NasdaqBitfinexDownloader.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 System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect.DataSource
{
    /// <summary>
    /// Nasdaq Bitfinex Data Downloader class
    /// </summary>
    public class NasdaqBitfinexDownloader : IDataDownloader
    {
        protected readonly string _apiKey;

        /// <summary>
        /// Initializes a new instance of the <see cref="NasdaqBitfinexDownloader"/> class
        /// </summary>
        /// <param name="apiKey">The nasdaq api key</param>
        /// <param name="scaleFactor">Scale factor used to scale the data, useful for changing the BTC units</param>
        public NasdaqBitfinexDownloader(string apiKey)
        {
            _apiKey = apiKey;
        }

        /// <summary>
        /// Get historical data enumerable for Bitfinex from Nasdaq
        /// </summary>
        /// <param name="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
        /// <returns>Enumerable of base data for this symbol</returns>
        public IEnumerable<BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
        {
            var symbol = dataDownloaderGetParameters.Symbol;
            var resolution = dataDownloaderGetParameters.Resolution;
            var startUtc = dataDownloaderGetParameters.StartUtc;
            var endUtc = dataDownloaderGetParameters.EndUtc;
            var tickType = dataDownloaderGetParameters.TickType;

            if (tickType != TickType.Trade)
            {
                yield break;
            }

            if (resolution != Resolution.Daily)
            {
                throw new ArgumentException("Only daily data is currently supported.");
            }

            const string collapse = "daily";

            var url = "https://data.nasdaq.com/api/v3/datasets/BCHARTS/BITFINEXUSD.csv?order=asc&collapse=" + collapse + "&api_key=" + _apiKey + "&start_date="
                + startUtc.ToStringInvariant("yyyy-MM-dd");
            using (var cl = new WebClient())
            {
                var data = cl.DownloadString(url);

                // skip the header line
                foreach (var item in data.Split('\n').Skip(1))
                {
                    var line = item.Split(',');
                    if (line.Length != 8)
                    {
                        continue;
                    }

                    var bar = new TradeBar
                    {
                        Time = Parse.DateTime(line[0]),
                        Open = Parse.Decimal(line[1]),
                        High = Parse.Decimal(line[2]),
                        Low = Parse.Decimal(line[3]),
                        Close = Parse.Decimal(line[4]),
                        Value = Parse.Decimal(line[7]),
                        Volume = (long)Parse.Decimal(line[5]),
                        Symbol = symbol,
                        DataType = MarketDataType.TradeBar,
                        Period = Time.OneDay
                    };

                    yield return bar;
                }
            }
        }
    }
}