/*
* 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.Collections.Concurrent;
using QuantConnect.Configuration;
using QuantConnect.Interfaces;
using QuantConnect.Util;
namespace QuantConnect.Data.Auxiliary
{
///
/// Provides an implementation of that searches the local disk
///
public class LocalDiskFactorFileProvider : IFactorFileProvider
{
private readonly IMapFileProvider _mapFileProvider;
private readonly ConcurrentDictionary _cache;
///
/// Initializes a new instance of that uses configuration
/// to resolve an instance of from the
///
public LocalDiskFactorFileProvider()
: this(Composer.Instance.GetExportedValueByTypeName(Config.Get("map-file-provider", "LocalDiskMapFileProvider")))
{
}
///
/// Initializes a new instance of the using the specified
/// map file provider
///
/// The map file provider used to resolve permticks of securities
public LocalDiskFactorFileProvider(IMapFileProvider mapFileProvider)
{
_mapFileProvider = mapFileProvider;
_cache = new ConcurrentDictionary();
}
///
/// Gets a instance for the specified symbol, or null if not found
///
/// The security's symbol whose factor file we seek
/// The resolved factor file, or null if not found
public FactorFile Get(Symbol symbol)
{
FactorFile factorFile;
if (_cache.TryGetValue(symbol, out factorFile))
{
return factorFile;
}
var market = symbol.ID.Market;
// we first need to resolve the map file to get a permtick, that's how the factor files are stored
var mapFileResolver = _mapFileProvider.Get(market);
if (mapFileResolver == null)
{
return GetFactorFile(symbol, symbol.Value, market);
}
var mapFile = mapFileResolver.ResolveMapFile(symbol.ID.Symbol, symbol.ID.Date);
if (mapFile.IsNullOrEmpty())
{
return GetFactorFile(symbol, symbol.Value, market);
}
return GetFactorFile(symbol, mapFile.Permtick, market);
}
///
/// Checks that the factor file exists on disk, and if it does, loads it into memory
///
private FactorFile GetFactorFile(Symbol symbol, string permtick, string market)
{
FactorFile factorFile = null;
if (FactorFile.HasScalingFactors(permtick, market))
{
factorFile = FactorFile.Read(permtick, market);
_cache.AddOrUpdate(symbol, factorFile, (s, c) => factorFile);
}
else
{
// add null value to the cache, we don't want to check the disk multiple times
// but keep existing value if it exists, just in case
_cache.AddOrUpdate(symbol, factorFile, (s, oldValue) => oldValue);
}
return factorFile;
}
}
}