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.Util;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect;
+
+/// <summary>
+/// Represents the parameters required for downloading universe data.
+/// </summary>
+public sealed class DataUniverseDownloaderGetParameters : DataDownloaderGetParameters
+{
+    /// <summary>
+    /// The initialized instance of the security exchange hours.
+    /// </summary>
+    private readonly SecurityExchangeHours _securityExchangeHours;
+
+    /// <summary>
+    /// The tick types supported for universe data.
+    /// </summary>
+    private readonly TickType[] UniverseTickTypes = { TickType.Quote, TickType.Trade, TickType.OpenInterest };
+
+    /// <summary>
+    /// Gets the underlying symbol associated with the universe.
+    /// </summary>
+    public Symbol UnderlyingSymbol { get => Symbol.HasUnderlying ? Symbol.Underlying : Symbol.Empty; }
+
+    /// <summary>
+    /// Initializes a new instance of the <see cref="DataUniverseDownloaderGetParameters"/> class.
+    /// </summary>
+    /// <param name="canonicalSymbol">The canonical symbol for the data request.</param>
+    /// <param name="startDate">The start date for the data request.</param>
+    /// <param name="endDate">The end date for the data request.</param>
+    /// <param name="securityExchangeHours">The security exchange hours for this symbol</param>
+    /// <exception cref="ArgumentException">Thrown when the provided symbol is not canonical.</exception>
+    public DataUniverseDownloaderGetParameters(Symbol canonicalSymbol, DateTime startDate, DateTime endDate, SecurityExchangeHours securityExchangeHours = default)
+        : base(
+            canonicalSymbol.IsCanonical() ? canonicalSymbol : throw new ArgumentException("DataUniverseDownloaderGetParameters: Symbol must be canonical.", nameof(canonicalSymbol)),
+            Resolution.Daily,
+            startDate,
+            endDate)
+    {
+        _securityExchangeHours = securityExchangeHours ?? MarketHoursDatabase.FromDataFolder().GetExchangeHours(canonicalSymbol.ID.Market, canonicalSymbol, canonicalSymbol.SecurityType);
+
+        EndUtc = EndUtc.ConvertToUtc(_securityExchangeHours.TimeZone);
+        StartUtc = StartUtc.ConvertToUtc(_securityExchangeHours.TimeZone);
+    }
+
+    /// <summary>
+    /// Gets the file name where the universe data will be saved.
+    /// </summary>
+    /// <param name="processingDate">The date for which the file name is generated.</param>
+    /// <returns>The universe file name.</returns>
+    public string GetUniverseFileName(DateTime processingDate)
+    {
+        return BaseChainUniverseData.GetUniverseFullFilePath(Symbol, processingDate);
+    }
+
+    /// <summary>
+    /// Creates data download parameters for each day in the range.
+    /// </summary>
+    public IEnumerable<(DateTime, IEnumerable<DataDownloaderGetParameters>)> CreateDataDownloaderGetParameters()
+    {
+        foreach (var processingDate in Time.EachTradeableDay(_securityExchangeHours, StartUtc, EndUtc))
+        {
+            var processingDateUtc = processingDate.ConvertToUtc(_securityExchangeHours.TimeZone);
+
+            var requests = new List<DataDownloaderGetParameters>(3);
+
+            if (UnderlyingSymbol != Symbol.Empty)
+            {
+                requests.Add(new(UnderlyingSymbol, Resolution, processingDateUtc, processingDateUtc.AddDays(1), TickType.Trade));
+            }
+
+            requests.AddRange(UniverseTickTypes.Select(tickType => new DataDownloaderGetParameters(Symbol, Resolution, processingDateUtc, processingDateUtc.AddDays(1), tickType)));
+
+            yield return (processingDate, requests);
+        }
+    }
+}