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 +1,115 @@
+/*
+ * 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.Data.Market;
+
+namespace QuantConnect.Data.Consolidators
+{
+    /// <summary>
+    /// A data csolidator that can make trade bars from DynamicData derived types. This is useful for
+    /// aggregating Quandl and other highly flexible dynamic custom data types.
+    /// </summary>
+    public class DynamicDataConsolidator : TradeBarConsolidatorBase<DynamicData>
+    {
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the period.
+        /// </summary>
+        /// <param name="period">The minimum span of time before emitting a consolidated bar</param>
+        public DynamicDataConsolidator(TimeSpan period)
+            : base(period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data.
+        /// </summary>
+        /// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param>
+        public DynamicDataConsolidator(int maxCount)
+            : base(maxCount)
+        {
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
+        /// </summary>
+        /// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param>
+        /// <param name="period">The minimum span of time before emitting a consolidated bar</param>
+        public DynamicDataConsolidator(int maxCount, TimeSpan period)
+            : base(maxCount, period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
+        /// </summary>
+        /// <param name="func">Func that defines the start time of a consolidated data</param>
+        public DynamicDataConsolidator(Func<DateTime, CalendarInfo> func)
+            : base(func)
+        {
+        }
+
+        /// <summary>
+        /// Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be
+        /// null following the event firing
+        /// </summary>
+        /// <param name="workingBar">The bar we're building, null if the event was just fired and we're starting a new trade bar</param>
+        /// <param name="data">The new data</param>
+        protected override void AggregateBar(ref TradeBar workingBar, DynamicData data)
+        {
+            // grab the properties, if they don't exist just use the .Value property
+            var open = GetNamedPropertyOrValueProperty(data, "Open");
+            var high = GetNamedPropertyOrValueProperty(data, "High");
+            var low = GetNamedPropertyOrValueProperty(data, "Low");
+            var close = GetNamedPropertyOrValueProperty(data, "Close");
+
+            // if we have volume, use it, otherwise just use zero
+            var volume = data.HasProperty("Volume")
+                ? data.GetProperty("Volume").ConvertInvariant<long>()
+                : 0L;
+
+            if (workingBar == null)
+            {
+                workingBar = new TradeBar
+                {
+                    Symbol = data.Symbol,
+                    Time = GetRoundedBarTime(data),
+                    Open = open,
+                    High = high,
+                    Low = low,
+                    Close = close,
+                    Volume = volume
+                };
+            }
+            else
+            {
+                //Aggregate the working bar
+                workingBar.Close = close;
+                workingBar.Volume += volume;
+                if (low < workingBar.Low) workingBar.Low = low;
+                if (high > workingBar.High) workingBar.High = high;
+            }
+        }
+
+        private static decimal GetNamedPropertyOrValueProperty(DynamicData data, string propertyName)
+        {
+            if (!data.HasProperty(propertyName))
+            {
+                return data.Value;
+            }
+            return data.GetProperty(propertyName).ConvertInvariant<decimal>();
+        }
+    }
+}