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 +1,165 @@
+/*
+ * 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.Indicators;
+using QuantConnect.Securities;
+using Common.Data.Consolidators;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Provides a rolling window of <see cref="SessionBar"/> with size 2,
+    /// where [0] contains the current session values in progress (OHLCV + OpenInterest),
+    /// and [1] contains the fully consolidated data of the previous trading day.
+    /// </summary>
+    public class Session : RollingWindow<SessionBar>, IBar
+    {
+        private readonly Symbol _symbol;
+        private readonly TickType _tickType;
+        private readonly SecurityExchangeHours _exchangeHours;
+        private SessionConsolidator _consolidator;
+
+        /// <summary>
+        /// Opening price of the session
+        /// </summary>
+        public decimal Open => _consolidator?.WorkingInstance.Open ?? 0;
+
+        /// <summary>
+        /// High price of the session
+        /// </summary>
+        public decimal High => _consolidator?.WorkingInstance.High ?? 0;
+
+        /// <summary>
+        /// Low price of the session
+        /// </summary>
+        public decimal Low => _consolidator?.WorkingInstance.Low ?? 0;
+
+        /// <summary>
+        /// Closing price of the session
+        /// </summary>
+        public decimal Close => _consolidator?.WorkingInstance.Close ?? 0;
+
+        /// <summary>
+        /// Volume traded during the session
+        /// </summary>
+        public decimal Volume => _consolidator?.WorkingInstance.Volume ?? 0;
+
+        /// <summary>
+        /// Open Interest of the session
+        /// </summary>
+        public decimal OpenInterest => _consolidator?.WorkingInstance.OpenInterest ?? 0;
+
+        /// <summary>
+        /// The symbol of the session
+        /// </summary>
+        public Symbol Symbol => _symbol;
+
+        /// <summary>
+        /// The end time of the session
+        /// </summary>
+        public DateTime EndTime => _consolidator?.WorkingInstance.EndTime ?? default;
+
+        /// <summary>
+        /// Gets the size of this window
+        /// </summary>
+        public override int Size
+        {
+            set
+            {
+                base.Size = value;
+                TryInitialize();
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Session"/> class
+        /// </summary>
+        /// <param name="tickType">The tick type to use</param>
+        /// <param name="exchangeHours">The exchange hours</param>
+        /// <param name="symbol">The symbol</param>
+        /// <param name="size">The number of items to hold</param>
+        public Session(TickType tickType, SecurityExchangeHours exchangeHours, Symbol symbol, int size = 0)
+            : base(size)
+        {
+            _symbol = symbol;
+            _tickType = tickType;
+            _exchangeHours = exchangeHours;
+            TryInitialize();
+        }
+
+        /// <summary>
+        /// Updates the session with new market data
+        /// </summary>
+        /// <param name="data">The new data to update the session with</param>
+        public void Update(BaseData data)
+        {
+            _consolidator?.Update(data);
+        }
+
+        private void OnConsolidated(object sender, IBaseData consolidated)
+        {
+            // Finished current trading day
+            // Add the new working session bar at [0], this will shift the previous trading day's bar to [1]
+            Add(_consolidator.WorkingInstance);
+        }
+
+        /// <summary>
+        /// Scans the consolidator to see if it should emit a bar due to time passing
+        /// </summary>
+        public void Scan(DateTime currentLocalTime)
+        {
+            // Delegates the scan decision to the underlying consolidator.
+            _consolidator?.ValidateAndScan(currentLocalTime);
+        }
+
+        /// <summary>
+        /// Resets the session
+        /// </summary>
+        public override void Reset()
+        {
+            if (_consolidator != null)
+            {
+                base.Reset();
+                _consolidator.Reset();
+                // We need to add the working session bar at [0]
+                Add(_consolidator.WorkingInstance);
+            }
+        }
+
+        /// <summary>
+        /// Returns a string representation of current session bar with OHLCV and OpenInterest values formatted.
+        /// Example: "O: 101.00 H: 112.00 L: 95.00 C: 110.00 V: 1005.00 OI: 12"
+        /// </summary>
+        public override string ToString()
+        {
+            if (_consolidator != null)
+            {
+                return _consolidator.WorkingInstance.ToString();
+            }
+            return string.Empty;
+        }
+
+        private void TryInitialize()
+        {
+            if (base.Size > 0 && _consolidator == null)
+            {
+                _consolidator = new SessionConsolidator(_exchangeHours, _tickType, _symbol);
+                _consolidator.DataConsolidated += OnConsolidated;
+                Add(_consolidator.WorkingInstance);
+            }
+        }
+    }
+}