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TradeBar.cs
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TradeBar.cs
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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 https://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 ProtoBuf;
using System.IO;
using System.Threading;
using QuantConnect.Util;
using System.Globalization;
using QuantConnect.Logging;
using static QuantConnect.StringExtensions;
namespace QuantConnect.Data.Market
{
/// <summary>
/// TradeBar class for second and minute resolution data:
/// An OHLC implementation of the QuantConnect BaseData class with parameters for candles.
/// </summary>
[ProtoContract(SkipConstructor = true)]
public class TradeBar : BaseData, IBaseDataBar
{
// scale factor used in QC equity/forex data files
private const decimal _scaleFactor = 1 / 10000m;
private int _initialized;
private decimal _open;
private decimal _high;
private decimal _low;
/// <summary>
/// Volume:
/// </summary>
[ProtoMember(101)]
public virtual decimal Volume { get; set; }
/// <summary>
/// Opening price of the bar: Defined as the price at the start of the time period.
/// </summary>
[ProtoMember(102)]
public virtual decimal Open
{
get { return _open; }
set
{
Initialize(value);
_open = value;
}
}
/// <summary>
/// High price of the TradeBar during the time period.
/// </summary>
[ProtoMember(103)]
public virtual decimal High
{
get { return _high; }
set
{
Initialize(value);
_high = value;
}
}
/// <summary>
/// Low price of the TradeBar during the time period.
/// </summary>
[ProtoMember(104)]
public virtual decimal Low
{
get { return _low; }
set
{
Initialize(value);
_low = value;
}
}
/// <summary>
/// Closing price of the TradeBar. Defined as the price at Start Time + TimeSpan.
/// </summary>
[ProtoMember(105)]
public virtual decimal Close
{
get { return Value; }
set
{
Initialize(value);
Value = value;
}
}
/// <summary>
/// The closing time of this bar, computed via the Time and Period
/// </summary>
public override DateTime EndTime
{
get { return Time + Period; }
set { Period = value - Time; }
}
/// <summary>
/// The period of this trade bar, (second, minute, daily, ect...)
/// </summary>
[ProtoMember(106)]
public virtual TimeSpan Period { get; set; }
//In Base Class: Alias of Closing:
//public decimal Price;
//Symbol of Asset.
//In Base Class: public Symbol Symbol;
//In Base Class: DateTime Of this TradeBar
//public DateTime Time;
/// <summary>
/// Default initializer to setup an empty tradebar.
/// </summary>
public TradeBar()
{
Symbol = Symbol.Empty;
DataType = MarketDataType.TradeBar;
Period = QuantConnect.Time.OneMinute;
}
/// <summary>
/// Cloner constructor for implementing fill forward.
/// Return a new instance with the same values as this original.
/// </summary>
/// <param name="original">Original tradebar object we seek to clone</param>
public TradeBar(TradeBar original)
{
DataType = MarketDataType.TradeBar;
Time = new DateTime(original.Time.Ticks);
Symbol = original.Symbol;
Value = original.Close;
Open = original.Open;
High = original.High;
Low = original.Low;
Close = original.Close;
Volume = original.Volume;
Period = original.Period;
_initialized = 1;
}
/// <summary>
/// Initialize Trade Bar with OHLC Values:
/// </summary>
/// <param name="time">DateTime Timestamp of the bar</param>
/// <param name="symbol">Market MarketType Symbol</param>
/// <param name="open">Decimal Opening Price</param>
/// <param name="high">Decimal High Price of this bar</param>
/// <param name="low">Decimal Low Price of this bar</param>
/// <param name="close">Decimal Close price of this bar</param>
/// <param name="volume">Volume sum over day</param>
/// <param name="period">The period of this bar, specify null for default of 1 minute</param>
public TradeBar(DateTime time, Symbol symbol, decimal open, decimal high, decimal low, decimal close, decimal volume, TimeSpan? period = null)
{
Time = time;
Symbol = symbol;
Value = close;
Open = open;
High = high;
Low = low;
Close = close;
Volume = volume;
Period = period ?? QuantConnect.Time.OneMinute;
DataType = MarketDataType.TradeBar;
_initialized = 1;
}
/// <summary>
/// TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
//Handle end of file:
if (line == null)
{
return null;
}
if (isLiveMode)
{
return new TradeBar();
}
try
{
switch (config.SecurityType)
{
//Equity File Data Format:
case SecurityType.Equity:
return ParseEquity(config, line, date);
//FOREX has a different data file format:
case SecurityType.Forex:
return ParseForex(config, line, date);
case SecurityType.Crypto:
case SecurityType.CryptoFuture:
return ParseCrypto(config, line, date);
case SecurityType.Cfd:
return ParseCfd(config, line, date);
case SecurityType.Index:
return ParseIndex(config, line, date);
case SecurityType.Option:
case SecurityType.FutureOption:
case SecurityType.IndexOption:
return ParseOption(config, line, date);
case SecurityType.Future:
return ParseFuture(config, line, date);
}
}
catch (Exception err)
{
Log.Error(Invariant($"TradeBar.Reader(): Error parsing line: '{line}', Symbol: {config.Symbol.Value}, SecurityType: ") +
Invariant($"{config.SecurityType}, Resolution: {config.Resolution}, Date: {date:yyyy-MM-dd}, Message: {err}")
);
}
// if we couldn't parse it above return a default instance
return new TradeBar { Symbol = config.Symbol, Period = config.Increment };
}
/// <summary>
/// TradeBar Reader: Fetch the data from the QC storage and feed it directly from the stream into the engine.
