulture);
                    var to = data[data.Count - 1].Time.Date.ToString(DateFormat.EightCharacter, CultureInfo.InvariantCulture);
                    Log.Debug($"LeanDataWriter.Write({symbol.ID}): Appended: {filePath} @ {entryName} {from}->{to}");
                }
            });
        }
 
        /// <summary>
        /// Get the output zip file
        /// </summary>
        /// <param name="baseDirectory">Base output directory for the zip file</param>
        /// <param name="time">Date/time for the data we're writing</param>
        /// <param name="symbol">The associated symbol. For example for options/futures it will be different than the canonical at <see cref="_symbol"/></param>
        /// <returns>The full path to the output zip file</returns>
        private string GetZipOutputFileName(string baseDirectory, DateTime time, Symbol symbol)
        {
            return LeanData.GenerateZipFilePath(baseDirectory, symbol, time, _resolution, _tickType);
        }
 
        /// <summary>
        /// Helper method to map a symbol if required at the given date
        /// </summary>
        private Symbol GetMappedSymbol(DateTime time, Symbol symbol)
        {
            if (!_mapSymbol)
            {
                return _symbol;
            }
            if (symbol.RequiresMapping())
            {
                var mapFileResolver = MapFileProvider.Value.Get(AuxiliaryDataKey.Create(symbol.ID));
                var mapFile = mapFileResolver.ResolveMapFile(symbol);
                var mappedTicker = mapFile.GetMappedSymbol(time);
                if(!string.IsNullOrEmpty(mappedTicker))
                {
                    // only update if we got something to map to
                    symbol = symbol.UpdateMappedSymbol(mappedTicker);
                }
            }
 
            return symbol;
        }
 
        private class TimedLine
        {
            public string Line { get; }
            public DateTime Time { get; }
            public TimedLine(DateTime time, string line)
            {
                Line = line;
                Time = time;
            }
        }
    }
}