Stefano Raggi
375f192f07
* Add PolygonDataQueueHandler * Add history provider and downloader for Polygon * Add aggregator to PolygonDataQueueHandler * Address review - Removed duplication in message classes - Added public Subscribe/Unsubscribe methods in PolygonWebSocketClientWrapper - Added history requests for Forex and Crypto * Address review - Add security type and market arguments to downloader - Fix time zone bug in downloader * Remove unnecessary locks * Add Polygon history for all resolutions - Equity: trades and quotes - Forex: quotes only - Crypto: trades only
89 lines
3.7 KiB
C#
89 lines
3.7 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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using System;
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using QuantConnect.Brokerages;
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namespace QuantConnect.ToolBox.Polygon
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{
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/// <summary>
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/// Provides the mapping between Lean symbols and Polygon.io symbols.
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/// </summary>
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public class PolygonSymbolMapper : ISymbolMapper
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{
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/// <summary>
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/// Converts a Lean symbol instance to a brokerage symbol
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/// </summary>
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/// <param name="symbol">A Lean symbol instance</param>
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/// <returns>The brokerage symbol</returns>
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public string GetBrokerageSymbol(Symbol symbol)
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{
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if (symbol == null || string.IsNullOrWhiteSpace(symbol.Value))
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{
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throw new ArgumentException("Invalid symbol: " + (symbol == null ? "null" : symbol.ToString()));
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}
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switch (symbol.SecurityType)
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{
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case SecurityType.Equity:
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return symbol.Value;
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case SecurityType.Forex:
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return symbol.Value.Substring(0, 3) + "/" + symbol.Value.Substring(3);
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case SecurityType.Crypto:
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return symbol.Value.Substring(0, symbol.Value.Length - 3) + "-" + symbol.Value.Substring(symbol.Value.Length - 3);
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default:
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throw new Exception($"PolygonSymbolMapper.GetBrokerageSymbol(): unsupported security type: {symbol.SecurityType}");
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}
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}
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/// <summary>
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/// Converts a brokerage symbol to a Lean symbol instance
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/// </summary>
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/// <param name="brokerageSymbol">The brokerage symbol</param>
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/// <param name="securityType">The security type</param>
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/// <param name="market">The market</param>
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/// <param name="expirationDate">Expiration date of the security(if applicable)</param>
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/// <param name="strike">The strike of the security (if applicable)</param>
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/// <param name="optionRight">The option right of the security (if applicable)</param>
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/// <returns>A new Lean Symbol instance</returns>
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public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market,
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DateTime expirationDate = new DateTime(), decimal strike = 0, OptionRight optionRight = OptionRight.Call)
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{
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if (string.IsNullOrWhiteSpace(brokerageSymbol))
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{
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throw new ArgumentException("Invalid symbol: " + brokerageSymbol);
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}
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switch (securityType)
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{
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case SecurityType.Equity:
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return Symbol.Create(brokerageSymbol, securityType, market);
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case SecurityType.Forex:
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return Symbol.Create(brokerageSymbol.Replace("/", ""), securityType, market);
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case SecurityType.Crypto:
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return Symbol.Create(brokerageSymbol.Replace("-", ""), securityType, market);
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default:
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throw new Exception($"PolygonSymbolMapper.GetLeanSymbol(): unsupported security type: {securityType}");
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}
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}
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}
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}
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