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 NodaTime;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Scheduling
+{
+    /// <summary>
+    /// Base rule scheduler
+    /// </summary>
+    public class BaseScheduleRules
+    {
+        private bool _sentImplicitWarning;
+        private readonly IAlgorithm _algorithm;
+
+        /// <summary>
+        /// The algorithm's default time zone
+        /// </summary>
+        protected DateTimeZone TimeZone { get; set; }
+
+        /// <summary>
+        /// The security manager
+        /// </summary>
+        protected SecurityManager Securities { get; set; }
+
+        /// <summary>
+        /// The market hours database instance to use
+        /// </summary>
+        protected MarketHoursDatabase MarketHoursDatabase { get; set; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TimeRules"/> helper class
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="securities">The security manager</param>
+        /// <param name="timeZone">The algorithm's default time zone</param>
+        /// <param name="marketHoursDatabase">The market hours database instance to use</param>
+        public BaseScheduleRules(IAlgorithm algorithm, SecurityManager securities, DateTimeZone timeZone, MarketHoursDatabase marketHoursDatabase)
+        {
+            TimeZone = timeZone;
+            _algorithm = algorithm;
+            Securities = securities;
+            MarketHoursDatabase = marketHoursDatabase;
+        }
+
+        /// <summary>
+        /// Helper method to fetch the security exchange hours
+        /// </summary>
+        protected SecurityExchangeHours GetSecurityExchangeHours(Symbol symbol)
+        {
+            if (!Securities.TryGetValue(symbol, out var security))
+            {
+                return MarketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType).ExchangeHours;
+            }
+            return security.Exchange.Hours;
+        }
+
+        /// <summary>
+        /// Helper method to fetch the exchange hours of the securities currently in <see cref="Securities"/>
+        /// whose markets are not always open. If no such securities are present, falls back to US equities (SPY).
+        /// </summary>
+        protected IEnumerable<SecurityExchangeHours> GetMarketOpenCloseExchangeHours()
+        {
+            // Pre-seed with SPY's exchange hours: this guarantees a fallback when no eligible
+            // security is subscribed and implicitly covers every US equity, which shares the
+            // same exchange hours — so we can skip US equities below to save the lookup.
+            var hours = new HashSet<SecurityExchangeHours>
+            {
+                MarketHoursDatabase.GetEntry(Market.USA, "SPY", SecurityType.Equity).ExchangeHours
+            };
+            foreach (var (symbol, security) in Securities)
+            {
+                if (security.Type == SecurityType.Equity && symbol.ID.Market == Market.USA)
+                {
+                    continue;
+                }
+                var exchangeHours = security.Exchange.Hours;
+                if (!exchangeHours.IsMarketAlwaysOpen)
+                {
+                    hours.Add(exchangeHours);
+                }
+            }
+            return hours;
+        }
+
+        protected Symbol GetSymbol(string ticker)
+        {
+            if (SymbolCache.TryGetSymbol(ticker, out var symbolCache))
+            {
+                return symbolCache;
+            }
+
+            if (!_sentImplicitWarning)
+            {
+                _sentImplicitWarning = true;
+                _algorithm?.Debug($"Warning: no existing symbol found for ticker {ticker}, it will be created with {SecurityType.Equity} type.");
+            }
+            symbolCache = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
+            SymbolCache.Set(ticker, symbolCache);
+            return symbolCache;
+        }
+    }
+}