#1462 Added: Initial support for Ivolatility equity data import #1527
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ToolBox support for converting Ivolatility equity data to Lean TradeBar format for min,hour,day resolutions. Also adds Gzip stream reader to list of supported zip formats.
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Nice first PR @feribg! I've made some comments about minor changes but the structure and code looks clean overall. I can't test this without a IV data can you confirm it works with some sample data they provide through the website?
| /// Closes the specified source file stream | ||
| /// </summary> | ||
| /// <param name="source">The source file to be closed</param> | ||
| public void Close(string source) |
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Will you need to close the stream above?
| using ikvm.extensions; | ||
| using QuantConnect.Data.Market; | ||
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| namespace QuantConnect.ToolBox.IvolatilityEquityConverter |
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Guessing this should be capital V? (+plus the file name)
| { | ||
| var splits = fileName.Split('_'); | ||
| var ticker = splits[2].toLowerCase(); | ||
| return Symbol.Create(ticker, SecurityType.Equity, Market.USA); |
| var priceBid = Decimal.Parse(linearray[PriceBidField]); | ||
| var sizeBid = Decimal.Parse(linearray[SizeBidField]); | ||
| var priceAsk = Decimal.Parse(linearray[PriceAskField]); | ||
| var sizeAsk = Decimal.Parse(linearray[SizeAskField]); |
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The quote bar information will be lost in the trade bar file. Maybe there's enough information to write QuoteBars for equity as well?
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We can write both QuoteBar and TradeBar, but for quotes all 4 OHLC values will be identical as mentioned in the ticket. I will add support for both.
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@mchandschuh There's a problem writing Quote bars due to invalid cast when writing equity quotes for minute resolution. Issue is, it tries to cast to TradeBar even though im providing it quote bars. So for this current PR I will ignore and comment on it in the code.
case SecurityType.Equity:
switch (resolution)
{
case Resolution.Tick:
var tick = (Tick) data;
return ToCsv(milliseconds, Scale(tick.LastPrice), tick.Quantity, tick.Exchange, tick.SaleCondition, tick.Suspicious ? "1" : "0");
case Resolution.Minute:
case Resolution.Second:
var bar = (TradeBar) data;
return ToCsv(milliseconds, Scale(bar.Open), Scale(bar.High), Scale(bar.Low), Scale(bar.Close), bar.Volume);
case Resolution.Hour:
case Resolution.Daily:
var bigBar = (TradeBar) data;
return ToCsv(longTime, Scale(bigBar.Open), Scale(bigBar.High), Scale(bigBar.Low), Scale(bigBar.Close), bigBar.Volume);
}
break;
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@feribg - friendly reminder that this is awaiting your action. |
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@mchandschuh |
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@feribg -- is it possible to separate the pull requests so we can merge them individually? Does the IVolatility equity import require the factor file generator changes? |
Close opened streams, re-name namespace and add initial support for factor file generation.
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@mchandschuh This should be good to go, I did the suggested changes and I will add the factors as a separate PR although there's preliminary support in the program here. Here is a sample Ivol file that you can test with: |
ToolBox/QuantConnect.ToolBox.csproj
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| @@ -155,6 +155,8 @@ | |||
| <ItemGroup> | |||
| <Compile Include="GDAXDownloader\GDAXDownloader.cs" /> | |||
| <Compile Include="GDAXDownloader\Program.cs" /> | |||
| <Compile Include="GzipStreamProvider.cs" /> | |||
| <Compile Include="IvolatilityEquityConverter\Program.cs" /> | |||
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It looks like the actual file on disk uses IVolatilityEquityConverter (capital V) -- while this will go unnoticed on windows, on any case sensitive file system (such as used in unix systems) it will cause an error.
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Sorry Im actually working in Rider on Mac, so this was running fine and wen't unnoticed. Im guessing VS support for those files is much better.
Fix filename typo in the .csproj file
ToolBox support for converting Ivolatility equity data to
Lean TradeBar format for min,hour,day resolutions.
Also adds Gzip stream reader to list of supported zip formats.