chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,234 @@
|
||||
/*
|
||||
* 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 System.Collections;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides an implementation of <see cref="IEnumerator{BaseDataCollection}"/>
|
||||
/// that aggregates an underlying <see cref="IEnumerator{BaseData}"/> into a single
|
||||
/// data packet
|
||||
/// </summary>
|
||||
public class BaseDataCollectionAggregatorEnumerator : IEnumerator<BaseDataCollection>
|
||||
{
|
||||
private bool _endOfStream;
|
||||
private bool _needsMoveNext;
|
||||
private bool _liveMode;
|
||||
private readonly Symbol _symbol;
|
||||
private readonly IEnumerator<BaseData> _enumerator;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="BaseDataCollectionAggregatorEnumerator"/> class
|
||||
/// This will aggregate instances emitted from the underlying enumerator and tag them with the
|
||||
/// specified symbol
|
||||
/// </summary>
|
||||
/// <param name="enumerator">The underlying enumerator to aggregate</param>
|
||||
/// <param name="symbol">The symbol to place on the aggregated collection</param>
|
||||
/// <param name="liveMode">True if running in live mode</param>
|
||||
public BaseDataCollectionAggregatorEnumerator(IEnumerator<BaseData> enumerator, Symbol symbol, bool liveMode = false)
|
||||
{
|
||||
_symbol = symbol;
|
||||
_enumerator = enumerator;
|
||||
_liveMode = liveMode;
|
||||
_needsMoveNext = true;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Advances the enumerator to the next element of the collection.
|
||||
/// </summary>
|
||||
/// <returns>
|
||||
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
|
||||
/// </returns>
|
||||
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
|
||||
public bool MoveNext()
|
||||
{
|
||||
if (_endOfStream)
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
BaseDataCollection collection = null;
|
||||
while (true)
|
||||
{
|
||||
if (_needsMoveNext)
|
||||
{
|
||||
// move next if we dequeued the last item last time we were invoked
|
||||
if (!_enumerator.MoveNext())
|
||||
{
|
||||
_endOfStream = true;
|
||||
if (!IsValid(collection))
|
||||
{
|
||||
// we don't emit
|
||||
collection = null;
|
||||
}
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if (_enumerator.Current == null)
|
||||
{
|
||||
// the underlying returned null, stop here and start again on the next call
|
||||
_needsMoveNext = true;
|
||||
break;
|
||||
}
|
||||
|
||||
if (collection == null)
|
||||
{
|
||||
// we have new data, set the collection's symbol/times
|
||||
var current = _enumerator.Current;
|
||||
collection = CreateCollection(_symbol, current.Time, current.EndTime);
|
||||
}
|
||||
|
||||
if (collection.EndTime != _enumerator.Current.EndTime)
|
||||
{
|
||||
// the data from the underlying is at a different time, stop here
|
||||
_needsMoveNext = false;
|
||||
if (IsValid(collection))
|
||||
{
|
||||
// we emit
|
||||
break;
|
||||
}
|
||||
// we try again
|
||||
collection = null;
|
||||
continue;
|
||||
}
|
||||
|
||||
// this data belongs in this collection, keep going until null or bad time
|
||||
Add(collection, _enumerator.Current);
|
||||
_needsMoveNext = true;
|
||||
}
|
||||
|
||||
Current = collection;
|
||||
return _liveMode || collection != null;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Sets the enumerator to its initial position, which is before the first element in the collection.
|
||||
/// </summary>
|
||||
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
|
||||
public void Reset()
|
||||
{
|
||||
_enumerator.Reset();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the element in the collection at the current position of the enumerator.
|
||||
/// </summary>
|
||||
/// <returns>
|
||||
/// The element in the collection at the current position of the enumerator.
|
||||
/// </returns>
|
||||
public BaseDataCollection Current
|
||||
{
|
||||
get; private set;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the current element in the collection.
|
||||
/// </summary>
|
||||
/// <returns>
|
||||
/// The current element in the collection.
|
||||
/// </returns>
|
||||
/// <filterpriority>2</filterpriority>
|
||||
object IEnumerator.Current
|
||||
{
|
||||
get { return Current; }
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
|
||||
/// </summary>
|
||||
/// <filterpriority>2</filterpriority>
|
||||
public void Dispose()
|
||||
{
|
||||
_enumerator.Dispose();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new, empty <see cref="BaseDataCollection"/>.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The base data collection symbol</param>
|
||||
/// <param name="time">The start time of the collection</param>
|
||||
/// <param name="endTime">The end time of the collection</param>
|
||||
/// <returns>A new, empty <see cref="BaseDataCollection"/></returns>
|
||||
private BaseDataCollection CreateCollection(Symbol symbol, DateTime time, DateTime endTime)
|
||||
{
|
||||
return new BaseDataCollection
|
||||
{
|
||||
Symbol = symbol,
|
||||
Time = time,
|
||||
EndTime = endTime
|
||||
};
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Adds the specified instance of <see cref="BaseData"/> to the current collection
|
||||
/// </summary>
|
||||
/// <param name="collection">The collection to be added to</param>
|
||||
/// <param name="current">The data to be added</param>
|
||||
private void Add(BaseDataCollection collection, BaseData current)
|
||||
{
|
||||
var baseDataCollection = current as BaseDataCollection;
|
||||
if (_symbol.HasUnderlying && _symbol.Underlying == current.Symbol)
|
||||
{
|
||||
// if the underlying has been aggregated, even if it shouldn't need to be, let's handle it nicely
|
||||
if (baseDataCollection != null)
|
||||
{
|
||||
collection.Underlying = baseDataCollection.Data[0];
|
||||
}
|
||||
else
|
||||
{
|
||||
collection.Underlying = current;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
if (baseDataCollection != null)
|
||||
{
|
||||
// datapoint is already aggregated, let's see if it's a single point or a collection we can use already
|
||||
if(baseDataCollection.Data.Count > 1)
|
||||
{
|
||||
collection.Data = baseDataCollection.Data;
|
||||
}
|
||||
else
|
||||
{
|
||||
collection.Data.Add(baseDataCollection.Data[0]);
|
||||
}
|
||||
|
||||
// Let's keep the underlying in case it's already there
|
||||
collection.Underlying ??= baseDataCollection.Underlying;
|
||||
}
|
||||
else
|
||||
{
|
||||
collection.Data.Add(current);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines if a given data point is valid and can be emitted
|
||||
/// </summary>
|
||||
/// <param name="collection">The collection to be emitted</param>
|
||||
/// <returns>True if its a valid data point</returns>
|
||||
private static bool IsValid(BaseDataCollection collection)
|
||||
{
|
||||
return collection != null && collection.Data?.Count > 0;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user