quantconnect--lean/Common/API/LiveAlgorithmResultsJsonConverter.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.Collections.Generic;
using System.Linq;
using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
using QuantConnect.Orders;
using QuantConnect.Packets;
using QuantConnect.Securities;

namespace QuantConnect.API
{
    /// <summary>
    /// Custom JsonConverter for LiveResults data for live algorithms
    /// </summary>
    public class LiveAlgorithmResultsJsonConverter : JsonConverter
    {
        /// <summary>
        /// Gets a value indicating whether this <see cref="T:Newtonsoft.Json.JsonConverter"/> can write JSON.
        /// </summary>
        /// <value>
        /// <c>true</c> if this <see cref="T:Newtonsoft.Json.JsonConverter"/> can write JSON; otherwise, <c>false</c>.
        /// </value>
        public override bool CanWrite
        {
            get { return false; }
        }

        /// <summary>
        /// Writes the JSON representation of the object.
        /// </summary>
        /// <param name="writer">The <see cref="T:Newtonsoft.Json.JsonWriter"/> to write to.</param><param name="value">The value.</param><param name="serializer">The calling serializer.</param>
        public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
        {
            throw new NotImplementedException("The LiveAlgorithmResultsJsonConverter does not implement a WriteJson method.");
        }

        /// <summary>
        /// Determines whether this instance can convert the specified object type.
        /// </summary>
        /// <param name="objectType">Type of the object.</param>
        /// <returns>
        /// <c>true</c> if this instance can convert the specified object type; otherwise, <c>false</c>.
        /// </returns>
        public override bool CanConvert(Type objectType)
        {
            return typeof(LiveAlgorithmResults).IsAssignableFrom(objectType);
        }


        /// <summary>
        /// Reads the JSON representation of the object.
        /// </summary>
        /// <param name="reader">The <see cref="T:Newtonsoft.Json.JsonReader"/> to read from.</param><param name="objectType">Type of the object.</param><param name="existingValue">The existing value of object being read.</param><param name="serializer">The calling serializer.</param>
        /// <returns>
        /// The object value.
        /// </returns>
        public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
        {
            var jObject = JObject.Load(reader);

            var liveResults = CreateLiveResultsFromJObject(jObject);

            return liveResults;
        }

        /// <summary>
        /// Custom parsing of live results data
        /// </summary>
        /// <param name="jObject">Json representing LiveResults</param>
        /// <returns></returns>
        public static LiveAlgorithmResults CreateLiveResultsFromJObject(JObject jObject)
        {
            var liveAlgoResults = new LiveAlgorithmResults
            {
                Success = jObject["success"].Value<bool>()
            };

            var success = jObject["success"].Value<bool>();
            if (!success)
            {
                // Either there was an error in the running algrithm or the algorithm hasn't started
                liveAlgoResults.Errors = jObject.Last.Children().Select(error => error.ToString()).ToList();
                return liveAlgoResults;
            }

            liveAlgoResults.Success = true;
            liveAlgoResults.LiveResults = new LiveResultsData
            {
                Resolution = (Resolution)Enum.Parse(typeof(Resolution), jObject["LiveResults"]["resolution"].Value<string>(), true),
                Version    = jObject["LiveResults"]["version"].Value<int>()
            };

            // Results json
            var results = jObject["LiveResults"]["results"];

            // Deserialize charting data
            var charts = results["Charts"];
            var chartDictionary = new Dictionary<string, Chart>();

            foreach (var chart in charts.Children())
            {
                var newChart = new Chart(((JProperty) chart).Name)
                {
                    Series = GetChartSeries(chart.First()["Series"])
                };

                chartDictionary.Add(newChart.Name, newChart);
            }

            // Live Results - At this time only that charting data can be returned from the api (9/30/2016)
            liveAlgoResults.LiveResults.Results = new LiveResult(new LiveResultParameters(chartDictionary,
                new Dictionary<int, Order>(),
                new Dictionary<DateTime, decimal>(),
                new Dictionary<string, Holding>(),
                new CashBook(),
                new Dictionary<string, string>(),
                new Dictionary<string, string>(),
                new List<OrderEvent>())
            );

            return liveAlgoResults;
        }

        /// <summary>
        /// Get series data for a specific chart
        /// </summary>
        /// <param name="series">Series data and properties for a chart</param>
        /// <returns>Dictionary with the name of the series as the key and the Series itself as the value</returns>
        private static Dictionary<string, Series> GetChartSeries(JToken series)
        {
            var chartSeriesDict = new Dictionary<string, Series>();

            foreach (var child in series.Children())
            {
                var s = child.First();
                var newSeries = new Series(((JProperty) child).Name)
                {
                    SeriesType = (SeriesType) s["SeriesType"].Value<int>(),
                    Values     = GetSeriesValues(s["Values"])
                };

                chartSeriesDict.Add(newSeries.Name, newSeries);
            }

            return chartSeriesDict;
        }

        /// <summary>
        /// Get x and y value pairs that represent series data
        /// </summary>
        /// <param name="values">json array of x, y value pairs</param>
        /// <returns>List of ChartPoints</returns>
        private static List<ChartPoint> GetSeriesValues(JToken values)
        {
            var chartPoints = new List<ChartPoint>();

            // Special ChartPoint that only represents time (only has x component)
            if (values.Children().Count() == 1)
            {
                var point = values.Children().First();
                var x = point["x"];

                chartPoints.Add(new ChartPoint((long)x, 0));
            }
            // Typical series of values that is used for charting
            else
            {
                foreach (var point in values.Children())
                {
                    var x = point["x"];
                    var y = point["y"];

                    // this piece of code is why this entire custom serializer is necessary
                    if (y != null && y.Type == JTokenType.Float)
                    {
                        chartPoints.Add(new ChartPoint((long)x, (decimal)y));
                    }
                    else
                    {
                        chartPoints.Add(null);
                    }
                }
            }

            return chartPoints;
        }
    }
}