Colton Sellers
5bf72d2432
Build & Test Lean / build (push) Has been cancelled
* Adjust TradeBar volume for splits * Refactor solution to centralized function `Scale` * Expand BaseData scale/adjust/normalize tests to assert volume behavior * Add regression algorithm * Update regression statistics * Address review * NOP to trigger cloud build * adjust QuoteBar ask and bid size * adjust broken regression * Update tests to include QuoteBar adjustments * nit cleanup * Adjust Quote Tick bid and ask sizes * Round volume and size values to nearest int in scale() * nit * Adjust regressions
105 lines
4.4 KiB
C#
105 lines
4.4 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.Data.Market;
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using QuantConnect.Securities;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Store data (either raw or adjusted) and the time at which it should be synchronized
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/// </summary>
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public class SubscriptionData
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{
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/// <summary>
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/// Data
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/// </summary>
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protected BaseData _data;
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/// <summary>
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/// Gets the data
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/// </summary>
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public virtual BaseData Data => _data;
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/// <summary>
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/// Gets the UTC emit time for this data
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/// </summary>
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public DateTime EmitTimeUtc { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="SubscriptionData"/> class
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/// </summary>
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/// <param name="data">The base data</param>
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/// <param name="emitTimeUtc">The emit time for the data</param>
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public SubscriptionData(BaseData data, DateTime emitTimeUtc)
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{
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_data = data;
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EmitTimeUtc = emitTimeUtc;
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}
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/// <summary>
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/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
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/// </summary>
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/// <param name="configuration">The subscription's configuration</param>
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/// <param name="exchangeHours">The exchange hours of the security</param>
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/// <param name="offsetProvider">The subscription's offset provider</param>
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/// <param name="data">The data being emitted</param>
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/// <param name="normalizationMode">Specifies how data is normalized</param>
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/// <param name="factor">price scale factor</param>
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/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
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public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal? factor = null)
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{
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if (data == null)
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{
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return null;
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}
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data = data.Clone(data.IsFillForward);
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var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
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// Let's round down for any data source that implements a time delta between
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// the start of the data and end of the data (usually used with Bars).
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// The time delta ensures that the time collected from `EndTime` has
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// no look-ahead bias, and is point-in-time.
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if (data.Time != data.EndTime)
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{
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data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
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}
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if (factor.HasValue && (factor.Value != 1 || configuration.SumOfDividends != 0))
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{
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var sumOfDividends = configuration.SumOfDividends;
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var normalizedData = data.Clone(data.IsFillForward);
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if (normalizationMode == DataNormalizationMode.Adjusted || normalizationMode == DataNormalizationMode.SplitAdjusted)
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{
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normalizedData.Adjust(factor.Value);
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}
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else if (normalizationMode == DataNormalizationMode.TotalReturn)
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{
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normalizedData.Scale(p => p * factor.Value + sumOfDividends, 1/factor.Value);
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}
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return new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc);
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}
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return new SubscriptionData(data, emitTimeUtc);
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}
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}
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}
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