Martin-Molinero
4b94f50754
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- Zip entries will be sourced from cache provider - Option underlying will use SubscriptionDataSource to fetch it's data. Fixing bug where it would let through an old data point, or miss sending data through.
95 lines
3.9 KiB
C#
95 lines
3.9 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.Data;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Provides an implementation of <see cref="ISubscriptionDataSourceReader"/> that reads zip entry names
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/// </summary>
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public class ZipEntryNameSubscriptionDataSourceReader : ISubscriptionDataSourceReader
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{
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private readonly IDataCacheProvider _dataProvider;
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private readonly SubscriptionDataConfig _config;
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private readonly DateTime _date;
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private readonly bool _isLiveMode;
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private readonly BaseData _factory;
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/// <summary>
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/// Event fired when the specified source is considered invalid, this may
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/// be from a missing file or failure to download a remote source
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/// </summary>
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public event EventHandler<InvalidSourceEventArgs> InvalidSource;
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/// <summary>
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/// Initializes a new instance of the <see cref="ZipEntryNameSubscriptionDataSourceReader"/> class
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/// </summary>
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/// <param name="dataProvider">Used to fetch data</param>
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/// <param name="config">The subscription's configuration</param>
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/// <param name="date">The date this factory was produced to read data for</param>
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/// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
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public ZipEntryNameSubscriptionDataSourceReader(IDataCacheProvider dataProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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_date = date;
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_config = config;
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_isLiveMode = isLiveMode;
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_dataProvider = dataProvider;
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_factory = config.GetBaseDataInstance();
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}
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/// <summary>
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/// Reads the specified <paramref name="source"/>
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/// </summary>
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/// <param name="source">The source to be read</param>
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/// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
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public IEnumerable<BaseData> Read(SubscriptionDataSource source)
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{
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List<string> entryNames;
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try
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{
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entryNames = _dataProvider.GetZipEntries(source.Source);
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}
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catch (Exception err)
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{
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OnInvalidSource(source, err);
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yield break;
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}
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foreach (var entryFileName in entryNames)
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{
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var instance = _factory.Reader(_config, entryFileName, _date, _isLiveMode);
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if (instance != null && instance.EndTime != default(DateTime))
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{
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yield return instance;
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}
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}
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}
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/// <summary>
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/// Event invocator for the <see cref="InvalidSource"/> event
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/// </summary>
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/// <param name="source">The <see cref="SubscriptionDataSource"/> that was invalid</param>
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/// <param name="exception">The exception if one was raised, otherwise null</param>
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private void OnInvalidSource(SubscriptionDataSource source, Exception exception)
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{
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InvalidSource?.Invoke(this, new InvalidSourceEventArgs(source, exception));
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}
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}
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}
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