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
@@ -0,0 +1,103 @@
+/*
+* 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 Newtonsoft.Json;
+using System.Collections.Generic;
+
+namespace QuantConnect.Data.Auxiliary
+{
+    /// <summary>
+    /// Collection of factors for continuous contracts and their back months contracts for a specific mapping mode <see cref="DataMappingMode"/> and date
+    /// </summary>
+    public class MappingContractFactorRow : IFactorRow
+    {
+        /// <summary>
+        /// Gets the date associated with this data
+        /// </summary>
+        public DateTime Date { get; set; }
+
+        /// <summary>
+        /// Backwards ratio price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
+        /// <see cref="DataNormalizationMode.BackwardsRatio"/>
+        /// </summary>
+        public IReadOnlyList<decimal> BackwardsRatioScale { get; set;  } = new List<decimal>();
+
+        /// <summary>
+        /// Backwards Panama Canal price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
+        /// <see cref="DataNormalizationMode.BackwardsPanamaCanal"/>
+        /// </summary>
+        public IReadOnlyList<decimal> BackwardsPanamaCanalScale { get; set;  } = new List<decimal>();
+
+        /// <summary>
+        /// Forward Panama Canal price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
+        /// <see cref="DataNormalizationMode.ForwardPanamaCanal"/>
+        /// </summary>
+        public IReadOnlyList<decimal> ForwardPanamaCanalScale { get; set;  } = new List<decimal>();
+
+        /// <summary>
+        /// Allows the consumer to specify a desired mapping mode
+        /// </summary>
+        public DataMappingMode? DataMappingMode { get; set; }
+
+        /// <summary>
+        /// Empty constructor for json converter
+        /// </summary>
+        public MappingContractFactorRow()
+        {
+        }
+
+        /// <summary>
+        /// Writes factor file row into it's file format
+        /// </summary>
+        /// <remarks>Json formatted</remarks>
+        public string GetFileFormat(string source = null)
+        {
+            return JsonConvert.SerializeObject(this);
+        }
+
+        /// <summary>
+        /// Parses the lines as factor files rows while properly handling inf entries
+        /// </summary>
+        /// <param name="lines">The lines from the factor file to be parsed</param>
+        /// <param name="factorFileMinimumDate">The minimum date from the factor file</param>
+        /// <returns>An enumerable of factor file rows</returns>
+        public static List<MappingContractFactorRow> Parse(IEnumerable<string> lines, out DateTime? factorFileMinimumDate)
+        {
+            factorFileMinimumDate = null;
+
+            var rows = new List<MappingContractFactorRow>();
+
+            // parse factor file lines
+            foreach (var line in lines)
+            {
+                var row = JsonConvert.DeserializeObject<MappingContractFactorRow>(line);
+                if(!row.DataMappingMode.HasValue || Enum.IsDefined(typeof(DataMappingMode), row.DataMappingMode.Value))
+                {
+                    rows.Add(row);
+                }
+            }
+
+            if (rows.Count > 0)
+            {
+                factorFileMinimumDate = rows.Min(ffr => ffr.Date).AddDays(-1);
+            }
+
+            return rows;
+        }
+    }
+}