chore: import upstream snapshot with attribution

Common/Securities/Interfaces/IContinuousContractModel.cs

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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 QuantConnect.Data;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Securities.Interfaces
+{
+    /// <summary>
+    /// Enum defines types of possible price adjustments in continuous contract modeling.
+    /// </summary>
+    public enum AdjustmentType
+    {
+        /// <summary>
+        /// ForwardAdjusted - new quotes are adjusted as new data comes
+        /// </summary>
+        ForwardAdjusted,
+
+        /// <summary>
+        /// BackAdjusted - old quotes are retrospectively adjusted as new data comes
+        /// </summary>
+        BackAdjusted
+    };
+
+    /// <summary>
+    /// Continuous contract model interface. Interfaces is implemented by different classes
+    /// realizing various methods for modeling continuous security series. Primarily, modeling of continuous futures.
+    /// Continuous contracts are used in backtesting of otherwise expiring derivative contracts.
+    /// Continuous contracts are not traded, and are not products traded on exchanges.
+    /// </summary>
+    public interface IContinuousContractModel
+    {
+        /// <summary>
+        /// Adjustment type, implemented by the model
+        /// </summary>
+        AdjustmentType AdjustmentType { get; set; }
+
+        /// <summary>
+        /// List of current and historical data series for one root symbol.
+        /// e.g. 6BH16, 6BM16, 6BU16, 6BZ16
+        /// </summary>
+        IEnumerator<BaseData> InputSeries { get; set; }
+
+        /// <summary>
+        /// Method returns continuous prices from the list of current and historical data series for one root symbol.
+        /// It returns enumerator of stitched continuous quotes, produced by the model.
+        /// e.g. 6BH15, 6BM15, 6BU15, 6BZ15 will result in one 6B continuous historical series for 2015
+        /// </summary>
+        /// <returns>Continuous prices</returns>
+        IEnumerator<BaseData> GetContinuousData(DateTime dateTime);
+
+        /// <summary>
+        /// Returns the list of roll dates for the contract.
+        /// </summary>
+        /// <returns>The list of roll dates</returns>
+        IEnumerator<DateTime> GetRollDates();
+
+        /// <summary>
+        /// Returns current symbol name that corresponds to the current continuous model,
+        /// or null if none.
+        /// </summary>
+        /// <returns>Current symbol name</returns>
+        Symbol GetCurrentSymbol(DateTime dateTime);
+    }
+}

Common/Securities/Interfaces/ISecurityDataFilter.cs

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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 QuantConnect.Data;
+
+namespace QuantConnect.Securities.Interfaces
+{
+    /// <summary>
+    /// Security data filter interface. Defines pattern for the user defined data filter techniques.
+    /// </summary>
+    /// <remarks>
+    ///     Intended for use primarily with US equities tick data. The tick data is provided in raw 
+    ///     and complete format which is more information that more retail feeds provide. In order to match
+    ///     retail feeds the ticks much be filtered to show only public-on market trading.
+    /// 
+    ///     For tradebars this filter has already been done.
+    /// </remarks>
+    public interface ISecurityDataFilter 
+    {
+        /// <summary>
+        /// Filter out a tick from this security, with this new data:
+        /// </summary>
+        /// <param name="data">New data packet we're checking</param>
+        /// <param name="vehicle">Security of this filter.</param>
+        bool Filter(Security vehicle, BaseData data);
+
+    } // End Data Filter Interface
+
+} // End QC Namespace