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="stream">The file data stream</param>
/// <param name="date">Date of this reader request</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
{
//Handle end of file:
if (stream == null || stream.EndOfStream)
{
return null;
}
if (isLiveMode)
{
return new TradeBar();
}
try
{
switch (config.SecurityType)
{
//Equity File Data Format:
case SecurityType.Equity:
return ParseEquity(config, stream, date);
//FOREX has a different data file format:
case SecurityType.Forex:
return ParseForex(config, stream, date);
case SecurityType.Crypto:
case SecurityType.CryptoFuture:
return ParseCrypto(config, stream, date);
case SecurityType.Index:
return ParseIndex(config, stream, date);
case SecurityType.Cfd:
return ParseCfd(config, stream, date);
case SecurityType.Option:
case SecurityType.FutureOption:
case SecurityType.IndexOption:
return ParseOption(config, stream, date);
case SecurityType.Future:
return ParseFuture(config, stream, date);
}
}
catch (Exception err)
{
Log.Error(Invariant($"TradeBar.Reader(): Error parsing stream, Symbol: {config.Symbol.Value}, SecurityType: ") +
Invariant($"{config.SecurityType}, Resolution: {config.Resolution}, Date: {date:yyyy-MM-dd}, Message: {err}")
);
}
// we need to consume a line anyway, to advance the stream
stream.ReadLine();
// if we couldn't parse it above return a default instance
return new TradeBar { Symbol = config.Symbol, Period = config.Increment };
}
/// <summary>
/// Parses the trade bar data line assuming QC data formats
/// </summary>
public static TradeBar Parse(SubscriptionDataConfig config, string line, DateTime baseDate)
{
switch (config.SecurityType)
{
case SecurityType.Equity:
return ParseEquity(config, line, baseDate);
case SecurityType.Forex:
case SecurityType.Crypto:
case SecurityType.CryptoFuture:
return ParseForex(config, line, baseDate);
case SecurityType.Cfd:
return ParseCfd(config, line, baseDate);
}
return null;
}
/// <summary>
/// Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <returns></returns>
public static T ParseEquity<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Symbol = config.Symbol,
Period = config.Increment
};
ParseEquity(tradeBar, config, line, date);
return tradeBar;
}
/// <summary>
/// Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">Date of this reader request</param>
/// <returns></returns>
public static TradeBar ParseEquity(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
var tradeBar = new TradeBar
{
Symbol = config.Symbol,
Period = config.Increment
};
StreamParseScale(config, streamReader, date, useScaleFactor: true, tradeBar, true);
return tradeBar;
}
private static void ParseEquity(TradeBar tradeBar, SubscriptionDataConfig config, string line, DateTime date)
{
LineParseScale(config, line, date, useScaleFactor: true, tradeBar, hasVolume: true);
}
/// <summary>
/// Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <returns></returns>
public static TradeBar ParseEquity(SubscriptionDataConfig config, string line, DateTime date)
{
var tradeBar = new TradeBar
{
Symbol = config.Symbol,
Period = config.Increment
};
ParseEquity(tradeBar, config, line, date);
return tradeBar;
}
/// <summary>
/// Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseForex<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Symbol = config.Symbol,
Period = config.Increment
};
LineParseNoScale(config, line, date, tradeBar, hasVolume: false);
return tradeBar;
}
/// <summary>
/// Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
public static T ParseCrypto<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Symbol = config.Symbol,
Period = config.Increment
};
LineParseNoScale(config, line, date, tradeBar);
return tradeBar;
}
/// <summary>
/// Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
public static TradeBar ParseCrypto(SubscriptionDataConfig config, string line, DateTime date)
