dd4da7ba95
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
104 lines
3.4 KiB
C#
104 lines
3.4 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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*/
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using System.IO;
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using Ionic.Zip;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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using QuantConnect.Util;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Simple data cache provider, writes and reads directly from disk
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/// Used as default for <see cref="LeanDataWriter"/>
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/// </summary>
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public class DiskDataCacheProvider : IDataCacheProvider
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{
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/// <summary>
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/// Property indicating the data is temporary in nature and should not be cached.
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/// </summary>
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public bool IsDataEphemeral => false;
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/// <summary>
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/// Fetch data from the cache
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/// </summary>
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/// <param name="key">A string representing the key of the cached data</param>
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/// <returns>An <see cref="Stream"/> of the cached data</returns>
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public Stream Fetch(string key)
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{
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LeanData.ParseKey(key, out var filePath, out var entryName);
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if (!File.Exists(filePath))
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{
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return null;
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}
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try
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{
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using (var zip = ZipFile.Read(filePath))
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{
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ZipEntry entry;
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if (entryName.IsNullOrEmpty())
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{
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// Return the first entry
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entry = zip[0];
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}
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else
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{
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// Attempt to find our specific entry
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if (!zip.ContainsEntry(entryName))
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{
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return null;
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}
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entry = zip[entryName];
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}
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// Extract our entry and return it
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var stream = new MemoryStream();
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entry.Extract(stream);
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return stream;
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}
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}
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catch (ZipException exception)
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{
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Log.Error("DiskDataCacheProvider.Fetch(): Corrupt file: " + key + " Error: " + exception);
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return null;
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}
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}
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/// <summary>
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/// Store the data in the cache. Not implemented in this instance of the IDataCacheProvider
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/// </summary>
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/// <param name="key">The source of the data, used as a key to retrieve data in the cache</param>
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/// <param name="data">The data as a byte array</param>
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public void Store(string key, byte[] data)
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{
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LeanData.ParseKey(key, out var filePath, out var entryName);
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Compression.ZipCreateAppendData(filePath, entryName, data, true);
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}
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/// <summary>
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/// Dispose for this class
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/// </summary>
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public void Dispose()
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{
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//NOP
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}
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}
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}
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