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;
+using QuantConnect.Data;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Util;
+
+namespace Common.Data.Consolidators
+{
+    /// <summary>
+    /// Consolidates intraday market data into a single daily <see cref="SessionBar"/> (OHLCV + OpenInterest).
+    /// </summary>
+    public class SessionConsolidator : PeriodCountConsolidatorBase<BaseData, SessionBar>
+    {
+        private readonly SecurityExchangeHours _exchangeHours;
+        private readonly TickType _sourceTickType;
+        private readonly Symbol _symbol;
+        private bool _initialized;
+        internal SessionBar WorkingInstance
+        {
+            get
+            {
+                if (_workingBar == null)
+                {
+                    InitializeWorkingBar();
+                }
+                return _workingBar;
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SessionConsolidator"/> class.
+        /// </summary>
+        /// <param name="exchangeHours">The exchange hours</param>
+        /// <param name="sourceTickType">Type of the source tick</param>
+        /// <param name="symbol">The symbol</param>
+        public SessionConsolidator(SecurityExchangeHours exchangeHours, TickType sourceTickType, Symbol symbol) : base(Time.OneDay)
+        {
+            _symbol = symbol;
+            _exchangeHours = exchangeHours;
+            _sourceTickType = sourceTickType;
+            InitializeWorkingBar();
+        }
+
+        /// <summary>
+        /// Aggregates the new 'data' into the 'workingBar'
+        /// </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 SessionBar workingBar, BaseData data)
+        {
+            if (!_initialized)
+            {
+                if (workingBar.Time == DateTime.MaxValue || data.Time.Date > workingBar.Time.Date)
+                {
+                    workingBar.Time = data.Time.Date;
+                }
+                _initialized = true;
+            }
+
+            // Handle open interest
+            if (data.DataType == MarketDataType.Tick && data is Tick oiTick && oiTick.TickType == TickType.OpenInterest)
+            {
+                // Update the working session bar with the latest open interest
+                workingBar.OpenInterest = oiTick.Value;
+                return;
+            }
+
+            if (!_exchangeHours.IsOpen(data.Time, data.EndTime, false))
+            {
+                return;
+            }
+
+            // Update the working session bar
+            workingBar.Update(data, Consolidated);
+        }
+
+        /// <summary>
+        /// Validates the current local time and triggers Scan() if a new day is detected.
+        /// </summary>
+        /// <param name="currentLocalTime">The current local time.</param>
+        public void ValidateAndScan(DateTime currentLocalTime)
+        {
+            if (!_initialized)
+            {
+                return;
+            }
+
+            if (currentLocalTime.Date != WorkingInstance.Time.Date)
+            {
+                Scan(currentLocalTime);
+            }
+        }
+
+        /// <summary>
+        /// Event handler that fires when a new piece of data is produced
+        /// </summary>
+        //public event DataConsolidatedHandler DataConsolidated;
+
+        protected override void OnDataConsolidated(SessionBar e)
+        {
+            _workingBar = null;
+            base.OnDataConsolidated(e);
+        }
+
+        /// <summary>
+        /// Resets the working bar
+        /// </summary>
+        protected override void ResetWorkingBar()
+        {
+        }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            InitializeWorkingBar();
+        }
+
+        private void InitializeWorkingBar()
+        {
+            var time = DateTime.MaxValue;
+            if (Consolidated != null)
+            {
+                time = _exchangeHours.GetNextTradingDay(Consolidated.Time).Date;
+            }
+            _workingBar = new SessionBar(_sourceTickType)
+            {
+                Time = time,
+                Symbol = _symbol
+            };
+            _initialized = false;
+        }
+    }
+}