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/*
* 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.Globalization;
using System.IO;
using System.Linq;
using static QuantConnect.StringExtensions;
namespace QuantConnect.Data.UniverseSelection
{
/// <summary>
/// Defines summary information about a single symbol for a given date
/// </summary>
public class CoarseFundamental : BaseData
{
/// <summary>
/// Gets the market for this symbol
/// </summary>
public string Market { get; set; }
/// <summary>
/// Gets the day's dollar volume for this symbol
/// </summary>
public decimal DollarVolume { get; set; }
/// <summary>
/// Gets the day's total volume
/// </summary>
public long Volume { get; set; }
/// <summary>
/// Returns whether the symbol has fundamental data for the given date
/// </summary>
public bool HasFundamentalData { get; set; }
/// <summary>
/// Gets the price factor for the given date
/// </summary>
public decimal PriceFactor { get; set; } = 1m;
/// <summary>
/// Gets the split factor for the given date
/// </summary>
public decimal SplitFactor { get; set; } = 1m;
/// <summary>
/// Gets the combined factor used to create adjusted prices from raw prices
/// </summary>
public decimal PriceScaleFactor => PriceFactor * SplitFactor;
/// <summary>
/// Gets the split and dividend adjusted price
/// </summary>
public decimal AdjustedPrice => Price * PriceScaleFactor;
/// <summary>
/// The end time of this data.
/// </summary>
public override DateTime EndTime
{
get { return Time + QuantConnect.Time.OneDay; }
set { Time = value - QuantConnect.Time.OneDay; }
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamental"/> class
/// </summary>
public CoarseFundamental()
{
DataType = MarketDataType.Auxiliary;
}
/// <summary>
/// Return the URL string source of the file. This will be converted to a stream
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source file</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>String URL of source file.</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
var path = Path.Combine(Globals.DataFolder, "equity", config.Market, "fundamental", "coarse", Invariant($"{date:yyyyMMdd}.csv"));
return new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var coarse = new CoarseFundamental
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
Time = date,
Market = config.Market,
Value = csv[2].ToDecimal(),
Volume = csv[3].ToInt64(),
DollarVolume = csv[4].ToDecimal()
};
if (csv.Length > 5)
{
coarse.HasFundamentalData = csv[5].ConvertInvariant<bool>();
}
if (csv.Length > 7)
{
coarse.PriceFactor = csv[6].ToDecimal();
coarse.SplitFactor = csv[7].ToDecimal();
}
return coarse;
}
catch (Exception)
{
return null;
}
}
/// <summary>
/// Return a new instance clone of this object, used in fill forward
/// </summary>
/// <returns>A clone of the current object</returns>
public override BaseData Clone()
{
return new CoarseFundamental
{
Symbol = Symbol,
Time = Time,
DollarVolume = DollarVolume,
Market = Market,
Value = Value,
Volume = Volume,
DataType = MarketDataType.Auxiliary,
HasFundamentalData = HasFundamentalData,
PriceFactor = PriceFactor,
SplitFactor = SplitFactor
};
}
/// <summary>
/// Creates the symbol used for coarse fundamental data
/// </summary>
/// <param name="market">The market</param>
/// <param name="addGuid">True, will add a random GUID to allow uniqueness</param>
/// <returns>A coarse universe symbol for the specified market</returns>
public static Symbol CreateUniverseSymbol(string market, bool addGuid = true)
{
market = market.ToLowerInvariant();
var ticker = $"qc-universe-coarse-{market}";
if (addGuid)
{
ticker += $"-{Guid.NewGuid()}";
}
var sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
return new Symbol(sid, ticker);
}
/// <summary>
/// Converts a given fundamental data point into row format
/// </summary>
public static string ToRow(CoarseFundamental coarse)
{
// sid,symbol,close,volume,dollar volume,has fundamental data,price factor,split factor
var values = new object[]
{
coarse.Symbol.ID,
coarse.Symbol.Value,
coarse.Value,
coarse.Volume,
coarse.DollarVolume,
coarse.HasFundamentalData,
coarse.PriceFactor,
coarse.SplitFactor
};
return string.Join(",", values.Select(s => Convert.ToString(s, CultureInfo.InvariantCulture)));
}
}
}