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 +1,192 @@
+/*
+ * 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.IO;
+using QuantConnect.Python;
+using QuantConnect.Securities;
+using QuantConnect.Util;
+
+namespace QuantConnect.Data.UniverseSelection
+{
+    /// <summary>
+    /// Represents a chain universe.
+    /// Intended as a base for options and futures universe data.
+    /// </summary>
+    public abstract class BaseChainUniverseData : BaseDataCollection, IChainUniverseData
+    {
+        /// <summary>
+        /// Csv line to get the values from
+        /// </summary>
+        /// <remarks>We keep the properties as they are in the csv file to reduce memory usage (strings vs decimals)</remarks>
+        protected string CsvLine { get; }
+
+        /// <summary>
+        /// The security identifier of the option symbol
+        /// </summary>
+        [PandasIgnore]
+        public SecurityIdentifier ID => Symbol.ID;
+
+        /// <summary>
+        /// Price of the security
+        /// </summary>
+        [PandasIgnore]
+        public override decimal Value => Close;
+
+        /// <summary>
+        /// Open price of the security
+        /// </summary>
+        public decimal Open
+        {
+            get
+            {
+                // Parse the values every time to avoid keeping them in memory
+                return CsvLine.GetDecimalFromCsv(0);
+            }
+        }
+
+        /// <summary>
+        /// High price of the security
+        /// </summary>
+        public decimal High
+        {
+            get
+            {
+                return CsvLine.GetDecimalFromCsv(1);
+            }
+        }
+
+        /// <summary>
+        /// Low price of the security
+        /// </summary>
+        public decimal Low
+        {
+            get
+            {
+                return CsvLine.GetDecimalFromCsv(2);
+            }
+        }
+
+        /// <summary>
+        /// Close price of the security
+        /// </summary>
+        public decimal Close
+        {
+            get
+            {
+                return CsvLine.GetDecimalFromCsv(3);
+            }
+        }
+
+        /// <summary>
+        /// Volume value of the security
+        /// </summary>
+        public decimal Volume
+        {
+            get
+            {
+                return CsvLine.GetDecimalFromCsv(4);
+            }
+        }
+
+        /// <summary>
+        /// Open interest value
+        /// </summary>
+        public virtual decimal OpenInterest
+        {
+            get
+            {
+                return CsvLine.GetDecimalFromCsv(5);
+            }
+        }
+
+        /// <summary>
+        /// Time that the data became available to use
+        /// </summary>
+        public override DateTime EndTime
+        {
+            get { return Time + QuantConnect.Time.OneDay; }
+            set { Time = value - QuantConnect.Time.OneDay; }
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChainUniverseData"/> class
+        /// </summary>
+        protected BaseChainUniverseData()
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChainUniverseData"/> class
+        /// </summary>
+        protected BaseChainUniverseData(DateTime date, Symbol symbol, string csv)
+            : base(date, date, symbol, null, null)
+        {
+            CsvLine = csv;
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChainUniverseData"/> class as a copy of the given instance
+        /// </summary>
+        protected BaseChainUniverseData(BaseChainUniverseData other)
+            : base(other)
+        {
+            CsvLine = other.CsvLine;
+        }
+
+        /// <summary>
+        /// Return the URL string source of the file. This will be converted to a stream
+        /// </summary>
+        /// <param name="config">Configuration object</param>
+        /// <param name="date">Date of this source file</param>
+        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
+        /// <returns>String URL of source file.</returns>
+        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+        {
+            var path = GetUniverseFullFilePath(config.Symbol, date);
+            return new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile, FileFormat.FoldingCollection);
+        }
+
+        /// <summary>
+        /// Generates the file path for a universe data file based on the given symbol and date.
+        /// Optionally, creates the directory if it does not exist.
+        /// </summary>
+        /// <param name="symbol">The financial symbol for which the universe file is generated.</param>
+        /// <param name="date">The date associated with the universe file.</param>
+        /// <returns>The full file path to the universe data file.</returns>
+        public static string GetUniverseFullFilePath(Symbol symbol, DateTime date)
+        {
+            return Path.Combine(LeanData.GenerateUniversesDirectory(Globals.DataFolder, symbol), $"{date:yyyyMMdd}.csv");
+        }
+
+        /// <summary>
+        /// Gets the default resolution for this data and security type
+        /// </summary>
+        /// <remarks>This is a method and not a property so that python
+        /// custom data types can override it</remarks>
+        public override Resolution DefaultResolution()
+        {
+            return Resolution.Daily;
+        }
+
+        /// <summary>
+        /// Gets the symbol of the option
+        /// </summary>
+        public Symbol ToSymbol()
+        {
+            return Symbol;
+        }
+    }
+}