/*
* 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 System.Collections.Specialized;
using System.IO;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using System.Runtime.Caching;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// Provides an implementations of that uses the
///
/// method to read lines of text from a
///
public class TextSubscriptionDataSourceReader : BaseSubscriptionDataSourceReader
{
private readonly bool _implementsStreamReader;
private readonly DateTime _date;
private readonly SubscriptionDataConfig _config;
private BaseData _factory;
private bool _shouldCacheDataPoints;
private static readonly MemoryCache BaseDataSourceCache = new MemoryCache("BaseDataSourceCache",
// Cache can use up to 70% of the installed physical memory
new NameValueCollection { { "physicalMemoryLimitPercentage", "70" } });
private static readonly CacheItemPolicy CachePolicy = new CacheItemPolicy
{
// Cache entry should be evicted if it has not been accessed in given span of time:
SlidingExpiration = TimeSpan.FromMinutes(5)
};
///
/// Event fired when the specified source is considered invalid, this may
/// be from a missing file or failure to download a remote source
///
public override event EventHandler InvalidSource;
///
/// Event fired when an exception is thrown during a call to
///
///
public event EventHandler ReaderError;
///
/// Event fired when there's an error creating an or the
/// instantiated has no data.
///
public event EventHandler CreateStreamReaderError;
///
/// Initializes a new instance of the class
///
/// This provider caches files if needed
/// 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 TextSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
: base(dataCacheProvider, isLiveMode)
{
_date = date;
_config = config;
_shouldCacheDataPoints = !_config.IsCustomData && _config.Resolution >= Resolution.Hour
&& _config.Type != typeof(FineFundamental) && _config.Type != typeof(CoarseFundamental)
&& !DataCacheProvider.IsDataEphemeral;
// we know these type implement the streamReader interface lets avoid dynamic reflection call to figure it out
if (_config.Type == typeof(TradeBar) || _config.Type == typeof(QuoteBar) || _config.Type == typeof(Tick))
{
_implementsStreamReader = true;
}
else
{
var method = _config.Type.GetMethod("Reader",
new[] { typeof(SubscriptionDataConfig), typeof(StreamReader), typeof(DateTime), typeof(bool) });
if (method != null && method.DeclaringType == _config.Type)
{
_implementsStreamReader = true;
}
}
}
///
/// Reads the specified
///
/// The source to be read
/// An that contains the data in the source
public override IEnumerable Read(SubscriptionDataSource source)
{
List cache;
_shouldCacheDataPoints = _shouldCacheDataPoints &&
// only cache local files
source.TransportMedium == SubscriptionTransportMedium.LocalFile;
var cacheItem = _shouldCacheDataPoints
? BaseDataSourceCache.GetCacheItem(source.Source + _config.Type) : null;
if (cacheItem == null)
{
cache = new List();
using (var reader = CreateStreamReader(source))
{
// if the reader doesn't have data then we're done with this subscription
if (reader == null || reader.EndOfStream)
{
OnCreateStreamReaderError(_date, source);
yield break;
}
if (_factory == null)
{
// only create a factory if the stream isn't null
_factory = _config.GetBaseDataInstance();
}
// while the reader has data
while (!reader.EndOfStream)
{
BaseData instance = null;
string line = null;
try
{
if (reader.StreamReader != null && _implementsStreamReader)
{
instance = _factory.Reader(_config, reader.StreamReader, _date, IsLiveMode);
}
else
{
// read a line and pass it to the base data factory
line = reader.ReadLine();
instance = _factory.Reader(_config, line, _date, IsLiveMode);
}
}
catch (Exception err)
{
OnReaderError(line ?? "StreamReader", err);
}
if (instance != null && instance.EndTime != default(DateTime))
{
if (_shouldCacheDataPoints)
{
cache.Add(instance);
}
else
{
yield return instance;
}
}
else if (reader.ShouldBeRateLimited)
{
yield return instance;
}
}
}
if (!_shouldCacheDataPoints)
{
yield break;
}
cacheItem = new CacheItem(source.Source + _config.Type, cache);
BaseDataSourceCache.Add(cacheItem, CachePolicy);
}
cache = cacheItem.Value as List;
if (cache == null)
{
throw new InvalidOperationException("CacheItem can not be cast into expected type. " +
$"Type is: {cacheItem.Value.GetType()}");
}
// Find the first data point 10 days (just in case) before the desired date
// and subtract one item (just in case there was a time gap and data.Time is after _date)
var frontier = _date.AddDays(-10);
var index = cache.FindIndex(data => data.Time > frontier);
index = index > 0 ? (index - 1) : 0;
foreach (var data in cache.Skip(index))
{
var clone = data.Clone();
clone.Symbol = _config.Symbol;
yield return clone;
}
}
///
/// 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));
}
///
/// 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 date of the source
/// The source that caused the error
private void OnCreateStreamReaderError(DateTime date, SubscriptionDataSource source)
{
var handler = CreateStreamReaderError;
if (handler != null) handler(this, new CreateStreamReaderErrorEventArgs(date, source));
}
}
}