Stefano Raggi
96 lines
3.8 KiB
C#
96 lines
3.8 KiB
C#
/*
|
|
* 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 Ionic.Zip;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Util;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds
|
|
{
|
|
/// <summary>
|
|
/// Provides an implementation of <see cref="ISubscriptionDataSourceReader"/> that reads zip entry names
|
|
/// </summary>
|
|
public class ZipEntryNameSubscriptionDataSourceReader : ISubscriptionDataSourceReader
|
|
{
|
|
private readonly SubscriptionDataConfig _config;
|
|
private readonly DateTime _date;
|
|
private readonly bool _isLiveMode;
|
|
private readonly BaseData _factory;
|
|
|
|
/// <summary>
|
|
/// Event fired when the specified source is considered invalid, this may
|
|
/// be from a missing file or failure to download a remote source
|
|
/// </summary>
|
|
public event EventHandler<InvalidSourceEventArgs> InvalidSource;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="ZipEntryNameSubscriptionDataSourceReader"/> class
|
|
/// </summary>
|
|
/// <param name="config">The subscription's configuration</param>
|
|
/// <param name="date">The date this factory was produced to read data for</param>
|
|
/// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
|
|
public ZipEntryNameSubscriptionDataSourceReader(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
|
|
{
|
|
_config = config;
|
|
_date = date;
|
|
_isLiveMode = isLiveMode;
|
|
_factory = _factory = (BaseData)ObjectActivator.GetActivator(config.Type).Invoke(new object[] { config.Type });
|
|
}
|
|
|
|
/// <summary>
|
|
/// Reads the specified <paramref name="source"/>
|
|
/// </summary>
|
|
/// <param name="source">The source to be read</param>
|
|
/// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
|
|
public IEnumerable<BaseData> Read(SubscriptionDataSource source)
|
|
{
|
|
ICollection<string> entryNames;
|
|
try
|
|
{
|
|
using (var zip = new ZipFile(source.Source))
|
|
{
|
|
entryNames = zip.EntryFileNames;
|
|
}
|
|
}
|
|
catch (ZipException err)
|
|
{
|
|
OnInvalidSource(source, err);
|
|
yield break;
|
|
}
|
|
|
|
foreach (var entryFileName in entryNames)
|
|
{
|
|
var instance = _factory.Reader(_config, entryFileName, _date, _isLiveMode);
|
|
if (instance != null && instance.EndTime != default(DateTime))
|
|
{
|
|
yield return instance;
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="InvalidSource"/> event
|
|
/// </summary>
|
|
/// <param name="source">The <see cref="SubscriptionDataSource"/> that was invalid</param>
|
|
/// <param name="exception">The exception if one was raised, otherwise null</param>
|
|
private void OnInvalidSource(SubscriptionDataSource source, Exception exception)
|
|
{
|
|
InvalidSource?.Invoke(this, new InvalidSourceEventArgs(source, exception));
|
|
}
|
|
}
|
|
}
|