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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Logging;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Overrides <see cref="DataQueueHandlerSubscriptionManager"/> methods using events
+    /// </summary>
+    public class EventBasedDataQueueHandlerSubscriptionManager : DataQueueHandlerSubscriptionManager
+    {
+        /// <summary>
+        /// Creates an instance of <see cref="EventBasedDataQueueHandlerSubscriptionManager"/> with a single channel name
+        /// </summary>
+        public EventBasedDataQueueHandlerSubscriptionManager() : this(t => Channel.Single) {}
+
+        /// <summary>
+        /// Creates an instance of <see cref="EventBasedDataQueueHandlerSubscriptionManager"/>
+        /// </summary>
+        /// <param name="getChannelName">Convert TickType into string</param>
+        public EventBasedDataQueueHandlerSubscriptionManager(Func<TickType, string> getChannelName)
+        {
+            _getChannelName = getChannelName;
+        }
+
+        /// <summary>
+        /// Subscription method implementation
+        /// </summary>
+        public Func<IEnumerable<Symbol>, TickType, bool> SubscribeImpl { get; set; }
+        
+        /// <summary>
+        /// Unsubscription method implementation
+        /// </summary>
+        public Func<IEnumerable<Symbol>, TickType, bool> UnsubscribeImpl { get; set; }
+
+        /// <summary>
+        /// Socket channel name
+        /// </summary>
+        private Func<TickType, string> _getChannelName;
+
+        /// <summary>
+        /// The way Brokerage subscribes to symbol tickers
+        /// </summary>
+        /// <param name="symbols">Symbols to subscribe</param>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns></returns>
+        protected override bool Subscribe(IEnumerable<Symbol> symbols, TickType tickType)
+        {
+            Log.Trace("EventBasedDataQueueHandlerSubscriptionManager.Subscribe(): {0}", string.Join(",", symbols.Select(x => x.Value)));
+            return SubscribeImpl?.Invoke(symbols, tickType) == true;
+        }
+
+        /// <summary>
+        /// The way Brokerage unsubscribes from symbol tickers
+        /// </summary>
+        /// <param name="symbols">Symbols to unsubscribe</param>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns></returns>
+        protected override bool Unsubscribe(IEnumerable<Symbol> symbols, TickType tickType)
+        {
+            Log.Trace("EventBasedDataQueueHandlerSubscriptionManager.Unsubscribe(): {0}", string.Join(",", symbols.Select(x => x.Value)));
+            return UnsubscribeImpl?.Invoke(symbols, tickType) == true;
+        }
+
+        /// <summary>
+        /// Channel name
+        /// </summary>
+        /// <param name="tickType">Type of tick data</param>
+        /// <returns>Returns Socket channel name corresponding <paramref name="tickType"/></returns>
+        protected override string ChannelNameFromTickType(TickType tickType)
+        {
+            return _getChannelName?.Invoke(tickType);
+        }
+    }
+}