{
return LineParseNoScale(config, line, date);
}
/// <summary>
/// Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
public static TradeBar ParseCrypto(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
return StreamParseNoScale(config, streamReader, date);
}
/// <summary>
/// Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseForex(SubscriptionDataConfig config, string line, DateTime date)
{
return LineParseNoScale(config, line, date, hasVolume: false);
}
/// <summary>
/// Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseForex(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
return StreamParseNoScale(config, streamReader, date, hasVolume: false);
}
/// <summary>
/// Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseCfd<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
// CFD has the same data format as Forex
return ParseForex<T>(config, line, date);
}
/// <summary>
/// Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseCfd(SubscriptionDataConfig config, string line, DateTime date)
{
// CFD has the same data format as Forex
return ParseForex(config, line, date);
}
/// <summary>
/// Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseCfd(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
// CFD has the same data format as Forex
return ParseForex(config, streamReader, date);
}
/// <summary>
/// Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseOption<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
LineParseScale(config, line, date, useScaleFactor: LeanData.OptionUseScaleFactor(config.Symbol), tradeBar, hasVolume: true);
return tradeBar;
}
/// <summary>
/// Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseOption<T>(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
StreamParseScale(config, streamReader, date, useScaleFactor: LeanData.OptionUseScaleFactor(config.Symbol), tradeBar, true);
return tradeBar;
}
/// <summary>
/// Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseFuture<T>(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
StreamParseNoScale(config, streamReader, date, tradeBar);
return tradeBar;
}
/// <summary>
/// Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseFuture<T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
LineParseNoScale(config, line, date, tradeBar);
return tradeBar;
}
/// <summary>
/// Parse an index bar from the LEAN disk format
/// </summary>
public static TradeBar ParseIndex(SubscriptionDataConfig config, string line, DateTime date)
{
return LineParseNoScale(config, line, date);
}
/// <summary>
/// Parse an index bar from the LEAN disk format
/// </summary>
private static TradeBar LineParseNoScale(SubscriptionDataConfig config, string line, DateTime date, TradeBar bar = null, bool hasVolume = true)
{
var tradeBar = bar ?? new TradeBar
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(hasVolume ? 6 : 5);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
tradeBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
// Using custom "ToDecimal" conversion for speed on high resolution data.
tradeBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
tradeBar.Open = csv[1].ToDecimal();
tradeBar.High = csv[2].ToDecimal();
tradeBar.Low = csv[3].ToDecimal();
tradeBar.Close = csv[4].ToDecimal();
if (hasVolume)
{
tradeBar.Volume = csv[5].ToDecimal();
}
return tradeBar;
}
/// <summary>
/// Parse an index bar from the LEAN disk format
/// </summary>
private static TradeBar StreamParseNoScale(SubscriptionDataConfig config, StreamReader streamReader, DateTime date, TradeBar bar = null, bool hasVolume = true)
{
var tradeBar = bar ?? new TradeBar
{
Period = config.Increment,
Symbol = config.Symbol
};
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
tradeBar.Time = streamReader.GetDateTime().ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
// Using custom "ToDecimal" conversion for speed on high resolution data.
