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 QuantConnect.Util;
+using System;
+using ProtoBuf;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Defines a data type that represents open interest for given security
+    /// </summary>
+    [ProtoContract(SkipConstructor = true)]
+    public class OpenInterest : Tick
+    {
+        /// <summary>
+        /// Initializes a new instance of the OpenInterest class
+        /// </summary>
+        public OpenInterest()
+        {
+            DataType = MarketDataType.Tick;
+            TickType = TickType.OpenInterest;
+            Value = 0;
+            Time = new DateTime();
+            Symbol = Symbol.Empty;
+        }
+
+        /// <summary>
+        /// Cloner constructor for fill forward engine implementation. Clone the original OI into this new one:
+        /// </summary>
+        /// <param name="original">Original OI we're cloning</param>
+        public OpenInterest(OpenInterest original)
+        {
+            DataType = MarketDataType.Tick;
+            TickType = TickType.OpenInterest;
+            Value = original.Value;
+            Time = original.Time;
+            Symbol = original.Symbol;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OpenInterest class with data
+        /// </summary>
+        /// <param name="time">Full date and time</param>
+        /// <param name="symbol">Underlying equity security symbol</param>
+        /// <param name="openInterest">Open Interest value</param>
+        public OpenInterest(DateTime time, Symbol symbol, decimal openInterest)
+        {
+            DataType = MarketDataType.Tick;
+            TickType = TickType.OpenInterest;
+            Time = time;
+            Symbol = symbol;
+            Value = openInterest;
+        }
+
+        /// <summary>
+        /// Constructor for QuantConnect open interest data
+        /// </summary>
+        /// <param name="config">Subscription configuration</param>
+        /// <param name="symbol">Symbol for underlying asset</param>
+        /// <param name="line">CSV line of data from QC OI csv</param>
+        /// <param name="baseDate">The base date of the OI</param>
+        public OpenInterest(SubscriptionDataConfig config, Symbol symbol, string line, DateTime baseDate)
+        {
+            var csv = line.Split(',');
+            DataType = MarketDataType.Tick;
+            TickType = TickType.OpenInterest;
+            Symbol = symbol;
+
+            Time = (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour) ?
+                // hourly and daily have different time format, and can use slow, robust c# parser.
+                DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter,
+                    System.Globalization.CultureInfo.InvariantCulture)
+                    .ConvertTo(config.DataTimeZone, config.ExchangeTimeZone)
+                :
+                // Using custom "ToDecimal" conversion for speed on high resolution data.
+                baseDate.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
+
+            Value = csv[1].ToDecimal();
+        }
+
+        /// <summary>
+        /// Parse an open interest data line from quantconnect zip source files.
+        /// </summary>
+        /// <param name="line">CSV source line of the compressed source</param>
+        /// <param name="date">Base date for the open interest (date is stored as int milliseconds since midnight)</param>
+        /// <param name="config">Subscription configuration object</param>
+        public OpenInterest(SubscriptionDataConfig config, string line, DateTime date):
+            this(config, config.Symbol, line, date)
+        {
+        }
+
+        /// <summary>
+        /// Tick implementation of reader method: read a line of data from the source and convert it to an open interest object.
+        /// </summary>
+        /// <param name="config">Subscription configuration object for algorithm</param>
+        /// <param name="line">Line from the datafeed source</param>
+        /// <param name="date">Date of this reader request</param>
+        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
+        /// <returns>New initialized open interest object</returns>
+        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+        {
+            if (isLiveMode)
+            {
+                // currently OIs don't come through the reader function
+                return new OpenInterest();
+            }
+
+            return new OpenInterest(config, line, date);
+        }
+
+        /// <summary>
+        /// Get source for OI data feed - not used with QuantConnect data sources implementation.
+        /// </summary>
+        /// <param name="config">Configuration object</param>
+        /// <param name="date">Date of this source request if source spread across multiple files</param>
+        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
+        /// <returns>String source location of the file to be opened with a stream</returns>
+        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+        {
+            if (isLiveMode)
+            {
+                // this data type is streamed in live mode
+                return new SubscriptionDataSource(string.Empty, SubscriptionTransportMedium.Streaming);
+            }
+
+            var source = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, config.Resolution, config.TickType);
+            if (config.SecurityType == SecurityType.Future || config.SecurityType.IsOption())
+            {
+                source += "#" + LeanData.GenerateZipEntryName(config.Symbol, date, config.Resolution, config.TickType);
+            }
+            return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
+        }
+
+        /// <summary>
+        /// Clone implementation for open interest class:
+        /// </summary>
+        /// <returns>New tick object clone of the current class values.</returns>
+        public override BaseData Clone()
+        {
+            return new OpenInterest(this);
+        }
+    }
+}