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
@@ -0,0 +1,95 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Util;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Data source reader that will aggregate data points into a base data collection
+    /// </summary>
+    public class BaseDataCollectionAggregatorReader : TextSubscriptionDataSourceReader
+    {
+        private readonly Type _collectionType;
+        private BaseDataCollection _collection;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TextSubscriptionDataSourceReader"/> class
+        /// </summary>
+        /// <param name="dataCacheProvider">This provider caches files if needed</param>
+        /// <param name="config">The subscription's configuration</param>
+        /// <param name="date">The date this factory was produced to read data for</param>
+        /// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
+        /// <param name="objectStore">The object storage for data persistence</param>
+        public BaseDataCollectionAggregatorReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date,
+            bool isLiveMode, IObjectStore objectStore)
+            : base(dataCacheProvider, config, date, isLiveMode, objectStore)
+        {
+            // if the type is not a BaseDataCollection, we'll default to BaseDataCollection.
+            // e.g. custom Python dynamic folding collections need to be aggregated into a BaseDataCollection,
+            // but they implement PythonData, so casting an instance of PythonData to BaseDataCollection will fail.
+            _collectionType = config.Type.IsAssignableTo(typeof(BaseDataCollection)) ? config.Type : typeof(BaseDataCollection);
+        }
+
+        /// <summary>
+        /// Reads the specified <paramref name="source"/>
+        /// </summary>
+        /// <param name="source">The source to be read</param>
+        /// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
+        public override IEnumerable<BaseData> Read(SubscriptionDataSource source)
+        {
+            foreach (var point in base.Read(source))
+            {
+                if (point is BaseDataCollection collection && !collection.Data.IsNullOrEmpty())
+                {
+                    // if underlying already is returning an aggregated collection let it through as is
+                    yield return point;
+                }
+                else
+                {
+                    if (_collection != null && _collection.EndTime != point.EndTime)
+                    {
+                        // when we get a new time we flush current collection instance, if any
+                        yield return _collection;
+                        _collection = null;
+                    }
+
+                    if (_collection == null)
+                    {
+                        _collection = (BaseDataCollection)Activator.CreateInstance(_collectionType);
+                        _collection.Time = point.Time;
+                        _collection.Symbol = Config.Symbol;
+                        _collection.EndTime = point.EndTime;
+                    }
+                    // aggregate the data points
+                    _collection.Add(point);
+                }
+            }
+
+            // underlying reader ended, flush current collection instance if any
+            if (_collection != null)
+            {
+                yield return _collection;
+                _collection = null;
+            }
+        }
+    }
+}