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.
+
+from AlgorithmImports import *
+
+### <summary>
+### Algorithm asserting that the consolidators are removed from the SubscriptionManager.
+### This makes sure that we don't lose references to python consolidators when
+### they are wrapped in a DataConsolidatorPythonWrapper.
+### </summary>
+class ManuallyRemovedConsolidatorsAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+
+        self.consolidators = []
+
+        self.spy = self.add_equity("SPY").symbol
+
+        # Case 1: consolidator registered through a RegisterIndicator() call,
+        # which will wrap the consolidator instance in a DataConsolidatorPythonWrapper
+        consolidator = self.resolve_consolidator(self.spy, Resolution.MINUTE)
+        self.consolidators.append(consolidator)
+
+        indicator_name = self.create_indicator_name(self.spy, "close", Resolution.MINUTE)
+        identity = Identity(indicator_name)
+        self.indicator = self.register_indicator(self.spy, identity, consolidator)
+
+        # Case 2: consolidator registered directly through the SubscriptionManager
+        consolidator = self.resolve_consolidator(self.spy, Resolution.MINUTE)
+        self.consolidators.append(consolidator)
+        self.subscription_manager.add_consolidator(self.spy, consolidator)
+
+        # Case 3: custom python consolidator not derived from IDataConsolidator
+        consolidator = CustomQuoteBarConsolidator(timedelta(hours=1))
+        self.consolidators.append(consolidator)
+        self.subscription_manager.add_consolidator(self.spy, consolidator)
+
+    def on_end_of_algorithm(self) -> None:
+        # Remove the first consolidator
+
+        for i in range(3):
+            consolidator = self.consolidators[i]
+            self.remove_consolidator(consolidator, expected_consolidator_count=2 - i)
+
+    def remove_consolidator(self, consolidator: IDataConsolidator, expected_consolidator_count: int) -> None:
+        self.subscription_manager.remove_consolidator(self.spy, consolidator)
+
+        consolidator_count = sum(s.consolidators.count for s in self.subscription_manager.subscriptions)
+        if consolidator_count != expected_consolidator_count:
+            raise AssertionError(f"Unexpected number of consolidators after removal. "
+                            f"Expected: {expected_consolidator_count}. Actual: {consolidator_count}")
+
+class CustomQuoteBarConsolidator(PythonConsolidator):
+    '''A custom quote bar consolidator that inherits from PythonConsolidator and implements
+    the IDataConsolidator interface, it must implement all of IDataConsolidator. Reference
+    PythonConsolidator.cs and DataConsolidatorPythonWrapper.PY for more information.
+
+    This class shows how to implement a consolidator from scratch in Python, this gives us more
+    freedom to determine the behavior of the consolidator but can't leverage any of the built in
+    functions of an inherited class.
+
+    For this example we implemented a Quotebar from scratch'''
+
+    def __init__(self, period):
+
+        #IDataConsolidator required vars for all consolidators
+        self.consolidated = None        #Most recently consolidated piece of data.
+        self.working_data = None         #Data being currently consolidated
+        self.input_type = QuoteBar       #The type consumed by this consolidator
+        self.output_type = QuoteBar      #The type produced by this consolidator
+
+        #Consolidator Variables
+        self.period = period
+
+    def update(self, data):
+        '''Updates this consolidator with the specified data'''
+
+        #If we don't have bar yet, create one
+        if self.working_data is None:
+            self.working_data = QuoteBar(data.time,data.symbol,data.bid,data.last_bid_size,
+                data.ask,data.last_ask_size,self.period)
+
+        #Update bar using QuoteBar's update()
+        self.working_data.update(data.value, data.bid.close, data.ask.close, 0,
+            data.last_bid_size, data.last_ask_size)
+
+    def scan(self, time):
+        '''Scans this consolidator to see if it should emit a bar due to time passing'''
+
+        if self.period is not None and self.working_data is not None:
+            if time - self.working_data.time >= self.period:
+
+                #Trigger the event handler with a copy of self and the data
+                self.on_data_consolidated(self, self.working_data)
+
+                #Set the most recent consolidated piece of data and then clear the working_data
+                self.consolidated = self.working_data
+                self.working_data = None