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.IO;
+using System.Collections.Generic;
+using QuantConnect.Data.Fundamental;
+
+namespace QuantConnect.Data.UniverseSelection
+{
+    /// <summary>
+    /// Coarse base fundamental data provider
+    /// </summary>
+    public class CoarseFundamentalDataProvider : BaseFundamentalDataProvider
+    {
+        private DateTime _date;
+        private readonly Dictionary<SecurityIdentifier, CoarseFundamental> _coarseFundamental = new();
+
+        /// <summary>
+        /// Will fetch the requested fundamental information for the requested time and symbol
+        /// </summary>
+        /// <typeparam name="T">The expected data type</typeparam>
+        /// <param name="time">The time to request this data for</param>
+        /// <param name="securityIdentifier">The security identifier</param>
+        /// <param name="name">The name of the fundamental property</param>
+        /// <returns>The fundamental information</returns>
+        public override T Get<T>(DateTime time, SecurityIdentifier securityIdentifier, FundamentalProperty name)
+        {
+            var enumName = Enum.GetName(name);
+            lock (_coarseFundamental)
+            {
+                if (time == _date)
+                {
+                    return GetProperty<T>(securityIdentifier, enumName);
+                }
+                _date = time;
+
+                var path = Path.Combine(Globals.DataFolder, "equity", "usa", "fundamental", "coarse", $"{time:yyyyMMdd}.csv");
+                var fileStream = DataProvider.Fetch(path);
+                if (fileStream == null)
+                {
+                    return GetDefault<T>();
+                }
+
+                _coarseFundamental.Clear();
+                using (var reader = new StreamReader(fileStream))
+                {
+                    while (!reader.EndOfStream)
+                    {
+                        var line = reader.ReadLine();
+                        var coarse = Read(line, time);
+                        if (coarse != null)
+                        {
+                            _coarseFundamental[coarse.Symbol.ID] = coarse;
+                        }
+                    }
+                }
+
+                return GetProperty<T>(securityIdentifier, enumName);
+            }
+        }
+
+        /// <summary>
+        /// Reads the given line and returns a CoarseFundamentalSource with the information within it
+        /// </summary>
+        public static CoarseFundamentalSource Read(string line, DateTime date)
+        {
+            try
+            {
+                var csv = line.Split(',');
+                var coarse = new CoarseFundamentalSource
+                {
+                    Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
+                    Time = date,
+                    Value = csv[2].ToDecimal(),
+                    VolumeSetter = csv[3].ToInt64(),
+                    DollarVolumeSetter = (double)csv[4].ToDecimal()
+                };
+
+                if (csv.Length > 5)
+                {
+                    coarse.HasFundamentalDataSetter = csv[5].ConvertInvariant<bool>();
+                }
+
+                if (csv.Length > 7)
+                {
+                    coarse.PriceFactorSetter = csv[6].ToDecimal();
+                    coarse.SplitFactorSetter = csv[7].ToDecimal();
+                }
+
+                return coarse;
+            }
+            catch (Exception)
+            {
+                return null;
+            }
+
+        }
+
+        private dynamic GetProperty<T>(SecurityIdentifier securityIdentifier, string property)
+        {
+            if (!_coarseFundamental.TryGetValue(securityIdentifier, out var coarse))
+            {
+                return GetDefault<T>();
+            }
+
+            switch (property)
+            {
+                case nameof(CoarseFundamental.Price):
+                    return coarse.Price;
+                case nameof(CoarseFundamental.Value):
+                    return coarse.Value;
+                case nameof(CoarseFundamental.Market):
+                    return coarse.Market;
+                case nameof(CoarseFundamental.Volume):
+                    return coarse.Volume;
+                case nameof(CoarseFundamental.PriceFactor):
+                    return coarse.PriceFactor;
+                case nameof(CoarseFundamental.SplitFactor):
+                    return coarse.SplitFactor;
+                case nameof(CoarseFundamental.DollarVolume):
+                    return coarse.DollarVolume;
+                case nameof(CoarseFundamental.HasFundamentalData):
+                    return false;
+            }
+
+            return GetDefault<T>();
+        }
+
+        /// <summary>
+        /// Coarse fundamental with setters
+        /// </summary>
+        public class CoarseFundamentalSource : CoarseFundamental
+        {
+            /// <summary>
+            /// Property to set the volume of the Coarse Fundamental
+            /// </summary>
+            public long VolumeSetter { get; init; }
+
+            /// <summary>
+            /// Property to set the dollar volume of the Coarse Fundamental
+            /// </summary>
+            public double DollarVolumeSetter { get; init; }
+
+            /// <summary>
+            /// Property to set the price factor of the Coarse Fundamental
+            /// </summary>
+            public decimal PriceFactorSetter { get; set; } = 1;
+
+            /// <summary>
+            /// Property to set the split factor of the Coarse Fundamental
+            /// </summary>
+            public decimal SplitFactorSetter { get; set; } = 1;
+
+            /// <summary>
+            /// Property to indicate if the Coarse Fundamental has fundamental data
+            /// </summary>
+            public bool HasFundamentalDataSetter { get; set; }
+
+            /// <summary>
+            /// Gets the day's dollar volume for this symbol
+            /// </summary>
+            public override double DollarVolume => DollarVolumeSetter;
+
+            /// <summary>
+            /// Gets the day's total volume
+            /// </summary>
+            public override long Volume => VolumeSetter;
+
+            /// <summary>
+            /// Returns whether the symbol has fundamental data for the given date
+            /// </summary>
+            public override bool HasFundamentalData => HasFundamentalDataSetter;
+
+            /// <summary>
+            /// Gets the price factor for the given date
+            /// </summary>
+            public override decimal PriceFactor => PriceFactorSetter;
+
+            /// <summary>
+            /// Gets the split factor for the given date
+            /// </summary>
+            public override decimal SplitFactor => SplitFactorSetter;
+        }
+    }
+}