Files
quantconnect--lean/DownloaderDataProvider/DataDownloadConfig.cs
T
Roman Yavnikov 86fcc40c3e
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Feature: Generic brokerage downloader wrapper (#8235)
* feat: new constructor of AlgorithmNodePacket

* refactor: extract JobQueue configuration

* remove: not used `using` in IDataDownloader

* feat: create BrokerageDataDownloader

* Revert "refactor: extract JobQueue configuration"

This reverts commit 5778936b712befd6e367bee3decc4a3565ca69af.

* Revert "feat: new constructor of AlgorithmNodePacket"

This reverts commit d7a565ff761243ae1391bd45fd10c93221f0329e.

* feat: new config `data-download-brokerage` in DataDownloadProvider

* refactor: initialize in BrokerageDataDownloader

* remove: not used `using` in Program's DataDownloadProvider

* remove: not used ref on QuantConnect.Queue proj

* refactor: use default market based on SecurityType

* refactor: MarketName in DataDownloadConfig struct
test:feat: validate MarketName

* feat: support Canonical Symbols in BrokerageDataDownloader

* remove: not used command arguments

* feat: init CacheProvider of IOptionChainProvider in Downloader

* feat: add brokerage message event in BrokerageDataDownloader
2024-07-31 19:02:13 -03:00

152 lines
6.7 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.Globalization;
using QuantConnect.Logging;
using QuantConnect.Brokerages;
using QuantConnect.Configuration;
using QuantConnect.DownloaderDataProvider.Launcher.Models.Constants;
namespace QuantConnect.DownloaderDataProvider.Launcher
{
/// <summary>
/// Represents the configuration for data download.
/// </summary>
public struct DataDownloadConfig
{
/// <summary>
/// Type of tick data to download.
/// </summary>
public TickType TickType { get; }
/// <summary>
/// Type of security for which data is to be downloaded.
/// </summary>
public SecurityType SecurityType { get; }
/// <summary>
/// Resolution of the downloaded data.
/// </summary>
public Resolution Resolution { get; }
/// <summary>
/// Start date for the data download.
/// </summary>
public DateTime StartDate { get; }
/// <summary>
/// End date for the data download.
/// </summary>
public DateTime EndDate { get; }
/// <summary>
/// Market name for which the data is to be downloaded.
/// </summary>
public string MarketName { get; }
/// <summary>
/// List of symbols for which data is to be downloaded.
/// </summary>
public List<Symbol> Symbols { get; } = new();
/// <summary>
/// Initializes a new instance of the <see cref="DataDownloadConfig"/> struct.
/// </summary>
/// <param name="parameters">Dictionary containing the parameters for data download.</param>
public DataDownloadConfig()
{
TickType = ParseEnum<TickType>(Config.Get(DownloaderCommandArguments.CommandDataType).ToString());
SecurityType = ParseEnum<SecurityType>(Config.Get(DownloaderCommandArguments.CommandSecurityType).ToString());
Resolution = ParseEnum<Resolution>(Config.Get(DownloaderCommandArguments.CommandResolution).ToString());
StartDate = DateTime.ParseExact(Config.Get(DownloaderCommandArguments.CommandStartDate).ToString(), DateFormat.EightCharacter, CultureInfo.InvariantCulture);
EndDate = DateTime.ParseExact(Config.Get(DownloaderCommandArguments.CommandEndDate).ToString(), DateFormat.EightCharacter, CultureInfo.InvariantCulture);
#pragma warning disable CA1308 // class Market keeps all name in lowercase
MarketName = Config.Get(DownloaderCommandArguments.CommandMarketName).ToString().ToLower(CultureInfo.InvariantCulture);
#pragma warning restore CA1308
if (string.IsNullOrEmpty(MarketName))
{
MarketName = DefaultBrokerageModel.DefaultMarketMap[SecurityType];
Log.Trace($"{nameof(DataDownloadConfig)}: Default market '{MarketName}' applied for SecurityType '{SecurityType}'");
}
if (!Market.SupportedMarkets().Contains(MarketName))
{
throw new ArgumentException($"The specified market '{MarketName}' is not supported. Supported markets are: {string.Join(", ", Market.SupportedMarkets())}.");
}
foreach (var ticker in (Config.GetValue<Dictionary<string, string>>(DownloaderCommandArguments.CommandTickers))!.Keys)
{
Symbols.Add(Symbol.Create(ticker, SecurityType, MarketName));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="DataDownloadConfig"/> class with the specified parameters.
/// </summary>
/// <param name="tickType">The type of tick data to be downloaded.</param>
/// <param name="securityType">The type of security for which data is being downloaded.</param>
/// <param name="resolution">The resolution of the data being downloaded.</param>
/// <param name="startDate">The start date for the data download range.</param>
/// <param name="endDate">The end date for the data download range.</param>
/// <param name="market">The name of the market from which the data is being downloaded.</param>
/// <param name="symbols">A list of symbols for which data is being downloaded.</param>
public DataDownloadConfig(TickType tickType, SecurityType securityType, Resolution resolution, DateTime startDate, DateTime endDate, string market, List<Symbol> symbols)
{
TickType = tickType;
SecurityType = securityType;
Resolution = resolution;
StartDate = startDate;
EndDate = endDate;
MarketName = market;
Symbols = symbols;
}
/// <summary>
/// Returns a string representation of the <see cref="DataDownloadConfig"/> struct.
/// </summary>
/// <returns>A string representation of the <see cref="DataDownloadConfig"/> struct.</returns>
public override string ToString()
{
return $"TickType: {TickType}, " +
$"SecurityType: {SecurityType}, " +
$"Resolution: {Resolution}, " +
$"StartDate: {StartDate:yyyyMMdd}, " +
$"EndDate: {EndDate:yyyyMMdd}, " +
$"MarketName: {MarketName}, " +
$"Symbols: {string.Join(", ", Symbols.Select(s => s.ToString()))}";
}
/// <summary>
/// Parses a string value to an enum of type <typeparamref name="TEnum"/>.
/// </summary>
/// <typeparam name="TEnum">The enum type to parse to.</typeparam>
/// <param name="value">The string value to parse.</param>
/// <returns>The parsed enum value.</returns>
private static TEnum ParseEnum<TEnum>(string value) where TEnum : struct, Enum
{
if (!Enum.TryParse(value, true, out TEnum result) || !Enum.IsDefined(typeof(TEnum), result))
{
throw new ArgumentException($"Invalid {typeof(TEnum).Name} specified. Please provide a valid {typeof(TEnum).Name}.");
}
return result;
}
}
}