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 QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Abstract sharing logic for data requests
+    /// </summary>
+    public abstract class BaseDataRequest
+    {
+        private readonly Lazy<DateTime> _localStartTime;
+        private readonly Lazy<DateTime> _localEndTime;
+
+        /// <summary>
+        /// Gets the beginning of the requested time interval in UTC
+        /// </summary>
+        public DateTime StartTimeUtc { get; protected set; }
+
+        /// <summary>
+        /// Gets the end of the requested time interval in UTC
+        /// </summary>
+        public DateTime EndTimeUtc { get; protected set;  }
+
+        /// <summary>
+        /// Gets the <see cref="StartTimeUtc"/> in the security's exchange time zone
+        /// </summary>
+        public DateTime StartTimeLocal => _localStartTime.Value;
+
+        /// <summary>
+        /// Gets the <see cref="EndTimeUtc"/> in the security's exchange time zone
+        /// </summary>
+        public DateTime EndTimeLocal => _localEndTime.Value;
+
+        /// <summary>
+        /// Gets the exchange hours used for processing fill forward requests
+        /// </summary>
+        public SecurityExchangeHours ExchangeHours { get; }
+
+        /// <summary>
+        /// Gets the tradable days specified by this request, in the security's data time zone
+        /// </summary>
+        public abstract IEnumerable<DateTime> TradableDaysInDataTimeZone { get; }
+
+        /// <summary>
+        /// Gets true if this is a custom data request, false for normal QC data
+        /// </summary>
+        public bool IsCustomData { get; }
+
+        /// <summary>
+        /// The data type of this request
+        /// </summary>
+        public Type DataType { get; set; }
+
+        /// <summary>
+        /// Initializes the base data request
+        /// </summary>
+        /// <param name="startTimeUtc">The start time for this request,</param>
+        /// <param name="endTimeUtc">The start time for this request</param>
+        /// <param name="exchangeHours">The exchange hours for this request</param>
+        /// <param name="tickType">The tick type of this request</param>
+        /// <param name="isCustomData">True if this subscription is for custom data</param>
+        /// <param name="dataType">The data type of the output data</param>
+        protected BaseDataRequest(DateTime startTimeUtc,
+            DateTime endTimeUtc,
+            SecurityExchangeHours exchangeHours,
+            TickType tickType,
+            bool isCustomData,
+            Type dataType)
+        {
+            DataType = dataType;
+            IsCustomData = isCustomData;
+            StartTimeUtc = startTimeUtc;
+            EndTimeUtc = endTimeUtc;
+            ExchangeHours = exchangeHours;
+
+            // open interest data comes in once a day before market open,
+            // make the subscription start from midnight and use always open exchange
+            if (tickType == TickType.OpenInterest)
+            {
+                ExchangeHours = SecurityExchangeHours.AlwaysOpen(ExchangeHours.TimeZone);
+            }
+
+            _localStartTime = new Lazy<DateTime>(() => StartTimeUtc.ConvertFromUtc(ExchangeHours.TimeZone));
+            _localEndTime = new Lazy<DateTime>(() => EndTimeUtc.ConvertFromUtc(ExchangeHours.TimeZone));
+            IsCustomData = isCustomData;
+        }
+    }
+}