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 +1,149 @@
+/*
+ * 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.Util;
+using QuantConnect.Data;
+using System.Collections;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Auxiliary data enumerator that will, initialize and call the <see cref="ITradableDateEventProvider.GetEvents"/>
+    /// implementation each time there is a new tradable day for every <see cref="ITradableDateEventProvider"/>
+    /// provided.
+    /// </summary>
+    public class AuxiliaryDataEnumerator : IEnumerator<BaseData>
+    {
+        private readonly Queue<BaseData> _auxiliaryData;
+        private bool _initialized;
+        private DateTime _startTime;
+        private IMapFileProvider _mapFileProvider;
+        private IFactorFileProvider _factorFileProvider;
+        private ITradableDateEventProvider[] _tradableDateEventProviders;
+
+        /// <summary>
+        /// The associated data configuration
+        /// </summary>
+        protected SubscriptionDataConfig Config { get; }
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
+        /// <param name="factorFileProvider">The factor file provider to use</param>
+        /// <param name="mapFileProvider">The <see cref="MapFile"/> provider to use</param>
+        /// <param name="tradableDateEventProviders">The tradable dates event providers</param>
+        /// <param name="tradableDayNotifier">Tradable dates provider</param>
+        /// <param name="startTime">Start date for the data request</param>
+        public AuxiliaryDataEnumerator(
+            SubscriptionDataConfig config,
+            IFactorFileProvider factorFileProvider,
+            IMapFileProvider mapFileProvider,
+            ITradableDateEventProvider []tradableDateEventProviders,
+            ITradableDatesNotifier tradableDayNotifier,
+            DateTime startTime)
+        {
+            Config = config;
+            _startTime = startTime;
+            _mapFileProvider = mapFileProvider;
+            _auxiliaryData = new Queue<BaseData>();
+            _factorFileProvider = factorFileProvider;
+            _tradableDateEventProviders = tradableDateEventProviders;
+
+            if (tradableDayNotifier != null)
+            {
+                tradableDayNotifier.NewTradableDate += NewTradableDate;
+            }
+        }
+
+        /// <summary>
+        /// Advances the enumerator to the next element.
+        /// </summary>
+        /// <returns>Always true</returns>
+        public virtual bool MoveNext()
+        {
+            Current = _auxiliaryData.Count != 0 ? _auxiliaryData.Dequeue() : null;
+            return true;
+        }
+
+        /// <summary>
+        /// Handle a new tradable date, drives the <see cref="ITradableDateEventProvider"/> instances
+        /// </summary>
+        protected void NewTradableDate(object sender, NewTradableDateEventArgs eventArgs)
+        {
+            Initialize();
+            for (var i = 0; i < _tradableDateEventProviders.Length; i++)
+            {
+                foreach (var newEvent in _tradableDateEventProviders[i].GetEvents(eventArgs))
+                {
+                    _auxiliaryData.Enqueue(newEvent);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Initializes the underlying tradable data event providers
+        /// </summary>
+        protected void Initialize()
+        {
+            if (!_initialized)
+            {
+                _initialized = true;
+                // Late initialization so it is performed in the data feed stack
+                for (var i = 0; i < _tradableDateEventProviders.Length; i++)
+                {
+                    _tradableDateEventProviders[i].Initialize(Config, _factorFileProvider, _mapFileProvider, _startTime);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Dispose of the Stream Reader and close out the source stream and file connections.
+        /// </summary>
+        public void Dispose()
+        {
+            for (var i = 0; i < _tradableDateEventProviders.Length; i++)
+            {
+                var disposable =_tradableDateEventProviders[i] as IDisposable;
+                disposable?.DisposeSafely();
+            }
+        }
+
+        /// <summary>
+        /// Reset the IEnumeration
+        /// </summary>
+        /// <remarks>Not used</remarks>
+        public void Reset()
+        {
+            throw new NotImplementedException("Reset method not implemented. Assumes loop will only be used once.");
+        }
+
+        object IEnumerator.Current => Current;
+
+        /// <summary>
+        /// Last read BaseData object from this type and source
+        /// </summary>
+        public BaseData Current
+        {
+            get;
+            private set;
+        }
+    }
+}