-
-
Notifications
You must be signed in to change notification settings - Fork 3.1k
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Adds DynamicDataConsolidator and uses in ResolveConsolidator
Also renamed example algorithm filenames to match the type name
- Loading branch information
1 parent
47a2e64
commit ef04c41
Showing
19 changed files
with
514 additions
and
81 deletions.
There are no files selected for viewing
File renamed without changes.
File renamed without changes.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
File renamed without changes.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,155 @@ | ||
| /* | ||
| * 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 System.Linq; | ||
| using QuantConnect.Data.Market; | ||
|
|
||
| namespace QuantConnect.Data.Consolidators | ||
| { | ||
| /// <summary> | ||
| /// A data csolidator that can make trade bars from DynamicData derived types. This is useful for | ||
| /// aggregating Quandl and other highly flexible dynamic custom data types. | ||
| /// </summary> | ||
| public class DynamicDataConsolidator : TradeBarConsolidatorBase<DynamicData> | ||
| { | ||
| private bool _first = true; | ||
| private readonly bool _hasVolume; | ||
| private readonly bool _isTradeBar; | ||
|
|
||
| /// <summary> | ||
| /// Creates a consolidator to produce a new 'TradeBar' representing the period. Setting both isTradeBar and hasVolume to | ||
| /// false will result in time-value aggregation only. | ||
| /// </summary> | ||
| /// <param name="period">The minimum span of time before emitting a consolidated bar</param> | ||
| /// <param name="isTradeBar">Set to true if the dynamic data has Open, High, Low, and Close properties defined</param> | ||
| /// <param name="hasVolume">Set to true if the dynamic data has Volume defined</param> | ||
| public DynamicDataConsolidator(TimeSpan period, bool isTradeBar, bool hasVolume) | ||
| : base(period) | ||
| { | ||
| _isTradeBar = isTradeBar; | ||
| _hasVolume = hasVolume; | ||
| } | ||
| /// <summary> | ||
| /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data. Setting both isTradeBar and hasVolume to | ||
| /// false will result in time-value aggregation only. | ||
| /// </summary> | ||
| /// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param> | ||
| /// <param name="isTradeBar">Set to true if the dynamic data has Open, High, Low, and Close properties defined</param> | ||
| /// <param name="hasVolume">Set to true if the dynamic data has Volume defined</param> | ||
| public DynamicDataConsolidator(int maxCount, bool isTradeBar, bool hasVolume) | ||
| : base(maxCount) | ||
| { | ||
| _isTradeBar = isTradeBar; | ||
| _hasVolume = hasVolume; | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first. | ||
| /// Setting both isTradeBar and hasVolume to false will result in time-value aggregation only. | ||
| /// </summary> | ||
| /// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param> | ||
| /// <param name="period">The minimum span of time before emitting a consolidated bar</param> | ||
| /// <param name="isTradeBar">Set to true if the dynamic data has Open, High, Low, and Close properties defined</param> | ||
| /// <param name="hasVolume">Set to true if the dynamic data has Volume defined</param> | ||
| public DynamicDataConsolidator(int maxCount, TimeSpan period, bool isTradeBar, bool hasVolume) | ||
| : base(maxCount, period) | ||
| { | ||
| _isTradeBar = isTradeBar; | ||
| _hasVolume = hasVolume; | ||
| } | ||
|
|
||
| protected override void AggregateBar(ref TradeBar workingBar, DynamicData data) | ||
| { | ||
| if (_first) | ||
| { | ||
| _first = false; | ||
| // the first time through we're going to inspect the data instance and verify | ||
| // the properties exist. We'll check them all first and throw a message containing | ||
| // all expected and all missing properties names. | ||
| VerifyDataShape(data); | ||
| } | ||
|
|
||
| decimal open, high, low, close; | ||
| long volume = 0; | ||
| if (_isTradeBar) | ||
| { | ||
| open = (decimal) Convert.ChangeType(data.GetProperty("Open"), typeof (decimal)); | ||
| high = (decimal) Convert.ChangeType(data.GetProperty("High"), typeof (decimal)); | ||
| low = (decimal) Convert.ChangeType(data.GetProperty("Low"), typeof (decimal)); | ||
| close = (decimal) Convert.ChangeType(data.GetProperty("Close"), typeof (decimal)); | ||
| } | ||
| else | ||
| { | ||
| // fall back on regular time-value aggregation | ||
| open = high = low = close = data.Value; | ||
| } | ||
| if (_hasVolume) | ||
| { | ||
| volume = (long) Convert.ChangeType(data.GetProperty("Volume"), typeof (long)); | ||
| } | ||
|
|
||
| if (workingBar == null) | ||
| { | ||
| workingBar = new TradeBar | ||
| { | ||
| Symbol = data.Symbol, | ||
| Time = data.Time, | ||
| Open = open, | ||
| High = high, | ||
| Low = low, | ||
| Close = close, | ||
| Volume = volume | ||
| }; | ||
| } | ||
| else | ||
| { | ||
| //Aggregate the working bar | ||
| workingBar.Close = close; | ||
| workingBar.Volume += volume; | ||
| if (low < workingBar.Low) workingBar.Low = low; | ||
| if (high > workingBar.High) workingBar.High = high; | ||
| } | ||
| } | ||
|
|
||
| private void VerifyDataShape(DynamicData data) | ||
| { | ||
| var expected = new List<string>(); | ||
| if (_isTradeBar) | ||
| { | ||
| // expect OHLC data | ||
| expected.AddRange(new[]{"open", "high", "low", "close"}); | ||
| } | ||
| if (_hasVolume) | ||
| { | ||
| expected.Add("volume"); | ||
| } | ||
|
|
||
| var missing = expected.Where(propertyName => !data.HasProperty(propertyName)).ToList(); | ||
| if (missing.Any()) | ||
| { | ||
| var message = string.Format("Error in DynamicDataConsolidator while consolidating type '{0}' with symbol '{1}'. " + | ||
| "Expected property names: {2} but the following were missing: {3}", | ||
| data.GetType().Name, | ||
| data.Symbol, | ||
| string.Join(", ", expected), | ||
| string.Join(", ", missing) | ||
| ); | ||
|
|
||
| throw new Exception(message); | ||
| } | ||
| } | ||
| } | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.