Adalyat Nazirov
0c26d42561
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* replace to local functions as they are more performant * fix random generator upper bound Next() includes minValue, but not maxValue, so we increment it +1 * introduce abstract layers * refactoring * fix tets * adapt tests * fixup * implement blackschole price model for options * use risk free rate * use ql price model * wip * change interface * fix * tidy up the code * wip * iterate groupped symbols * wip * wip * fix * allow symbol of different types * improve settings * wip * iterate full range * fix issue with negative option * fix * fixup * use StandardDeviationOfReturnsVolatilityModel * re-use existing tick types per security type * parametrize underlying security type * use default option style * dynamic option price model * fix enumeration * test * fix unit tests * refactor code * remove unused file * minor tweaks and refactoring * rename symbol generator class * fix interface * add comments * more comments and unit tests * more tests * add disclaimer * more tests * more comments and tests * split tests into different files * tidy up the code * tidy up the code; more tests * refactor TickGenerator => use security price directly on each iteration * remove dupe; reuse main constructor * use SecurityManager, refactor code * bugfix: save ticks in history array * check volatility warm up & tests * more unit tests * describe volatility period span in settings * rename command line option * Minor adjusments. Address review - Use Lean log handler instead of writting directly to console - Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator - Minor format clean up & standarization - Add support for specifying the option chain size * Rename TickGenerator private fields * Fix unit tests * fix tests class name * Support tickers being specified Co-authored-by: Martin-Molinero <martin@quantconnect.com>
266 lines
14 KiB
C#
266 lines
14 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 QuantConnect.Configuration;
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using QuantConnect.Logging;
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using QuantConnect.ToolBox.AlgoSeekFuturesConverter;
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using QuantConnect.ToolBox.AlgoSeekOptionsConverter;
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using QuantConnect.ToolBox.AlphaVantageDownloader;
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using QuantConnect.ToolBox.BinanceDownloader;
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using QuantConnect.ToolBox.BitfinexDownloader;
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using QuantConnect.ToolBox.CoarseUniverseGenerator;
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using QuantConnect.ToolBox.CoinApiDataConverter;
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using QuantConnect.ToolBox.CryptoiqDownloader;
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using QuantConnect.ToolBox.DukascopyDownloader;
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using QuantConnect.ToolBox.GDAXDownloader;
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using QuantConnect.ToolBox.IBDownloader;
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using QuantConnect.ToolBox.IEX;
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using QuantConnect.ToolBox.IQFeedDownloader;
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using QuantConnect.ToolBox.IVolatilityEquityConverter;
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using QuantConnect.ToolBox.KaikoDataConverter;
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using QuantConnect.ToolBox.KrakenDownloader;
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using QuantConnect.ToolBox.NseMarketDataConverter;
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using QuantConnect.ToolBox.OandaDownloader;
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using QuantConnect.ToolBox.Polygon;
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using QuantConnect.ToolBox.QuandlBitfinexDownloader;
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using QuantConnect.ToolBox.QuantQuoteConverter;
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using QuantConnect.ToolBox.RandomDataGenerator;
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using QuantConnect.ToolBox.YahooDownloader;
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using QuantConnect.ToolBox.ZerodhaDownloader;
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using QuantConnect.Util;
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using System;
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using System.IO;
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using QuantConnect.Interfaces;
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using static QuantConnect.Configuration.ApplicationParser;
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namespace QuantConnect.ToolBox
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{
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public class Program
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{
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public static void Main(string[] args)
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{
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Log.DebuggingEnabled = Config.GetBool("debug-mode");
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var destinationDir = Config.Get("results-destination-folder");
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if (!string.IsNullOrEmpty(destinationDir))
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{
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Directory.CreateDirectory(destinationDir);
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Log.FilePath = Path.Combine(destinationDir, "log.txt");
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}
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Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
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var optionsObject = ToolboxArgumentParser.ParseArguments(args);
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if (optionsObject.Count == 0)
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{
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PrintMessageAndExit();
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}
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var dataProvider
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= Composer.Instance.GetExportedValueByTypeName<IDataProvider>(Config.Get("data-provider", "DefaultDataProvider"));
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var mapFileProvider
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= Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "LocalDiskMapFileProvider"));
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var factorFileProvider
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= Composer.Instance.GetExportedValueByTypeName<IFactorFileProvider>(Config.Get("factor-file-provider", "LocalDiskFactorFileProvider"));
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mapFileProvider.Initialize(dataProvider);
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factorFileProvider.Initialize(mapFileProvider, dataProvider);
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var targetApp = GetParameterOrExit(optionsObject, "app").ToLowerInvariant();
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if (targetApp.Contains("download") || targetApp.EndsWith("dl"))
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{
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var fromDate = Parse.DateTimeExact(GetParameterOrExit(optionsObject, "from-date"), "yyyyMMdd-HH:mm:ss");
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var resolution = optionsObject.ContainsKey("resolution") ? optionsObject["resolution"].ToString() : "";
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var market = optionsObject.ContainsKey("market") ? optionsObject["market"].ToString() : "";
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var securityType = optionsObject.ContainsKey("security-type") ? optionsObject["security-type"].ToString() : "";
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var tickers = ToolboxArgumentParser.GetTickers(optionsObject);
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var toDate = optionsObject.ContainsKey("to-date")
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? Parse.DateTimeExact(optionsObject["to-date"].ToString(), "yyyyMMdd-HH:mm:ss")
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: DateTime.UtcNow;
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switch (targetApp)
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{
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case "zdl":
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case "zerodhadownloader":
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ZerodhaDataDownloaderProgram.ZerodhaDataDownloader(tickers, market, resolution, securityType, fromDate, toDate);
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break;
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case "gdaxdl":
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case "gdaxdownloader":
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GDAXDownloaderProgram.GDAXDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "cdl":
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case "cryptoiqdownloader":
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CryptoiqDownloaderProgram.CryptoiqDownloader(tickers, GetParameterOrExit(optionsObject, "exchange"), fromDate, toDate);
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break;
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case "ddl":
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case "dukascopydownloader":
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DukascopyDownloaderProgram.DukascopyDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "ibdl":
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case "ibdownloader":
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IBDownloaderProgram.IBDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "iexdl":
