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.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+using NodaTime;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Contains extension methods for the Downloader functionality.
+    /// </summary>
+    public static class DownloaderExtensions
+    {
+        /// <summary>
+        /// Get <see cref="DataDownloaderGetParameters"/> for all mapped <seealso cref="Symbol"/> with appropriate ticker name in specific date time range.
+        /// </summary>
+        /// <param name="dataDownloaderParameter">Generated class in "Lean.Engine.DataFeeds.DownloaderDataProvider"</param>
+        /// <param name="mapFileProvider">Provides instances of <see cref="MapFileResolver"/> at run time</param>
+        /// <param name="exchangeTimeZone">Provides the time zone this exchange</param>
+        /// <returns>
+        /// Return DataDownloaderGetParameters with different
+        /// <see cref="DataDownloaderGetParameters.StartUtc"/> - <seealso cref="DataDownloaderGetParameters.EndUtc"/> range
+        /// and <seealso cref="Symbol"/>
+        /// </returns>
+        /// <exception cref="ArgumentNullException">Thrown when <paramref name="dataDownloaderParameter"/> is null.</exception>
+        public static IEnumerable<DataDownloaderGetParameters> GetDataDownloaderParameterForAllMappedSymbols(
+            this DataDownloaderGetParameters dataDownloaderParameter,
+            IMapFileProvider mapFileProvider,
+            DateTimeZone exchangeTimeZone)
+        {
+            if (dataDownloaderParameter == null)
+            {
+                throw new ArgumentNullException(nameof(dataDownloaderParameter));
+            }
+
+            if (dataDownloaderParameter.Symbol.SecurityType != SecurityType.Future
+                && dataDownloaderParameter.Symbol.RequiresMapping()
+                && dataDownloaderParameter.Resolution >= Resolution.Hour)
+            {
+                var yieldMappedSymbol = default(bool);
+                foreach (var symbolDateRange in mapFileProvider.RetrieveAllMappedSymbolInDateRange(dataDownloaderParameter.Symbol))
+                {
+                    var startDateTimeUtc = symbolDateRange.StartDateTimeLocal.ConvertToUtc(exchangeTimeZone);
+                    var endDateTimeUtc = symbolDateRange.EndDateTimeLocal.ConvertToUtc(exchangeTimeZone);
+
+                    // The first start date returns from mapFile like IPO (DateTime) and can not be greater then request StartTime
+                    // The Downloader doesn't know start DateTime exactly, it always download all data, except for options and index options
+                    if (dataDownloaderParameter.Symbol.SecurityType == SecurityType.Option ||
+                        dataDownloaderParameter.Symbol.SecurityType == SecurityType.IndexOption)
+                    {
+                        // The symbol was delisted before the request start time
+                        if (endDateTimeUtc < dataDownloaderParameter.StartUtc)
+                        {
+                            continue;
+                        }
+
+                        if (startDateTimeUtc < dataDownloaderParameter.StartUtc)
+                        {
+                            startDateTimeUtc = dataDownloaderParameter.StartUtc;
+                        }
+                    }
+
+                    if (endDateTimeUtc > dataDownloaderParameter.EndUtc)
+                    {
+                        endDateTimeUtc = dataDownloaderParameter.EndUtc;
+                    }
+
+                    yield return new DataDownloaderGetParameters(
+                        symbolDateRange.Symbol, dataDownloaderParameter.Resolution, startDateTimeUtc, endDateTimeUtc, dataDownloaderParameter.TickType);
+                    yieldMappedSymbol = true;
+                }
+
+                if (!yieldMappedSymbol)
+                {
+                    yield return dataDownloaderParameter;
+                }
+            }
+            else
+            {
+                yield return dataDownloaderParameter;
+            }
+        }
+    }
+}