Martin Molinero
104 lines
4.2 KiB
C#
104 lines
4.2 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Collections.Concurrent;
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using QuantConnect.Configuration;
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using QuantConnect.Interfaces;
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using QuantConnect.Util;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Provides an implementation of <see cref="IFactorFileProvider"/> that searches the local disk
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/// </summary>
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public class LocalDiskFactorFileProvider : IFactorFileProvider
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{
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private readonly IMapFileProvider _mapFileProvider;
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private readonly ConcurrentDictionary<Symbol, FactorFile> _cache;
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/// <summary>
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/// Initializes a new instance of <see cref="LocalDiskFactorFileProvider"/> that uses configuration
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/// to resolve an instance of <see cref="IMapFileProvider"/> from the <see cref="Composer.Instance"/>
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/// </summary>
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public LocalDiskFactorFileProvider()
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: this(Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "LocalDiskMapFileProvider")))
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalDiskFactorFileProvider"/> using the specified
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/// map file provider
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/// </summary>
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/// <param name="mapFileProvider">The map file provider used to resolve permticks of securities</param>
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public LocalDiskFactorFileProvider(IMapFileProvider mapFileProvider)
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{
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_mapFileProvider = mapFileProvider;
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_cache = new ConcurrentDictionary<Symbol, FactorFile>();
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}
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/// <summary>
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/// Gets a <see cref="FactorFile"/> instance for the specified symbol, or null if not found
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/// </summary>
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/// <param name="symbol">The security's symbol whose factor file we seek</param>
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/// <returns>The resolved factor file, or null if not found</returns>
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public FactorFile Get(Symbol symbol)
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{
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FactorFile factorFile;
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if (_cache.TryGetValue(symbol, out factorFile))
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{
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return factorFile;
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}
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var market = symbol.ID.Market;
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// we first need to resolve the map file to get a permtick, that's how the factor files are stored
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var mapFileResolver = _mapFileProvider.Get(market);
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if (mapFileResolver == null)
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{
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return GetFactorFile(symbol, symbol.Value, market);
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}
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var mapFile = mapFileResolver.ResolveMapFile(symbol.ID.Symbol, symbol.ID.Date);
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if (mapFile.IsNullOrEmpty())
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{
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return GetFactorFile(symbol, symbol.Value, market);
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}
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return GetFactorFile(symbol, mapFile.Permtick, market);
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}
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/// <summary>
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/// Checks that the factor file exists on disk, and if it does, loads it into memory
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/// </summary>
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private FactorFile GetFactorFile(Symbol symbol, string permtick, string market)
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{
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FactorFile factorFile = null;
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if (FactorFile.HasScalingFactors(permtick, market))
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{
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factorFile = FactorFile.Read(permtick, market);
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_cache.AddOrUpdate(symbol, factorFile, (s, c) => factorFile);
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}
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else
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{
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// add null value to the cache, we don't want to check the disk multiple times
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// but keep existing value if it exists, just in case
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_cache.AddOrUpdate(symbol, factorFile, (s, oldValue) => oldValue);
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}
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return factorFile;
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}
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}
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}
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