Martin Molinero
8dbbbb618f
- Add Pandas backwards compatibility shim - Adding `MappingExtensions` which will remove data type from the `Symbol.ID.Symbol` value to resolve the `MapFile` - `SecurityIdentifier.TryParse()` will throw when given an invalid `SecurityType`
49 lines
2.1 KiB
C#
49 lines
2.1 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;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Mapping extensions helper methods
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/// </summary>
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public static class MappingExtensions
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{
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/// <summary>
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/// Helper method to resolve the mapping file to use.
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/// </summary>
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/// <remarks>This method is aware of the data type being added for <see cref="SecurityType.Base"/>
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/// to the <see cref="SecurityIdentifier.Symbol"/> value</remarks>
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/// <param name="mapFileResolver">The map file resolver</param>
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/// <param name="symbol">The symbol that we want to map</param>
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/// <param name="dataType">The configuration data type <see cref="SubscriptionDataConfig.Type"/></param>
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/// <returns>The mapping file to use</returns>
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public static MapFile ResolveMapFile(this MapFileResolver mapFileResolver,
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Symbol symbol,
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Type dataType)
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{
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// Load the symbol and date to complete the mapFile checks in one statement
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var symbolID = symbol.HasUnderlying ? symbol.Underlying.ID.Symbol : symbol.ID.Symbol;
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var date = symbol.HasUnderlying ? symbol.Underlying.ID.Date : symbol.ID.Date;
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return mapFileResolver.ResolveMapFile(
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symbol.SecurityType == SecurityType.Base ? symbolID.RemoveFromEnd($".{dataType.Name}") : symbolID,
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date);
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}
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}
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}
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