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.Collections.Generic;
+using QuantConnect.Securities.Cfd;
+using QuantConnect.Securities.Forex;
+using QuantConnect.Securities.Index;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities.Future;
+using QuantConnect.Securities.Equity;
+using QuantConnect.Securities.IndexOption;
+using QuantConnect.Securities.FutureOption;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// A helper class that will provide <see cref="SecurityCache"/> instances
+    /// </summary>
+    /// <remarks>The value of this class and its logic is performance.
+    /// This class allows for two different <see cref="Security"/> to share the same
+    /// data type cache through different instances of <see cref="SecurityCache"/>.
+    /// This is used to directly access custom data types through their underlying</remarks>
+    public class SecurityCacheProvider
+    {
+        private readonly Dictionary<Symbol, List<Symbol>> _relatedSymbols;
+        private readonly ISecurityProvider _securityProvider;
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="securityProvider">The security provider to use</param>
+        public SecurityCacheProvider(ISecurityProvider securityProvider)
+        {
+            _securityProvider = securityProvider;
+            _relatedSymbols = new ();
+        }
+
+        /// <summary>
+        /// Will return the <see cref="SecurityCache"/> instance to use for a give Symbol.
+        /// If the provided Symbol is a custom type which has an underlying we will try to use the
+        /// underlying SecurityCache type cache, if the underlying is not present we will keep track
+        /// of the custom Symbol in case it is added later.
+        /// </summary>
+        /// <returns>The cache instance to use</returns>
+        public SecurityCache GetSecurityCache(Symbol symbol)
+        {
+            SecurityCache securityCache;
+            switch (symbol.SecurityType)
+            {
+                case SecurityType.Equity:
+                    securityCache = new EquityCache();
+                    break;
+                case SecurityType.Option:
+                    securityCache = new OptionCache();
+                    break;
+                case SecurityType.IndexOption:
+                    securityCache = new IndexOptionCache();
+                    break;
+                case SecurityType.FutureOption:
+                    securityCache = new FutureOptionCache();
+                    break;
+                case SecurityType.Forex:
+                    securityCache = new ForexCache();
+                    break;
+                case SecurityType.Future:
+                    securityCache = new FutureCache();
+                    break;
+                case SecurityType.Cfd:
+                    securityCache = new CfdCache();
+                    break;
+                case SecurityType.Index:
+                    securityCache = new IndexCache();
+                    break;
+                default:
+                    securityCache = new SecurityCache();
+                    break;
+            }
+
+            // lock just in case but we do not expect this class be used by multiple consumers
+            lock (_relatedSymbols)
+            {
+                if (symbol.SecurityType == SecurityType.Base && symbol.HasUnderlying)
+                {
+                    var underlyingSecurity = _securityProvider.GetSecurity(symbol.Underlying);
+                    if (underlyingSecurity != null)
+                    {
+                        // we found the underlying, lets use its data type cache
+                        SecurityCache.ShareTypeCacheInstance(underlyingSecurity.Cache, securityCache);
+                    }
+                    else
+                    {
+                        // we didn't find the underlying, lets keep track of the underlying symbol which might get added in the future.
+                        // else when it is added, we would have to go through existing Securities and find any which use it as underlying
+                        if (!_relatedSymbols.TryGetValue(symbol.Underlying, out var relatedSymbols))
+                        {
+                            _relatedSymbols[symbol.Underlying] = relatedSymbols = new List<Symbol>();
+                        }
+                        relatedSymbols.Add(symbol);
+                    }
+                }
+                else
+                {
+                    if (_relatedSymbols.Remove(symbol, out var customSymbols))
+                    {
+                        // if we are here it means we added a symbol which is an underlying of some existing custom symbols
+                        foreach (var customSymbol in customSymbols)
+                        {
+                            var customSecurity = _securityProvider.GetSecurity(customSymbol);
+                            if (customSecurity != null)
+                            {
+                                // we make each existing custom security cache, use the new instance data type cache
+                                // note that if any data already existed in the custom cache it will be passed
+                                SecurityCache.ShareTypeCacheInstance(securityCache, customSecurity.Cache);
+                            }
+                        }
+                    }
+                }
+            }
+
+            return securityCache;
+        }
+    }
+}