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.Linq;
+using System.Collections.Generic;
+
+namespace QuantConnect.Data.Auxiliary
+{
+    /// <summary>
+    /// Mapping related factor provider. Factors based on price differences on mapping dates
+    /// </summary>
+    public class MappingContractFactorProvider : FactorFile<MappingContractFactorRow>
+    {
+        /// <summary>
+        ///Creates a new instance
+        /// </summary>
+        public MappingContractFactorProvider(string permtick, IEnumerable<MappingContractFactorRow> data, DateTime? factorFileMinimumDate = null)
+            : base(permtick, data, factorFileMinimumDate)
+        {
+        }
+
+        /// <summary>
+        /// Gets the price scale factor for the specified search date
+        /// </summary>
+        public override decimal GetPriceFactor(DateTime searchDate, DataNormalizationMode dataNormalizationMode, DataMappingMode? dataMappingMode = null, uint contractOffset = 0)
+        {
+            if (dataNormalizationMode == DataNormalizationMode.Raw)
+            {
+                return 0;
+            }
+
+            var factor = 1m;
+            if (dataNormalizationMode is DataNormalizationMode.BackwardsPanamaCanal or DataNormalizationMode.ForwardPanamaCanal)
+            {
+                // default value depends on the data mode
+                factor = 0;
+            }
+
+            for (var i = 0; i < ReversedFactorFileDates.Count; i++)
+            {
+                var factorDate = ReversedFactorFileDates[i];
+                if (factorDate.Date < searchDate.Date)
+                {
+                    break;
+                }
+
+                var factorFileRow = SortedFactorFileData[factorDate];
+                switch (dataNormalizationMode)
+                {
+                    case DataNormalizationMode.BackwardsRatio:
+                    {
+                        var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
+                        if (row != null && row.BackwardsRatioScale.Count > contractOffset)
+                        {
+                            factor = row.BackwardsRatioScale[(int)contractOffset];
+                        }
+                        break;
+                    }
+                    case DataNormalizationMode.BackwardsPanamaCanal:
+                    {
+                        var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
+                        if (row != null && row.BackwardsPanamaCanalScale.Count > contractOffset)
+                        {
+                            factor = row.BackwardsPanamaCanalScale[(int)contractOffset];
+                        }
+                        break;
+                    }
+                    case DataNormalizationMode.ForwardPanamaCanal:
+                    {
+                        var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
+                        if (row != null && row.ForwardPanamaCanalScale.Count > contractOffset)
+                        {
+                            factor = row.ForwardPanamaCanalScale[(int)contractOffset];
+                        }
+                        break;
+                    }
+                    default:
+                        throw new ArgumentOutOfRangeException(nameof(dataNormalizationMode));
+                }
+            }
+
+            return factor;
+        }
+    }
+}