FredApi.cs

/*
 * 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 QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using System;
using System.Collections.Generic;
using System.Globalization;

namespace QuantConnect.DataSource
{
#pragma warning disable 1591
    public class FredApi : BaseData
    {
        /// <summary>
        /// Data source ID
        /// </summary>
        public static int DataSourceId { get; } = 2011;

        [JsonProperty("realtime_start")]
        public string RealtimeStart { get; set; }

        [JsonProperty("realtime_end")]
        public string RealtimeEnd { get; set; }

        [JsonProperty("observation_start")]
        public string ObservationStart { get; set; }

        [JsonProperty("observation_end")]
        public string ObservationEnd { get; set; }

        [JsonProperty("units")]
        public string Units { get; set; }

        [JsonProperty("output_type")]
        public int OutputType { get; set; }

        [JsonProperty("file_type")]
        public string FileType { get; set; }

        [JsonProperty("order_by")]
        public string OrderBy { get; set; }

        [JsonProperty("sort_order")]
        public string SortOrder { get; set; }

        [JsonProperty("count")]
        public int Count { get; set; }

        [JsonProperty("offset")]
        public int Offset { get; set; }

        [JsonProperty("limit")]
        public int Limit { get; set; }

        [JsonProperty("observations")]
        public IList<Observation> Observations { get; set; }
#pragma warning restore 1591

        /// <summary>
        /// Gets the FRED API token.
        /// </summary>
        public static string AuthCode { get; private set; } = string.Empty;

        /// <summary>
        /// Returns true if the FRED API token has been set.
        /// </summary>
        public static bool IsAuthCodeSet { get; private set; }

        /// <summary>
        /// Sets the EIA API token.
        /// </summary>
        /// <param name="authCode">The EIA API token</param>
        public static void SetAuthCode(string authCode)
        {
            if (string.IsNullOrWhiteSpace(authCode)) return;

            AuthCode = authCode;
            IsAuthCodeSet = true;
        }

        /// <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)
        {
            return new SubscriptionDataSource(
                $"https://api.stlouisfed.org/fred/series/observations?file_type=json&observation_start=1998-01-01&api_key={AuthCode}&series_id={config.Symbol}",
                SubscriptionTransportMedium.Rest,
                FileFormat.UnfoldingCollection);
        }

        /// <summary>
        /// Readers the specified configuration.
        /// </summary>
        /// <param name="config">The configuration.</param>
        /// <param name="content">The content.</param>
        /// <param name="date">The date.</param>
        /// <param name="isLiveMode">if set to <c>true</c> [is live mode].</param>
        /// <returns></returns>
        public override BaseData Reader(SubscriptionDataConfig config, string content, DateTime date, bool isLiveMode)
        {
            var series = JsonConvert.DeserializeObject<FredApi>(content).Observations;
            var objectList = new List<FredApi>();
            foreach (var observation in series)
            {
                decimal value;
                if (Parse.TryParse(observation.Value, NumberStyles.Any, out value))
                {
                    objectList.Add(new FredApi
                    {
                        Symbol = config.Symbol,
                        Time = observation.Date,
                        EndTime = observation.Date + TimeSpan.FromDays(1),
                        Value = value
                    });
                }
            }
            return new BaseDataCollection(date, config.Symbol, objectList);
        }

        public class Observation
        {
            [JsonProperty("realtime_start")]
            public string RealtimeStart { get; set; }
                                                      
            [JsonProperty("realtime_end")]
            public string RealtimeEnd { get; set; }
                                                      
            [JsonProperty("date")]
            public DateTime Date { get; set; }
                                                      
            [JsonProperty("value")]
            public string Value { get; set; }
        }
    }
}