Ricardo Andrés Marino Rojas
3e86712c1a
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* Implement ShortableProviderPythonWrapper.cs - Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model - Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python - Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs - Remove DefaultShortableProvider class - Add regresion algorithms in C# to cover the changes done * Implement ShortableProviderPythonWrapper.cs - Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model - Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python - Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs - Remove DefaultShortableProvider class - Add regresion algorithms in C# to cover the changes done * Solve bugs and nit change * Address review --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com>
80 lines
3.3 KiB
C#
80 lines
3.3 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 System.IO;
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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.Shortable
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{
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/// <summary>
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/// Sources easy-to-borrow (ETB) data from the local disk for the given brokerage
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/// </summary>
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public class LocalDiskShortableProvider : IShortableProvider
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{
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protected readonly DirectoryInfo ShortableDataDirectory;
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protected IDataProvider DataProvider =
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Composer.Instance.GetExportedValueByTypeName<IDataProvider>(Config.Get("data-provider",
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"DefaultDataProvider"));
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/// <summary>
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/// Creates an instance of the class. Establishes the directory to read from.
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/// </summary>
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/// <param name="securityType">SecurityType to read data</param>
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/// <param name="brokerage">Brokerage to read ETB data</param>
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/// <param name="market">Market to read ETB data</param>
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public LocalDiskShortableProvider(SecurityType securityType, string brokerage, string market)
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{
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var shortableDataDirectory = Path.Combine(Globals.DataFolder, securityType.SecurityTypeToLower(), market, "shortable", brokerage.ToLowerInvariant());
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ShortableDataDirectory = Directory.CreateDirectory(shortableDataDirectory);
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}
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/// <summary>
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/// Gets the quantity shortable for the Symbol at the given date.
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/// </summary>
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/// <param name="symbol">Symbol to lookup shortable quantity</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>Quantity shortable. Null if the data for the brokerage/date does not exist.</returns>
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public long? ShortableQuantity(Symbol symbol, DateTime localTime)
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{
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if (ShortableDataDirectory == null)
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{
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return 0;
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}
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// Implicitly trusts that Symbol.Value has been mapped and updated to the latest ticker
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var shortableSymbolFile = Path.Combine(ShortableDataDirectory.FullName, "symbols", $"{symbol.Value.ToLowerInvariant()}.csv");
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var localDate = localTime.Date;
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foreach (var line in DataProvider.ReadLines(shortableSymbolFile))
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{
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var csv = line.Split(',');
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var date = Parse.DateTimeExact(csv[0], "yyyyMMdd");
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if (localDate == date)
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{
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var quantity = Parse.Long(csv[1]);
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return quantity;
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}
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}
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// Any missing entry will be considered to be unshortable.
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return 0;
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}
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}
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}
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