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Feature implement ExchangeInfoDownloader #6213

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rjra2611
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Description

  • Implement IExchangeInfoDownloader for GDAX brokerage
  • Add Tests for GDAXExchangeInfoDownloader
  • Modify Extensions.DownloadData to accept custom headers

Related Issue

Motivation and Context

Automate the process to update the symbol properties database

Requires Documentation Change

No

How Has This Been Tested?

Tests have been added

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@rjra2611 rjra2611 force-pushed the feature-implement-IExchangeInfoDownloader-gdax branch from 3b9ac59 to b8414ce Compare February 17, 2022 17:36
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@Martin-Molinero Martin-Molinero left a comment

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Cool! Leaving couple minor comments

Data/symbol-properties/symbol-properties-database.csv Outdated Show resolved Hide resolved
Data/symbol-properties/symbol-properties-database.csv Outdated Show resolved Hide resolved
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@Martin-Molinero Martin-Molinero left a comment

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Cool! Leaving minor comments

Tests/Common/Securities/CashTests.cs Show resolved Hide resolved
@rjra2611 rjra2611 force-pushed the feature-implement-IExchangeInfoDownloader-gdax branch from 80d857b to 66ca347 Compare February 22, 2022 14:07
@Martin-Molinero Martin-Molinero merged commit f129ab1 into QuantConnect:master Feb 22, 2022
@rjra2611 rjra2611 deleted the feature-implement-IExchangeInfoDownloader-gdax branch February 25, 2022 20:36
AlexCatarino pushed a commit to AlexCatarino/Lean that referenced this pull request Mar 17, 2022
* add gdax exchange info downloader

* add downloader method to program]

* fetch currency description

* change definition to include headers

* use extension method to make request

* remove log from test

* replace WebRequest

* cleanup

* use relevant name

* implement IExchangeInfoDownloader for bitfinex, initial commit

* add default values

* use default market value

* use correct attribute for lotsize

* don't skip missing values

* handle multiple downloaders

* add gdax and bitfinex exchange downloader

* follow LEAN data directory structure

* update SPDB

* order tickers

* order tickers

* add exchange info downloader test template

* delete files

* update SPDB

* use currency mapping

* update bitfinex symbols

* update currency mapping

* sort result after old currency symbols are used

* use market of the respective brokerage

* no more unknown symbol

* change minimum order size value

* direct conversion possible

* update bitfinex symbols

* change user-agent

* add test for indirect conversion

* update stats
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2 participants