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 +1,102 @@
+/*
+ * 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.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Util;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Defines a container type to hold data produced by a data feed subscription
+    /// </summary>
+    public class DataFeedPacket
+    {
+        private static readonly IReadOnlyRef<bool> _false = Ref.CreateReadOnly(() => false);
+        private readonly IReadOnlyRef<bool> _isRemoved;
+
+        /// <summary>
+        /// The security
+        /// </summary>
+        public ISecurityPrice Security
+        {
+            get; private set;
+        }
+
+        /// <summary>
+        /// The subscription configuration that produced this data
+        /// </summary>
+        public SubscriptionDataConfig Configuration
+        {
+            get; private set;
+        }
+
+        /// <summary>
+        /// Gets the number of data points held within this packet
+        /// </summary>
+        public int Count => Data.Count;
+
+        /// <summary>
+        /// The data for the security
+        /// </summary>
+        public List<BaseData> Data { get; }
+
+        /// <summary>
+        /// Gets whether or not this packet should be filtered out due to the subscription being removed
+        /// </summary>
+        public bool IsSubscriptionRemoved => _isRemoved.Value;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="DataFeedPacket"/> class
+        /// </summary>
+        /// <param name="security">The security whose data is held in this packet</param>
+        /// <param name="configuration">The subscription configuration that produced this data</param>
+        /// <param name="isSubscriptionRemoved">Reference to whether or not the subscription has since been removed, defaults to false</param>
+        public DataFeedPacket(ISecurityPrice security, SubscriptionDataConfig configuration, IReadOnlyRef<bool> isSubscriptionRemoved = null)
+            : this(security,
+                configuration,
+                new List<BaseData>(4), // performance: by default the list has 0 capacity, so lets initialize it with at least 4 (which is the default)
+                isSubscriptionRemoved)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="DataFeedPacket"/> class
+        /// </summary>
+        /// <param name="security">The security whose data is held in this packet</param>
+        /// <param name="configuration">The subscription configuration that produced this data</param>
+        /// <param name="data">The data to add to this packet. The list reference is reused
+        /// internally and NOT copied.</param>
+        /// <param name="isSubscriptionRemoved">Reference to whether or not the subscription has since been removed, defaults to false</param>
+        public DataFeedPacket(ISecurityPrice security, SubscriptionDataConfig configuration, List<BaseData> data, IReadOnlyRef<bool> isSubscriptionRemoved = null)
+        {
+            Security = security;
+            Configuration = configuration;
+            Data = data;
+            _isRemoved = isSubscriptionRemoved ?? _false;
+        }
+
+        /// <summary>
+        /// Adds the specified data to this packet
+        /// </summary>
+        /// <param name="data">The data to be added to this packet</param>
+        public void Add(BaseData data)
+        {
+            Data.Add(data);
+        }
+    }
+}