chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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 System.IO;
+using System.Linq;
+using QuantConnect.Util;
+using System.Collections;
+using System.Collections.Generic;
+
+namespace QuantConnect.Data.Auxiliary
+{
+    /// <summary>
+    /// Represents an entire factor file for a specified symbol
+    /// </summary>
+    public abstract class FactorFile<T> : IFactorProvider
+        where T : IFactorRow
+    {
+        /// <summary>
+        /// Keeping a reversed version is more performant that reversing it each time we need it
+        /// </summary>
+        protected List<DateTime> ReversedFactorFileDates { get; }
+
+        /// <summary>
+        /// The factor file data rows sorted by date
+        /// </summary>
+        public SortedList<DateTime, List<T>> SortedFactorFileData { get; set; }
+
+        /// <summary>
+        /// The minimum tradeable date for the symbol
+        /// </summary>
+        /// <remarks>
+        /// Some factor files have INF split values, indicating that the stock has so many splits
+        /// that prices can't be calculated with correct numerical precision.
+        /// To allow backtesting these symbols, we need to move the starting date
+        /// forward when reading the data.
+        /// Known symbols: GBSN, JUNI, NEWL
+        /// </remarks>
+        public DateTime? FactorFileMinimumDate { get; set; }
+
+        /// <summary>
+        /// Gets the most recent factor change in the factor file
+        /// </summary>
+        public DateTime MostRecentFactorChange => ReversedFactorFileDates
+            .FirstOrDefault(time => time != Time.EndOfTime);
+
+        /// <summary>
+        /// Gets the symbol this factor file represents
+        /// </summary>
+        public string Permtick { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FactorFile{T}"/> class.
+        /// </summary>
+        protected FactorFile(string permtick, IEnumerable<T> data, DateTime? factorFileMinimumDate = null)
+        {
+            Permtick = permtick.LazyToUpper();
+
+            SortedFactorFileData = new SortedList<DateTime, List<T>>();
+            foreach (var row in data)
+            {
+                if (!SortedFactorFileData.TryGetValue(row.Date, out var factorFileRows))
+                {
+                    SortedFactorFileData[row.Date] = factorFileRows = new List<T>();
+                }
+
+                factorFileRows.Add(row);
+            }
+
+            ReversedFactorFileDates = new List<DateTime>(SortedFactorFileData.Count);
+            foreach (var time in SortedFactorFileData.Keys.Reverse())
+            {
+                ReversedFactorFileDates.Add(time);
+            }
+
+            FactorFileMinimumDate = factorFileMinimumDate;
+        }
+
+        /// <summary>
+        /// Gets the price scale factor for the specified search date
+        /// </summary>
+        public abstract decimal GetPriceFactor(
+            DateTime searchDate,
+            DataNormalizationMode dataNormalizationMode,
+            DataMappingMode? dataMappingMode = null,
+            uint contractOffset = 0
+            );
+
+        /// <summary>
+        /// Writes this factor file data to an enumerable of csv lines
+        /// </summary>
+        /// <returns>An enumerable of lines representing this factor file</returns>
+        public IEnumerable<string> GetFileFormat()
+        {
+            return SortedFactorFileData.SelectMany(kvp => kvp.Value.Select(row => row.GetFileFormat()));
+        }
+
+        /// <summary>
+        /// Write the factor file to the correct place in the default Data folder
+        /// </summary>
+        /// <param name="symbol">The symbol this factor file represents</param>
+        public void WriteToFile(Symbol symbol)
+        {
+            var filePath = LeanData.GenerateRelativeFactorFilePath(symbol);
+            File.WriteAllLines(filePath, GetFileFormat());
+        }
+
+        /// <summary>Returns an enumerator that iterates through the collection.</summary>
+        /// <returns>A <see cref="T:System.Collections.Generic.IEnumerator`1" /> that can be used to iterate through the collection.</returns>
+        /// <filterpriority>1</filterpriority>
+        public IEnumerator<IFactorRow> GetEnumerator()
+        {
+            foreach (var kvp in SortedFactorFileData)
+            {
+                foreach (var factorRow in kvp.Value)
+                {
+                    yield return factorRow;
+                }
+            }
+        }
+
+        /// <summary>Returns an enumerator that iterates through a collection.</summary>
+        /// <returns>An <see cref="T:System.Collections.IEnumerator" /> object that can be used to iterate through the collection.</returns>
+        /// <filterpriority>2</filterpriority>
+        IEnumerator IEnumerable.GetEnumerator()
+        {
+            return GetEnumerator();
+        }
+    }
+}