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Configurable Map Zip Provider Lookback #9408

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Configurable Map Zip Provider Lookback #9408

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40 changes: 17 additions & 23 deletions Common/Data/Auxiliary/LocalZipMapFileProvider.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,7 @@
*/

using System;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Logging;
using System.Threading.Tasks;
Expand All @@ -27,6 +28,8 @@ namespace QuantConnect.Data.Auxiliary
/// </summary>
public class LocalZipMapFileProvider : IMapFileProvider
{
// To prevent infinite recursion if something is wrong with the zip files, we look back a maximum of 30 days by default
private readonly int _lookback = Config.GetInt("map-file-zip-lookback-days", 30);
private Dictionary<AuxiliaryDataKey, MapFileResolver> _cache;
private IDataProvider _dataProvider;
private object _lock;
Expand All @@ -50,7 +53,7 @@ protected virtual TimeSpan CacheRefreshPeriod
}

/// <summary>
/// Creates a new instance of the <see cref="LocalDiskFactorFileProvider"/>
/// Creates a new instance of the <see cref="LocalZipMapFileProvider"/>
/// </summary>
public LocalZipMapFileProvider()
{
Expand All @@ -68,7 +71,7 @@ public void Initialize(IDataProvider dataProvider)
{
return;
}

_dataProvider = dataProvider;
StartExpirationTask();
}
Expand All @@ -94,7 +97,7 @@ public MapFileResolver Get(AuxiliaryDataKey auxiliaryDataKey)
}

/// <summary>
/// Helper method that will clear any cached factor files in a daily basis, this is useful for live trading
/// Helper method that will clear any cached map files on a daily basis, this is useful for live trading
/// </summary>
protected virtual void StartExpirationTask()
{
Expand All @@ -112,35 +115,26 @@ private MapFileResolver GetMapFileResolver(AuxiliaryDataKey auxiliaryDataKey)
var timestamp = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork);
var todayNewYork = timestamp.Date;
var yesterdayNewYork = todayNewYork.AddDays(-1);

var endDate = yesterdayNewYork.AddDays(-_lookback);

// start the search with yesterday, today's file will be available tomorrow
var count = 0;
var date = yesterdayNewYork;
do
for (var date = yesterdayNewYork; date >= endDate; date = date.AddDays(-1))
{
var zipFileName = MapFileZipHelper.GetMapFileZipFileName(market, date, auxiliaryDataKey.SecurityType);

// Fetch a stream for our zip from our data provider
var stream = _dataProvider.Fetch(zipFileName);

// If we found a file we can read it
if (stream != null)
{
Log.Trace("LocalZipMapFileProvider.Get({0}): Fetched map files for: {1} NY", market, date.ToShortDateString());
var result = new MapFileResolver(MapFileZipHelper.ReadMapFileZip(stream, market, auxiliaryDataKey.SecurityType));
stream.DisposeSafely();
return result;
}

// prevent infinite recursion if something is wrong
if (count++ > 30)
{
throw new InvalidOperationException($"LocalZipMapFileProvider couldn't find any map files going all the way back to {date} for {market}");
}
// If we didn't find a file, continue to the next date
if (stream == null) continue;

date = date.AddDays(-1);
Log.Trace($"LocalZipMapFileProvider.Get({market}): Fetched map files for: {date.ToShortDateString()} NY ({(date - todayNewYork).Days} days ago).");
var result = new MapFileResolver(MapFileZipHelper.ReadMapFileZip(stream, market, auxiliaryDataKey.SecurityType));
stream.DisposeSafely();
return result;
}
while (true);

throw new InvalidOperationException($"LocalZipMapFileProvider couldn't find any map files going all the way back to {endDate.ToShortDateString()} for {market}, lookback limit is {_lookback} days");
}
}
}
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