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 Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+
+namespace QuantConnect.Python
+{
+    /// <summary>
+    /// Provides an Data Consolidator that wraps a <see cref="PyObject"/> object that represents a custom Python consolidator
+    /// </summary>
+    public class DataConsolidatorPythonWrapper : ConsolidatorBase
+    {
+        private readonly BasePythonWrapper<IDataConsolidator> _pythonWrapper;
+        private readonly DataConsolidatedHandler _pythonDataConsolidated;
+        private bool _disposed;
+
+        /// <summary>
+        /// Gets a clone of the data being currently consolidated
+        /// </summary>
+        public override IBaseData WorkingData
+        {
+            get { return _pythonWrapper.GetProperty<IBaseData>(nameof(WorkingData)); }
+        }
+
+        /// <summary>
+        /// Gets the type consumed by this consolidator
+        /// </summary>
+        public override Type InputType
+        {
+            get { return _pythonWrapper.GetProperty<Type>(nameof(InputType)); }
+        }
+
+        /// <summary>
+        /// Gets the type produced by this consolidator
+        /// </summary>
+        public override Type OutputType
+        {
+            get { return _pythonWrapper.GetProperty<Type>(nameof(OutputType)); }
+        }
+
+        /// <summary>
+        /// Constructor for initialising the <see cref="DataConsolidatorPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="consolidator">Represents a custom python consolidator</param>
+        public DataConsolidatorPythonWrapper(PyObject consolidator)
+        {
+            _pythonWrapper = new BasePythonWrapper<IDataConsolidator>(consolidator, true);
+            _pythonDataConsolidated = (_, bar) => OnDataConsolidated(bar);
+
+            // GetEvent releases the GIL before returning, so the event subscription must
+            // hold it explicitly, otherwise pythonnet mutates the Python object without the GIL
+            using (Py.GIL())
+            {
+                dynamic pythonEvent = _pythonWrapper.GetEvent("DataConsolidated");
+                pythonEvent += _pythonDataConsolidated;
+            }
+        }
+
+        /// <summary>
+        /// Scans this consolidator to see if it should emit a bar due to time passing
+        /// </summary>
+        /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
+        public override void Scan(DateTime currentLocalTime)
+        {
+            _pythonWrapper.InvokeMethod(nameof(Scan), currentLocalTime);
+        }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data
+        /// </summary>
+        /// <param name="data">The new data for the consolidator</param>
+        public override void Update(IBaseData data)
+        {
+            _pythonWrapper.InvokeMethod(nameof(Update), data);
+        }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            _pythonWrapper.InvokeMethod(nameof(Reset));
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public override void Dispose()
+        {
+            if (_disposed)
+            {
+                return;
+            }
+            _disposed = true;
+
+            // Dispose can run from engine threads that do not hold the GIL, so acquire it before
+            // unsubscribing, otherwise the pythonnet event mutation can crash the runtime
+            using (Py.GIL())
+            {
+                dynamic pythonEvent = _pythonWrapper.GetEvent("DataConsolidated");
+                pythonEvent -= _pythonDataConsolidated;
+            }
+            _pythonWrapper.Dispose();
+            base.Dispose();
+        }
+
+        /// <summary>
+        /// Two wrappers are equal if they wrap the same Python object reference.
+        /// </summary>
+        public override bool Equals(object obj)
+        {
+            if (obj is DataConsolidatorPythonWrapper other)
+            {
+                return _pythonWrapper.Equals(other._pythonWrapper);
+            }
+            return _pythonWrapper.Equals(obj);
+        }
+
+        /// <summary>
+        /// Hash code based on the underlying Python object reference.
+        /// </summary>
+        public override int GetHashCode() => _pythonWrapper.GetHashCode();
+    }
+}