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 +1,135 @@
+/*
+ * 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>
+    /// Collection Subscription Factory takes a BaseDataCollection from BaseData factories
+    /// and yields it one point at a time to the algorithm
+    /// </summary>
+    public class CollectionSubscriptionDataSourceReader : BaseSubscriptionDataSourceReader
+    {
+        private readonly DateTime _date;
+        private readonly BaseData _factory;
+        private readonly SubscriptionDataConfig _config;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CollectionSubscriptionDataSourceReader"/> class
+        /// </summary>
+        /// <param name="dataCacheProvider">Used to cache data for requested from the IDataProvider</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>
+        public CollectionSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode, IObjectStore objectStore)
+            :base(dataCacheProvider, isLiveMode, objectStore)
+        {
+            _date = date;
+            _config = config;
+            _factory = _config.GetBaseDataInstance();
+        }
+
+        /// <summary>
+        /// Event fired when an exception is thrown during a call to
+        /// <see cref="BaseData.Reader(SubscriptionDataConfig, string, DateTime, bool)"/>
+        /// </summary>
+        public event EventHandler<ReaderErrorEventArgs> ReaderError;
+
+        /// <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)
+        {
+            SubscriptionDataSourceReader.CheckRemoteFileCache();
+
+            IStreamReader reader = null;
+            try
+            {
+                reader = CreateStreamReader(source);
+                if (reader == null)
+                {
+                    yield break;
+                }
+
+                var raw = "";
+                while (!reader.EndOfStream)
+                {
+                    BaseDataCollection instances = null;
+                    try
+                    {
+                        raw = reader.ReadLine();
+                        var result = _factory.Reader(_config, raw, _date, IsLiveMode);
+                        instances = result as BaseDataCollection;
+                        if (instances == null && !reader.ShouldBeRateLimited)
+                        {
+                            OnInvalidSource(source, new Exception("Reader must generate a BaseDataCollection with the FileFormat.Collection"));
+                            continue;
+                        }
+                    }
+                    catch (Exception err)
+                    {
+                        OnReaderError(raw, err);
+                        if (!reader.ShouldBeRateLimited)
+                        {
+                            continue;
+                        }
+                    }
+
+                    if (IsLiveMode
+                        // this shouldn't happen, rest reader is the only one to be rate limited
+                        // and in live mode, but just in case...
+                        || instances == null && reader.ShouldBeRateLimited)
+                    {
+                        // in live trading these data points will be unrolled at the
+                        // 'LiveCustomDataSubscriptionEnumeratorFactory' level
+                        yield return instances;
+                    }
+                    else
+                    {
+                        foreach (var instance in instances.Data)
+                        {
+                            if (instance != null && instance.EndTime != default(DateTime))
+                            {
+                                yield return instance;
+                            }
+                        }
+                    }
+                }
+            }
+            finally
+            {
+                reader.DisposeSafely();
+            }
+        }
+
+        /// <summary>
+        /// Event invocator for the <see cref="ReaderError"/> event
+        /// </summary>
+        /// <param name="line">The line that caused the exception</param>
+        /// <param name="exception">The exception that was caught</param>
+        private void OnReaderError(string line, Exception exception)
+        {
+            var handler = ReaderError;
+            if (handler != null) handler(this, new ReaderErrorEventArgs(line, exception));
+        }
+    }
+}