Market Data Reader for QuantConnect.Lean

LeanReaderFactory.cs

// It seems there's no easy way to extract the Stock Data form the Data Directory. Here's a small helper (only tested with SPY).
// The Zip-Files have already to be existent!

public class LeanReaderFactory
{

    private string DataDir;

    public LeanReaderFactory(string dataDir)
    {
        DataDir = dataDir;
    }

    private IEnumerable<DateTime> TradeableDays(DateTime start, DateTime end)
    {
        var d = start;
        while (d <= end)
        {
            yield return d;
            d = d.AddDays(1);
        }
    }

    public SubscriptionDataReader CreateReader(DateTime start, DateTime end, string symbol, string market, Resolution resolution)
    {
        QuantConnect.Configuration.Config.Set("data-folder", DataDir);
        Globals.Reset();

        var mapFileProvider = new LocalDiskMapFileProvider();
        var mapFileResolver = new MapFileResolver(mapFileProvider.Get(market));
        var fileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
        var securityIdentifier = SecurityIdentifier.GenerateEquity(new DateTime(1999, 01, 01), symbol, market);
        var subscriptionDataConfig = new SubscriptionDataConfig(typeof(TradeBar), new Symbol(securityIdentifier, symbol), resolution, DateTimeZone.Utc, DateTimeZone.Utc, false, false, false);

        return new SubscriptionDataReader(subscriptionDataConfig, start, end, mapFileResolver, fileProvider, TradeableDays(start, end), false, new ZipDataCacheProvider(new DefaultDataProvider()));
    }
}

var readerFactory = new LeanReaderFactory(@"Path\To\Data\...");
var reader = readerFactory.CreateReader(start, end, "SPY", "usa", Resolution.Minute);
while (reader.MoveNext())
{
    var bar = (TradeBar)reader.Current;
}