chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.Consolidators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// A demonstration of consolidating futures data into larger bars for your algorithm.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="consolidating data" />
+    /// <meta name="tag" content="futures" />
+    public class BasicTemplateFuturesConsolidationAlgorithm : QCAlgorithm
+    {
+        private const string RootSP500 = Futures.Indices.SP500EMini;
+        private HashSet<Symbol> _futureContracts = new HashSet<Symbol>();
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 8);
+            SetEndDate(2013, 10, 11);
+            SetCash(1000000);
+
+            var futureSP500 = AddFuture(RootSP500);
+            // set our expiry filter for this future chain
+            // SetFilter method accepts TimeSpan objects or integer for days.
+            // The following statements yield the same filtering criteria
+            futureSP500.SetFilter(0, 182);
+            // futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
+
+            SetBenchmark(x => 0);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            foreach (var chain in slice.FutureChains)
+            {
+                foreach (var contract in chain.Value)
+                {
+                    if (!_futureContracts.Contains(contract.Symbol))
+                    {
+                        _futureContracts.Add(contract.Symbol);
+
+                        var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(5));
+                        consolidator.DataConsolidated += OnDataConsolidated;
+                        SubscriptionManager.AddConsolidator(contract.Symbol, consolidator);
+
+                        Log("Added new consolidator for " + contract.Symbol.Value);
+                    }
+                }
+            }
+        }
+
+        public void OnDataConsolidated(object sender, QuoteBar quoteBar)
+        {
+            Log("OnDataConsolidated called");
+            Log(quoteBar.ToString());
+        }
+    }
+}