/*
* 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.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.DataFeeds.Transport;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// Collection Subscription Factory takes a BaseDataCollection from BaseData factories
/// and yields it one point at a time to the algorithm
///
public class CollectionSubscriptionDataSourceReader : ISubscriptionDataSourceReader
{
private readonly DateTime _date;
private readonly bool _isLiveMode;
private readonly BaseData _factory;
private readonly SubscriptionDataConfig _config;
private readonly IDataCacheProvider _dataCacheProvider;
///
/// Initializes a new instance of the class
///
/// Used to cache data for requested from the IDataProvider
/// The subscription's configuration
/// The date this factory was produced to read data for
/// True if we're in live mode, false for backtesting
public CollectionSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
_dataCacheProvider = dataCacheProvider;
_date = date;
_config = config;
_isLiveMode = isLiveMode;
_factory = _config.GetBaseDataInstance();
}
///
/// Event fired when the specified source is considered invalid, this may
/// be from a missing file or failure to download a remote source
///
public event EventHandler InvalidSource;
///
/// Event fired when an exception is thrown during a call to
///
///
public event EventHandler ReaderError;
///
/// Reads the specified
///
/// The source to be read
/// An that contains the data in the source
public IEnumerable Read(SubscriptionDataSource source)
{
SubscriptionDataSourceReader.CheckRemoteFileCache();
IStreamReader reader = null;
try
{
try
{
switch (source.TransportMedium)
{
default:
case SubscriptionTransportMedium.Rest:
reader = new RestSubscriptionStreamReader(source.Source, source.Headers, _isLiveMode);
break;
case SubscriptionTransportMedium.LocalFile:
reader = new LocalFileSubscriptionStreamReader(_dataCacheProvider, source.Source);
break;
case SubscriptionTransportMedium.RemoteFile:
reader = new RemoteFileSubscriptionStreamReader(_dataCacheProvider, source.Source, Globals.Cache, source.Headers);
break;
}
}
catch (Exception e)
{
OnInvalidSource(source, e);
yield break;
}
if (reader.EndOfStream)
{
OnInvalidSource(source, new Exception($"The reader was empty for source: ${source.Source}"));
yield break;
}
var raw = "";
while (!reader.EndOfStream)
{
BaseDataCollection instances = null;
try
{
raw = reader.ReadLine();
var result = _factory.Reader(_config, raw, _date, _isLiveMode);
instances = result as BaseDataCollection;
if (instances == null && !reader.ShouldBeRateLimited)
{
OnInvalidSource(source, new Exception("Reader must generate a BaseDataCollection with the FileFormat.Collection"));
continue;
}
}
catch (Exception err)
{
OnReaderError(raw, err);
if (!reader.ShouldBeRateLimited)
{
continue;
}
}
if (_isLiveMode
// this shouldn't happen, rest reader is the only one to be rate limited
// and in live mode, but just in case...
|| instances == null && reader.ShouldBeRateLimited)
{
yield return instances;
}
else
{
foreach (var instance in instances.Data)
{
if (instance != null && instance.EndTime != default(DateTime))
{
yield return instance;
}
}
}
}
}
finally
{
if (reader != null)
reader.Dispose();
}
}
///
/// Event invocator for the event
///
/// The line that caused the exception
/// The exception that was caught
private void OnReaderError(string line, Exception exception)
{
var handler = ReaderError;
if (handler != null) handler(this, new ReaderErrorEventArgs(line, exception));
}
///
/// Event invocator for the event
///
/// The that was invalid
/// The exception if one was raised, otherwise null
private void OnInvalidSource(SubscriptionDataSource source, Exception exception)
{
var handler = InvalidSource;
if (handler != null) handler(this, new InvalidSourceEventArgs(source, exception));
}
}
}