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
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+/*
+ * 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.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="ISubscriptionEnumeratorFactory"/> that reads
+    /// an entire <see cref="SubscriptionDataSource"/> into a single <see cref="BaseDataCollection"/>
+    /// to be emitted on the tradable date at midnight
+    /// </summary>
+    /// <remarks>This enumerator factory is currently only used in backtesting with coarse data</remarks>
+    public class BaseDataCollectionSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory
+    {
+        private IObjectStore _objectStore;
+
+        /// <summary>
+        /// Instanciates a new <see cref="BaseDataCollectionSubscriptionEnumeratorFactory"/>
+        /// </summary>
+        /// <param name="objectStore">The object store to use</param>
+        public BaseDataCollectionSubscriptionEnumeratorFactory(IObjectStore objectStore)
+        {
+            _objectStore = objectStore;
+        }
+
+        /// <summary>
+        /// Creates an enumerator to read the specified request
+        /// </summary>
+        /// <param name="request">The subscription request to be read</param>
+        /// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
+        /// <returns>An enumerator reading the subscription request</returns>
+        public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
+        {
+            using (var dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider))
+            {
+                var configuration = request.Configuration;
+                var sourceFactory = (BaseData)Activator.CreateInstance(request.Configuration.Type);
+
+                // Behaves in the same way as in live trading
+                // (i.e. only emit coarse data on dates following a trading day)
+                // The shifting of dates is needed to ensure we never emit coarse data on the same date,
+                // because it would enable look-ahead bias.
+
+                foreach (var date in request.TradableDaysInDataTimeZone)
+                {
+                    var source = sourceFactory.GetSource(configuration, date, false);
+                    var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, configuration, date, false, sourceFactory,
+                        dataProvider, _objectStore);
+                    var coarseFundamentalForDate = factory.Read(source);
+                    //  shift all date of emitting the file forward one day to model emitting coarse midnight the next day.
+                    yield return new BaseDataCollection(date.AddDays(1), configuration.Symbol, coarseFundamentalForDate);
+                }
+            }
+        }
+    }
+}