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.Linq;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+using System.Text.RegularExpressions;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Helper extension methods for objects related with Histotical data
+    /// </summary>
+    public static class HistoryExtensions
+    {
+        private static readonly Regex _brokerageHistoryProvider = new("QuantConnect.Lean.Engine.HistoricalData.([a-zA-z]+)HistoryProvider", RegexOptions.Compiled);
+
+        /// <summary>
+        /// Helper method to get the brokerage name
+        /// </summary>
+        public static bool TryGetBrokerageName(string historyProviderName, out string brokerageName)
+        {
+            brokerageName = null;
+            if (historyProviderName != "QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider"
+                && historyProviderName != "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider")
+            {
+                var matches = _brokerageHistoryProvider.Match(historyProviderName);
+                if (matches.Success)
+                {
+                    brokerageName = matches.Groups[1].Value;
+                    return true;
+                }
+            }
+
+            return false;
+        }
+
+        /// <summary>
+        /// Split <see cref="HistoryRequest"/> on several request with update mapped symbol.
+        /// </summary>
+        /// <param name="request">Represents historical data requests</param>
+        /// <param name="mapFileProvider">Provides instances of <see cref="MapFileResolver"/> at run time</param>
+        /// <returns>
+        /// Return HistoryRequests with different <see cref="BaseDataRequest.StartTimeUtc"/> - <seealso cref="BaseDataRequest.EndTimeUtc"/> range
+        /// and <seealso cref="Symbol.Value"/>
+        /// </returns>
+        /// <exception cref="ArgumentNullException">Thrown when <paramref name="mapFileProvider"/> is null.</exception>
+        /// <example>
+        /// For instances:
+        /// request = { StartTimeUtc = 2013/01/01, EndTimeUtc = 2017/02/02, Symbol = "GOOGL" }  split request on:
+        /// 1: request = { StartTimeUtc = 2013/01/01, EndTimeUtc = 2014/04/02, Symbol.Value = "GOOG" }
+        /// 2: request = { StartTimeUtc = 2014/04/**03**, EndTimeUtc = 2017/02/02, Symbol.Value = "GOOGL" }
+        /// > GOOGLE: IPO: August 19, 2004 Name = GOOG then it was restructured: from "GOOG" to "GOOGL" on April 2, 2014
+        /// </example>
+        public static IEnumerable<HistoryRequest> SplitHistoryRequestWithUpdatedMappedSymbol(this HistoryRequest request, IMapFileProvider mapFileProvider)
+        {
+            if (request == null)
+            {
+                throw new ArgumentNullException(nameof(request));
+            }
+
+            if (request.Symbol.SecurityType != SecurityType.Future && request.Symbol.RequiresMapping())
+            {
+                var isReturnHistoryRequest = default(bool);
+                foreach (var tickerDateRange in mapFileProvider.RetrieveSymbolHistoricalDefinitionsInDateRange(request.Symbol, request.StartTimeLocal, request.EndTimeLocal))
+                {
+                    isReturnHistoryRequest = true;
+                    var symbol = request.Symbol.UpdateMappedSymbol(tickerDateRange.Ticker);
+                    yield return new HistoryRequest(
+                        request,
+                        symbol,
+                        tickerDateRange.StartDateTimeLocal.ConvertToUtc(request.ExchangeHours.TimeZone),
+                        tickerDateRange.EndDateTimeLocal.ConvertToUtc(request.ExchangeHours.TimeZone)
+                        );
+                }
+
+                if (!isReturnHistoryRequest)
+                {
+                    yield return request;
+                }
+            }
+            else
+            {
+                yield return request;
+            }
+        }
+    }
+}