Files
quantconnect--lean/Common/Data/DiskDataCacheProvider.cs
T
Colton Sellers dd4da7ba95
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Feature Daily/Hourly Options Support (#6017)
* Create generic writing for LeanDataWriter, + notes on todos

* Make Options Daily/Hourly data store by year

* Refactor Generic Write

* Permit hour and daily resolutions for options

* Refactor writer to merge when needed with other files

* Cleanup redundancies, run write tasks in parallel

* Make needed classes/vars available

* Update tests to reflect new naming convention for daily hourly options data

* Add Byte[] overloads for ZipData functions in compression

* Implemented Store() for ZipDataCacheProvider

* Have LeanDataWriter use a DataCacheProvider

* ZipDataCacheProvider cleanup

* ZipDataCacheProvider tweaks, doesn't support storing non-zips

* Test adjustments

* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond

* Implement tests to verify DownloadAndSave behavior

* Nit cleanup on DownloadAndSave tests

* Fix for options daily/hourly underlying equity subscription read

* Add daily/hourly options data and regressions

* Add missing open interest for hourly

* Fix writing of OpenInterest Daily/Hourly data

* Update data

* Fix Date typo in regression

* Use daily algorithm to test delisting

* Revisions part 1

* Expand test for DataCacheProviders; refactor DiskDataCacheProvider

* nit - test adjustments

* ZipDataCacheProvider test setup refactor

* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider

* Move DiskDataCacheProvider to its own file and add write test

* Remove _appendToZips; always overwrite entry or create zip

* Add mapping regression for daily options

* nit - add license to regression

* Fix Tick write case where more than one data point for a DateTime

* Fix data issue

* Address review

* Tweaks for tests

* Stop Store() early if no entry name is given
2021-11-11 20:05:31 -03:00

104 lines
3.4 KiB
C#

/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System.IO;
using Ionic.Zip;
using QuantConnect.Interfaces;
using QuantConnect.Logging;
using QuantConnect.Util;
namespace QuantConnect.Data
{
/// <summary>
/// Simple data cache provider, writes and reads directly from disk
/// Used as default for <see cref="LeanDataWriter"/>
/// </summary>
public class DiskDataCacheProvider : IDataCacheProvider
{
/// <summary>
/// Property indicating the data is temporary in nature and should not be cached.
/// </summary>
public bool IsDataEphemeral => false;
/// <summary>
/// Fetch data from the cache
/// </summary>
/// <param name="key">A string representing the key of the cached data</param>
/// <returns>An <see cref="Stream"/> of the cached data</returns>
public Stream Fetch(string key)
{
LeanData.ParseKey(key, out var filePath, out var entryName);
if (!File.Exists(filePath))
{
return null;
}
try
{
using (var zip = ZipFile.Read(filePath))
{
ZipEntry entry;
if (entryName.IsNullOrEmpty())
{
// Return the first entry
entry = zip[0];
}
else
{
// Attempt to find our specific entry
if (!zip.ContainsEntry(entryName))
{
return null;
}
entry = zip[entryName];
}
// Extract our entry and return it
var stream = new MemoryStream();
entry.Extract(stream);
return stream;
}
}
catch (ZipException exception)
{
Log.Error("DiskDataCacheProvider.Fetch(): Corrupt file: " + key + " Error: " + exception);
return null;
}
}
/// <summary>
/// Store the data in the cache. Not implemented in this instance of the IDataCacheProvider
/// </summary>
/// <param name="key">The source of the data, used as a key to retrieve data in the cache</param>
/// <param name="data">The data as a byte array</param>
public void Store(string key, byte[] data)
{
LeanData.ParseKey(key, out var filePath, out var entryName);
Compression.ZipCreateAppendData(filePath, entryName, data, true);
}
/// <summary>
/// Dispose for this class
/// </summary>
public void Dispose()
{
//NOP
}
}
}