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 +1,172 @@
+/*
+ * 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 QuantConnect.Interfaces;
+using QuantConnect.Logging;
+using System;
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Count number of subscribers for each channel (Symbol, Socket) pair
+    /// </summary>
+    public abstract class DataQueueHandlerSubscriptionManager : IDisposable
+    {
+        /// <summary>
+        /// Counter
+        /// </summary>
+        protected ConcurrentDictionary<Channel, int> SubscribersByChannel { get; init; } = new ConcurrentDictionary<Channel, int>();
+
+        /// <summary>
+        /// Increment number of subscribers for current <see cref="TickType"/>
+        /// </summary>
+        /// <param name="dataConfig">defines the subscription configuration data.</param>        
+        public virtual void Subscribe(SubscriptionDataConfig dataConfig)
+        {
+            try
+            {
+                var channel = GetChannel(dataConfig);
+                int count;
+                if (SubscribersByChannel.TryGetValue(channel, out count))
+                {
+                    SubscribersByChannel.TryUpdate(channel, count + 1, count);
+                    return;
+                }
+
+                if (Subscribe(new[] { dataConfig.Symbol }, dataConfig.TickType))
+                {
+                    SubscribersByChannel.AddOrUpdate(channel, 1);
+                }
+            }
+            catch (Exception exception)
+            {
+                Log.Error(exception);
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Decrement number of subscribers for current <see cref="TickType"/>
+        /// </summary>
+        /// <param name="dataConfig">defines the subscription configuration data.</param> 
+        public void Unsubscribe(SubscriptionDataConfig dataConfig)
+        {
+            try
+            {
+                var channel = GetChannel(dataConfig);
+                int count;
+                if (SubscribersByChannel.TryGetValue(channel, out count))
+                {
+                    if (count > 1)
+                    {
+                        SubscribersByChannel.TryUpdate(channel, count - 1, count);
+                        return;
+                    }
+
+                    if (Unsubscribe(new[] { dataConfig.Symbol }, dataConfig.TickType))
+                    {
+                        SubscribersByChannel.TryRemove(channel, out count);
+                    }
+                }
+            }
+            catch (Exception exception)
+            {
+                Log.Error(exception);
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Returns subscribed symbols
+        /// </summary>
+        /// <returns>list of <see cref="Symbol"/> currently subscribed</returns>
+        public IEnumerable<Symbol> GetSubscribedSymbols()
+        {
+            return SubscribersByChannel.Keys
+                .Select(c => c.Symbol)
+                .Distinct();
+        }
+
+        /// <summary>
+        /// Retrieves the list of unique <see cref="Symbol"/> instances that are currently subscribed for a specific <see cref="TickType"/>.
+        /// </summary>
+        /// <param name="tickType">The type of tick data to filter subscriptions by.</param>
+        /// <returns>A collection of unique <see cref="Symbol"/> objects that match the specified <paramref name="tickType"/>.</returns>
+        public IEnumerable<Symbol> GetSubscribedSymbols(TickType tickType)
+        {
+            var channelName = ChannelNameFromTickType(tickType);
+#pragma warning disable CA1309
+            return SubscribersByChannel.Keys.Where(x => x.Name.Equals(channelName, StringComparison.InvariantCultureIgnoreCase))
+#pragma warning restore CA1309
+                .Select(c => c.Symbol)
+                .Distinct();
+        }
+
+        /// <summary>
+        /// Checks if there is existing subscriber for current channel
+        /// </summary>
+        /// <param name="symbol">Symbol</param>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns>return true if there is one subscriber at least; otherwise false</returns>
+        public bool IsSubscribed(Symbol symbol, TickType tickType)
+        {
+            return SubscribersByChannel.ContainsKey(GetChannel(
+                symbol,
+                tickType));
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public virtual void Dispose()
+        {
+        }
+
+        /// <summary>
+        /// Describes the way <see cref="IDataQueueHandler"/> implements subscription
+        /// </summary>
+        /// <param name="symbols">Symbols to subscribe</param>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns>Returns true if subsribed; otherwise false</returns>
+        protected abstract bool Subscribe(IEnumerable<Symbol> symbols, TickType tickType);
+
+        /// <summary>
+        /// Describes the way <see cref="IDataQueueHandler"/> implements unsubscription
+        /// </summary>
+        /// <param name="symbols">Symbols to unsubscribe</param>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns>Returns true if unsubsribed; otherwise false</returns>
+        protected abstract bool Unsubscribe(IEnumerable<Symbol> symbols, TickType tickType);
+
+        /// <summary>
+        /// Brokerage maps <see cref="TickType"/> to real socket/api channel
+        /// </summary>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns></returns>
+        protected abstract string ChannelNameFromTickType(TickType tickType);
+
+        private Channel GetChannel(SubscriptionDataConfig dataConfig) => GetChannel(dataConfig.Symbol, dataConfig.TickType);
+
+        private Channel GetChannel(Symbol symbol, TickType tickType)
+        {
+            return new Channel(
+                ChannelNameFromTickType(tickType),
+                symbol);
+        }
+    }
+}