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case "iexdownloader":
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IEXDownloaderProgram.IEXDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "iqfdl":
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case "iqfeeddownloader":
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IQFeedDownloaderProgram.IQFeedDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "kdl":
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case "krakendownloader":
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KrakenDownloaderProgram.KrakenDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "odl":
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case "oandadownloader":
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OandaDownloaderProgram.OandaDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "qbdl":
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case "quandlbitfinexdownloader":
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QuandlBitfinexDownloaderProgram.QuandlBitfinexDownloader(fromDate, GetParameterOrExit(optionsObject, "api-key"));
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break;
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case "ydl":
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case "yahoodownloader":
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YahooDownloaderProgram.YahooDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "bfxdl":
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case "bitfinexdownloader":
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BitfinexDownloaderProgram.BitfinexDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "mbxdl":
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case "binancedownloader":
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BinanceDownloaderProgram.DataDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "pdl":
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case "polygondownloader":
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PolygonDownloaderProgram.PolygonDownloader(
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tickers,
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GetParameterOrExit(optionsObject, "security-type"),
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GetParameterOrExit(optionsObject, "market"),
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resolution,
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fromDate,
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toDate);
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break;
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case "avdl":
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case "alphavantagedownloader":
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AlphaVantageDownloaderProgram.AlphaVantageDownloader(
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tickers,
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resolution,
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fromDate,
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toDate,
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GetParameterOrExit(optionsObject, "api-key")
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);
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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else if (targetApp.Contains("updater") || targetApp.EndsWith("spu"))
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{
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switch (targetApp)
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{
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case "mbxspu":
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case "binancesymbolpropertiesupdater":
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BinanceDownloaderProgram.ExchangeInfoDownloader();
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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else
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{
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switch (targetApp)
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{
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case "asfc":
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case "algoseekfuturesconverter":
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AlgoSeekFuturesProgram.AlgoSeekFuturesConverter(GetParameterOrExit(optionsObject, "date"));
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break;
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case "asoc":
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case "algoseekoptionsconverter":
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AlgoSeekOptionsConverterProgram.AlgoSeekOptionsConverter(GetParameterOrExit(optionsObject, "date"));
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break;
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case "ivec":
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case "ivolatilityequityconverter":
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IVolatilityEquityConverterProgram.IVolatilityEquityConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "source-meta-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrExit(optionsObject, "resolution"));
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break;
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case "kdc":
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case "kaikodataconverter":
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KaikoDataConverterProgram.KaikoDataConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "date"),
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GetParameterOrDefault(optionsObject, "exchange", string.Empty));
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break;
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case "cadc":
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case "coinapidataconverter":
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CoinApiDataConverterProgram.CoinApiDataProgram(
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GetParameterOrExit(optionsObject, "date"),
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrDefault(optionsObject, "market", null));
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break;
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case "nmdc":
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case "nsemarketdataconverter":
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NseMarketDataConverterProgram.NseMarketDataConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"));
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break;
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case "qqc":
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case "quantquoteconverter":
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QuantQuoteConverterProgram.QuantQuoteConverter(GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "resolution"));
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break;
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case "cug":
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case "coarseuniversegenerator":
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CoarseUniverseGeneratorProgram.CoarseUniverseGenerator();
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break;
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case "rdg":
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case "randomdatagenerator":
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var tickers = ToolboxArgumentParser.GetTickers(optionsObject);
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RandomDataGeneratorProgram.RandomDataGenerator(
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GetParameterOrExit(optionsObject, "start"),
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GetParameterOrExit(optionsObject, "end"),
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GetParameterOrExit(optionsObject, "symbol-count"),
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GetParameterOrDefault(optionsObject, "market", null),
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GetParameterOrDefault(optionsObject, "security-type", "Equity"),
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GetParameterOrDefault(optionsObject, "resolution", "Minute"),
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GetParameterOrDefault(optionsObject, "data-density", "Dense"),
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GetParameterOrDefault(optionsObject, "include-coarse", "true"),
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GetParameterOrDefault(optionsObject, "quote-trade-ratio", "1"),
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GetParameterOrDefault(optionsObject, "random-seed", null),
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GetParameterOrDefault(optionsObject, "ipo-percentage", "5.0"),
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GetParameterOrDefault(optionsObject, "rename-percentage", "30.0"),
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GetParameterOrDefault(optionsObject, "splits-percentage", "15.0"),
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GetParameterOrDefault(optionsObject, "dividends-percentage", "60.0"),
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GetParameterOrDefault(optionsObject, "dividend-every-quarter-percentage", "30.0"),
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GetParameterOrDefault(optionsObject, "option-price-engine", "BaroneAdesiWhaleyApproximationEngine"),
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GetParameterOrDefault(optionsObject, "volatility-model-resolution", "Daily"),
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GetParameterOrDefault(optionsObject, "chain-symbol-count", "1"),
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tickers
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);
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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}
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}
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}
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