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 Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Indicators;
+using System;
+
+namespace QuantConnect.Python
+{
+    /// <summary>
+    /// Provides a base class for python consolidators, necessary to use event handler.
+    /// Inherits the built-in rolling window so custom Python consolidators can access their
+    /// consolidated history through the indexer, Current, Previous and Window members.
+    /// </summary>
+    public class PythonConsolidator : WindowBase<IBaseData>, IDataConsolidator
+    {
+        /// <summary>
+        /// Gets the most recently consolidated piece of data. This will be null if this consolidator
+        /// has not produced any data yet.
+        /// </summary>
+        public IBaseData Consolidated
+        {
+            get; set;
+        }
+
+        /// <summary>
+        /// Gets a clone of the data being currently consolidated
+        /// </summary>
+        public IBaseData WorkingData
+        {
+            get; set;
+        }
+
+        /// <summary>
+        /// Gets the type consumed by this consolidator
+        /// </summary>
+        public Type InputType
+        {
+            get; set;
+        }
+
+        /// <summary>
+        /// Gets the type produced by this consolidator
+        /// </summary>
+        public Type OutputType
+        {
+            get; set;
+        }
+
+        /// <summary>
+        /// Event handler that fires when a new piece of data is produced
+        /// </summary>
+        public event DataConsolidatedHandler DataConsolidated;
+
+        /// <summary>
+        /// Function to invoke the event handler
+        /// </summary>
+        /// <param name="consolidator">Reference to the consolidator itself</param>
+        /// <param name="data">The finished data from the consolidator</param>
+        public void OnDataConsolidated(PyObject consolidator, IBaseData data)
+        {
+            // populate the rolling window before firing so a handler sees the new bar at index 0
+            if (data != null)
+            {
+                Current = data;
+            }
+            DataConsolidated?.Invoke(consolidator, data);
+        }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public virtual void Reset()
+        {
+            Consolidated = null;
+            WorkingData = null;
+            ResetWindow();
+        }
+
+        /// <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 virtual void Scan(DateTime currentLocalTime)
+        {
+        }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data
+        /// </summary>
+        /// <param name="data">The new data for the consolidator</param>
+        public virtual void Update(IBaseData data)
+        {
+        }
+
+        public void Dispose()
+        {
+        }
+    }
+}