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Store traded securities' subscriptions in results (#7567)
* Store traded securities subscription data configs to disk * Delegate traded subscriptions storage to the data monitor * Add unit tests * Address peer review * Minor changes
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133
Common/Data/Serialization/SerializedSubscriptionDataConfig.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,133 @@ | ||
| /* | ||
| * 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 Newtonsoft.Json; | ||
| using Newtonsoft.Json.Converters; | ||
| using System.Collections.Generic; | ||
| using System.Linq; | ||
|
|
||
| namespace QuantConnect.Data.Serialization | ||
| { | ||
| /// <summary> | ||
| /// Data transfer object used for serializing a <see cref="SubscriptionDataConfig"/> | ||
| /// </summary> | ||
| public class SerializedSubscriptionDataConfig | ||
| { | ||
| /// <summary> | ||
| /// Easy access to the order symbol associated with this event. | ||
| /// </summary> | ||
| [JsonProperty("symbol")] | ||
| public Symbol Symbol { get; set; } | ||
|
|
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| /// <summary> | ||
| /// Security type | ||
| /// </summary> | ||
| [JsonProperty("security-type"), JsonConverter(typeof(StringEnumConverter), true)] | ||
| public SecurityType SecurityType { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// Subscription resolution | ||
| /// </summary> | ||
| [JsonProperty("resolution"), JsonConverter(typeof(StringEnumConverter), true)] | ||
| public Resolution Resolution { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// Extended market hours | ||
| /// </summary> | ||
| [JsonProperty("extended-market-hours")] | ||
| public bool ExtendedMarketHours { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// Data normalization mode | ||
| /// </summary> | ||
| [JsonProperty("data-normalization-mode"), JsonConverter(typeof(StringEnumConverter), true)] | ||
| public DataNormalizationMode DataNormalizationMode { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// Data mapping mode | ||
| /// </summary> | ||
| [JsonProperty("data-mapping-mode"), JsonConverter(typeof(StringEnumConverter), true)] | ||
| public DataMappingMode DataMappingMode { get; set; } | ||
|
|
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| /// <summary> | ||
| /// Contract depth offset | ||
| /// </summary> | ||
| [JsonProperty("contract-depth-offset")] | ||
| public uint ContractDepthOffset { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// Whether the subscription configuration is for a custom data type | ||
| /// </summary> | ||
| [JsonProperty("is-custom-data")] | ||
| public bool IsCustomData { get; set; } | ||
|
|
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| /// <summary> | ||
| /// The subscription data configuration tick type | ||
| /// </summary> | ||
| [JsonProperty("tick-types", ItemConverterType = typeof(StringEnumConverter))] | ||
| public List<TickType> TickTypes { get; set; } | ||
|
|
||
| /// <summary> | ||
| /// The data type | ||
| /// </summary> | ||
| [JsonProperty("type")] | ||
| public string Type { get; set; } | ||
|
|
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| /// <summary> | ||
| /// Empty constructor required for JSON converter. | ||
| /// </summary> | ||
| protected SerializedSubscriptionDataConfig() | ||
| { | ||
| } | ||
|
|
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| /// <summary> | ||
| /// Creates a new instance based on the provided config | ||
| /// </summary> | ||
| public SerializedSubscriptionDataConfig(SubscriptionDataConfig config) | ||
| { | ||
| Symbol = config.Symbol; | ||
| SecurityType = config.SecurityType; | ||
| Resolution = config.Resolution; | ||
| ExtendedMarketHours = config.ExtendedMarketHours; | ||
| DataNormalizationMode = config.DataNormalizationMode; | ||
| DataMappingMode = config.DataMappingMode; | ||
| ContractDepthOffset = config.ContractDepthOffset; | ||
| IsCustomData = config.IsCustomData; | ||
| TickTypes = new() { config.TickType }; | ||
| Type = config.Type.ToString(); | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// Creates a new instance based on the provided configs for the same symbol | ||
| /// </summary> | ||
| public SerializedSubscriptionDataConfig(IEnumerable<SubscriptionDataConfig> configs) | ||
| : this(configs.First()) | ||
| { | ||
| var tickTypes = configs.Select(config => config.TickType); | ||
| if (SubscriptionManager.DefaultDataTypes().TryGetValue(SecurityType, out var dataTypes)) | ||
| { | ||
| // Sort tick types by the order of the default data types. | ||
| // Using IndexOf is acceptably here because the number of tick types is quite small. | ||
| tickTypes = tickTypes.OrderBy(tickType => | ||
| { | ||
| var index = dataTypes.IndexOf(tickType); | ||
| return index != -1 ? index : int.MaxValue; | ||
| }); | ||
| } | ||
|
|
||
| TickTypes = tickTypes.ToList(); | ||
| } | ||
| } | ||
| } |
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