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.Indicators;
+
+namespace QuantConnect.Data.Consolidators
+{
+    /// <summary>
+    /// Provides a base implementation for consolidators, including a built-in rolling window
+    /// that stores the history of consolidated bars.
+    /// </summary>
+    public abstract class ConsolidatorBase : WindowBase<IBaseData>, IDataConsolidator
+    {
+        private IBaseData _consolidated;
+
+        /// <summary>
+        /// Gets the most recently consolidated piece of data. This will be null if this consolidator
+        /// has not produced any data yet.
+        /// </summary>
+        public IBaseData Consolidated
+        {
+            get
+            {
+                return _consolidated;
+            }
+            protected set
+            {
+                _consolidated = value;
+            }
+        }
+
+        /// <summary>
+        /// Gets a clone of the data being currently consolidated
+        /// </summary>
+        public abstract IBaseData WorkingData { get; }
+
+        /// <summary>
+        /// Gets the type consumed by this consolidator
+        /// </summary>
+        public abstract Type InputType { get; }
+
+        /// <summary>
+        /// Gets the type produced by this consolidator
+        /// </summary>
+        public abstract Type OutputType { get; }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data
+        /// </summary>
+        /// <param name="data">The new data for the consolidator</param>
+        public abstract void Update(IBaseData data);
+
+        /// <summary>
+        /// Scans this consolidator to see if it should emit a bar due to time passing
+        /// </summary>
+        /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
+        public abstract void Scan(DateTime currentLocalTime);
+
+        /// <summary>
+        /// Event handler that fires when a new piece of data is produced. This is the single subscription
+        /// point, shared by the <see cref="IDataConsolidator"/> interface and by derived consolidators whose
+        /// output is a base data bar, so subscribing and unsubscribing always target the same handler list.
+        /// </summary>
+        public event DataConsolidatedHandler DataConsolidated;
+
+        /// <summary>
+        /// Event invocator for the DataConsolidated event. Populates the rolling window, raises the
+        /// strongly typed and interface events, and finally updates the <see cref="Consolidated"/> property.
+        /// </summary>
+        protected virtual void OnDataConsolidated(IBaseData consolidated)
+        {
+            // populate the rolling window before firing any event so that, inside a DataConsolidated
+            // handler, consolidator[0] is the bar that was just produced. Skip null bars, an out of order
+            // data point can produce a null bar in count mode, so we never push null nor wipe the history
+            if (consolidated != null)
+            {
+                Current = consolidated;
+            }
+
+            // let derived consolidators raise their strongly typed DataConsolidated event
+            FireDataConsolidated(consolidated);
+
+            DataConsolidated?.Invoke(this, consolidated);
+
+            // assign the Consolidated property after the event handlers are fired,
+            // this allows the event handlers to look at the new consolidated data
+            // and the previous consolidated data at the same time without extra bookkeeping
+            Consolidated = consolidated;
+        }
+
+        /// <summary>
+        /// Raises the strongly typed DataConsolidated event exposed by derived consolidators that produce a
+        /// more specific bar type. Invoked after the rolling window is populated and before the shared event
+        /// so every handler sees the same window. Consolidators whose output is a base data bar do not need
+        /// to override this, the shared <see cref="DataConsolidated"/> event already carries their bar.
+        /// </summary>
+        /// <param name="consolidated">The newly consolidated data</param>
+        protected virtual void FireDataConsolidated(IBaseData consolidated)
+        {
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public virtual void Dispose()
+        {
+            DataConsolidated = null;
+        }
+
+        /// <summary>
+        /// Resets this consolidator, clearing consolidated data and the rolling window.
+        /// </summary>
+        public virtual void Reset()
+        {
+            Consolidated = null;
+            ResetWindow();
+        }
+    }
+}