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Fred.cs
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Fred.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 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 QuantConnect.Data;
using System;
using System.Collections.Generic;
using Newtonsoft.Json;
using System.Linq;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Configuration;
namespace QuantConnect.DataSource
{
public partial class Fred : BaseData
{
private static string _authCode = "";
/// <summary>
/// Data source ID
/// </summary>
public static int DataSourceId { get; } = 2010;
/// <summary>
/// Flag indicating whether or not the FRED auth code has been set yet
/// </summary>
public static bool IsAuthCodeSet
{
get;
private set;
}
/// <summary>
/// Static constructor for the <see cref="Fred"/>
/// </summary>
static Fred()
{
// Se the authentication code in FRED if it's set in Config
var potentialAuthenticationCode = Config.Get("fred-auth-token");
if (!string.IsNullOrEmpty(potentialAuthenticationCode))
{
SetAuthCode(potentialAuthenticationCode);
}
}
/// <summary>
/// Default <see cref="Fred"/> constructor
/// </summary>
public Fred()
{
}
/// <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 source = $"https://api.stlouisfed.org/fred/series/observations?file_type=json&observation_start=1998-01-01&api_key={_authCode}&series_id={config.Symbol.Value.ToLowerInvariant()}";
return new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile, FileFormat.UnfoldingCollection);
}
/// <summary>
/// Parses the data from the line provided and loads it into LEAN
/// </summary>
/// <param name="config">Subscription configuration</param>
/// <param name="line">Line of data</param>
/// <param name="date">Date</param>
/// <param name="isLiveMode">Is live mode</param>
/// <returns>New instance of FRED data</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
if (!IsAuthCodeSet)
{
throw new ArgumentNullException("The authentication code has not been set yet. " +
"Please, set your FRED authentication code first, before requesting data.");
}
var json = JsonConvert.DeserializeObject<FredApi>(line);
var entries = json.Observations.Where(x => x.Value != ".").Select(x =>
{
return new Fred
{
Symbol = config.Symbol,
Value = x.Value.ToDecimal(),
Time = x.Date,
EndTime = x.Date + TimeSpan.FromDays(1)
};
});
return new BaseDataCollection(date, config.Symbol, entries);
}
/// <summary>
/// Set the FRED authentication code to request the data.
/// </summary>
/// <param name="authCode"></param>
public static void SetAuthCode(string authCode)
{
if (string.IsNullOrWhiteSpace(authCode)) return;
_authCode = authCode;
IsAuthCodeSet = true;
}
/// <summary>
/// Clones the data
/// </summary>
/// <returns>A clone of the object</returns>
public override BaseData Clone()
{
return new Fred()
{
Symbol = Symbol,
Value = Value,
Time = Time,
EndTime = EndTime
};
}
/// <summary>
/// Indicates whether the data source is tied
/// to an underlying symbol and requires that corporate
/// events be applied to it as well, such as renames and delistings
/// </summary>
/// <returns>false</returns>
public override bool RequiresMapping()
{
return false;
}
/// <summary>
/// Indicates whether the data is sparse.
/// If true, we disable logging for missing files
/// </summary>
/// <returns>true</returns>
public override bool IsSparseData()
{
return true;
}
/// <summary>
/// Converts the instance to string
/// </summary>
public override string ToString()
{
return $"{Symbol} - {Value}";
}
/// <summary>
/// Gets the default resolution for this data and security type
/// </summary>
public override Resolution DefaultResolution()
{
return Resolution.Daily;
}
/// <summary>
/// Gets the supported resolution for this data and security type
/// </summary>
public override List<Resolution> SupportedResolutions()
{
return DailyResolution;
}
}
}