tradeBar.Time = date.Date.AddMilliseconds(streamReader.GetInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
tradeBar.Open = streamReader.GetDecimal();
tradeBar.High = streamReader.GetDecimal();
tradeBar.Low = streamReader.GetDecimal();
tradeBar.Close = streamReader.GetDecimal();
if (hasVolume)
{
tradeBar.Volume = streamReader.GetDecimal();
}
return tradeBar;
}
private static TradeBar LineParseScale(SubscriptionDataConfig config, string line, DateTime date, bool useScaleFactor, TradeBar bar = null, bool hasVolume = true)
{
var tradeBar = bar ?? new TradeBar
{
Period = config.Increment,
Symbol = config.Symbol
};
LineParseNoScale(config, line, date, tradeBar, hasVolume);
if (useScaleFactor)
{
tradeBar.Open *= _scaleFactor;
tradeBar.High *= _scaleFactor;
tradeBar.Low *= _scaleFactor;
tradeBar.Close *= _scaleFactor;
}
return tradeBar;
}
private static TradeBar StreamParseScale(SubscriptionDataConfig config, StreamReader streamReader, DateTime date, bool useScaleFactor, TradeBar bar = null, bool hasVolume = true)
{
var tradeBar = bar ?? new TradeBar
{
Period = config.Increment,
Symbol = config.Symbol
};
StreamParseNoScale(config, streamReader, date, tradeBar, hasVolume);
if (useScaleFactor)
{
tradeBar.Open *= _scaleFactor;
tradeBar.High *= _scaleFactor;
tradeBar.Low *= _scaleFactor;
tradeBar.Close *= _scaleFactor;
}
return tradeBar;
}
/// <summary>
/// Parse an index bar from the LEAN disk format
/// </summary>
public static TradeBar ParseIndex(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
return StreamParseNoScale(config, streamReader, date);
}
/// <summary>
/// Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseOption(SubscriptionDataConfig config, string line, DateTime date)
{
return ParseOption<TradeBar>(config, line, date);
}
/// <summary>
/// Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseOption(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
return ParseOption<TradeBar>(config, streamReader, date);
}
/// <summary>
/// Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseFuture(SubscriptionDataConfig config, string line, DateTime date)
{
return ParseFuture<TradeBar>(config, line, date);
}
/// <summary>
/// Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static TradeBar ParseFuture(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
return ParseFuture<TradeBar>(config, streamReader, date);
}
/// <summary>
/// Update the tradebar - build the bar from this pricing information:
/// </summary>
/// <param name="lastTrade">This trade price</param>
/// <param name="bidPrice">Current bid price (not used) </param>
/// <param name="askPrice">Current asking price (not used) </param>
/// <param name="volume">Volume of this trade</param>
/// <param name="bidSize">The size of the current bid, if available</param>
/// <param name="askSize">The size of the current ask, if available</param>
public override void Update(decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
{
Initialize(lastTrade);
if (lastTrade > High) High = lastTrade;
if (lastTrade < Low) Low = lastTrade;
//Volume is the total summed volume of trades in this bar:
Volume += volume;
//Always set the closing price;
Close = lastTrade;
}
/// <summary>
/// Get Source for Custom Data File
/// >> What source file location would you prefer for each type of usage:
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source request if source spread across multiple files</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>String source location of the file</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
if (isLiveMode)
{
// this data type is streamed in live mode
return new SubscriptionDataSource(string.Empty, SubscriptionTransportMedium.Streaming);
}
var source = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, config.Resolution, config.TickType);
if (config.SecurityType == SecurityType.Future || config.SecurityType.IsOption())
{
source += "#" + LeanData.GenerateZipEntryName(config.Symbol, date, config.Resolution, config.TickType);
}
return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}
/// <summary>
/// Return a new instance clone of this object, used in fill forward
/// </summary>
/// <param name="fillForward">True if this is a fill forward clone</param>
/// <returns>A clone of the current object</returns>
public override BaseData Clone(bool fillForward)
{
var clone = base.Clone(fillForward);
if (fillForward)
{
// zero volume out, since it would skew calculations in volume-based indicators
((TradeBar)clone).Volume = 0;
}
return clone;
}
/// <summary>
/// Return a new instance clone of this object
/// </summary>
public override BaseData Clone()
{
return (BaseData)MemberwiseClone();
}
/// <summary>
/// Formats a string with the symbol and value.
/// </summary>
/// <returns>string - a string formatted as SPY: 167.753</returns>
public override string ToString()
{
return $"{Symbol}: " +
$"O: {Open.SmartRounding()} " +
$"H: {High.SmartRounding()} " +
$"L: {Low.SmartRounding()} " +
$"C: {Close.SmartRounding()} " +
$"V: {Volume.SmartRounding()}";
}
/// <summary>
/// Initializes this bar with a first data point
/// </summary>
/// <param name="value">The seed value for this bar</param>
private void Initialize(decimal value)
{
if (Interlocked.CompareExchange(ref _initialized, 1, 0) == 0)
{
_open = value;
_low = value;
_high = value;
}
}
}
}