quantconnect--lean/Engine/DataFeeds/CollectionSubscriptionDataSourceReader.cs

/*
 * 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;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.DataFeeds.Transport;

namespace QuantConnect.Lean.Engine.DataFeeds
{
    /// <summary>
    /// Collection Subscription Factory takes a BaseDataCollection from BaseData factories
    /// and yields it one point at a time to the algorithm
    /// </summary>
    public class CollectionSubscriptionDataSourceReader : ISubscriptionDataSourceReader
    {

        private readonly DateTime _date;
        private readonly bool _isLiveMode;
        private readonly BaseData _factory;
        private readonly SubscriptionDataConfig _config;
        private readonly IDataCacheProvider _dataCacheProvider;

        /// <summary>
        /// Initializes a new instance of the <see cref="CollectionSubscriptionDataSourceReader"/> class
        /// </summary>
        /// <param name="dataCacheProvider">Used to cache data for requested from the IDataProvider</param>
        /// <param name="config">The subscription's configuration</param>
        /// <param name="date">The date this factory was produced to read data for</param>
        /// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
        public CollectionSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
        {
            _dataCacheProvider = dataCacheProvider;
            _date = date;
            _config = config;
            _isLiveMode = isLiveMode;
            _factory = _config.GetBaseDataInstance();
        }

        /// <summary>
        /// Event fired when the specified source is considered invalid, this may
        /// be from a missing file or failure to download a remote source
        /// </summary>
        public event EventHandler<InvalidSourceEventArgs> InvalidSource;

        /// <summary>
        /// Event fired when an exception is thrown during a call to
        /// <see cref="BaseData.Reader(SubscriptionDataConfig, string, DateTime, bool)"/>
        /// </summary>
        public event EventHandler<ReaderErrorEventArgs> ReaderError;

        /// <summary>
        /// Reads the specified <paramref name="source"/>
        /// </summary>
        /// <param name="source">The source to be read</param>
        /// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
        public IEnumerable<BaseData> Read(SubscriptionDataSource source)
        {
            SubscriptionDataSourceReader.CheckRemoteFileCache();

            IStreamReader reader = null;
            try
            {
                try
                {
                    switch (source.TransportMedium)
                    {
                        default:
                        case SubscriptionTransportMedium.Rest:
                            reader = new RestSubscriptionStreamReader(source.Source, source.Headers, _isLiveMode);
                            break;
                        case SubscriptionTransportMedium.LocalFile:
                            reader = new LocalFileSubscriptionStreamReader(_dataCacheProvider, source.Source);
                            break;
                        case SubscriptionTransportMedium.RemoteFile:
                            reader = new RemoteFileSubscriptionStreamReader(_dataCacheProvider, source.Source, Globals.Cache, source.Headers);
                            break;
                    }
                }
                catch (Exception e)
                {
                    OnInvalidSource(source, e);
                    yield break;
                }

                if (reader.EndOfStream)
                {
                    OnInvalidSource(source, new Exception($"The reader was empty for source: ${source.Source}"));
                    yield break;
                }

                var raw = "";
                while (!reader.EndOfStream)
                {
                    BaseDataCollection instances = null;
                    try
                    {
                        raw = reader.ReadLine();
                        var result = _factory.Reader(_config, raw, _date, _isLiveMode);
                        instances = result as BaseDataCollection;
                        if (instances == null && !reader.ShouldBeRateLimited)
                        {
                            OnInvalidSource(source, new Exception("Reader must generate a BaseDataCollection with the FileFormat.Collection"));
                            continue;
                        }
                    }
                    catch (Exception err)
                    {
                        OnReaderError(raw, err);
                        if (!reader.ShouldBeRateLimited)
                        {
                            continue;
                        }
                    }

                    if (_isLiveMode
                        // this shouldn't happen, rest reader is the only one to be rate limited
                        // and in live mode, but just in case...
                        || instances == null && reader.ShouldBeRateLimited)
                    {
                        yield return instances;
                    }
                    else
                    {
                        foreach (var instance in instances.Data)
                        {
                            if (instance != null && instance.EndTime != default(DateTime))
                            {
                                yield return instance;
                            }
                        }
                    }
                }
            }
            finally
            {
                if (reader != null)
                    reader.Dispose();
            }
        }

        /// <summary>
        /// Event invocator for the <see cref="ReaderError"/> event
        /// </summary>
        /// <param name="line">The line that caused the exception</param>
        /// <param name="exception">The exception that was caught</param>
        private void OnReaderError(string line, Exception exception)
        {
            var handler = ReaderError;
            if (handler != null) handler(this, new ReaderErrorEventArgs(line, exception));
        }

        /// <summary>
        /// Event invocator for the <see cref="InvalidSource"/> event
        /// </summary>
        /// <param name="source">The <see cref="SubscriptionDataSource"/> that was invalid</param>
        /// <param name="exception">The exception if one was raised, otherwise null</param>
        private void OnInvalidSource(SubscriptionDataSource source, Exception exception)
        {
            var handler = InvalidSource;
            if (handler != null) handler(this, new InvalidSourceEventArgs(source, exception));
        }
    }
}