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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="ISubscriptionEnumeratorFactory"/> to emit
+    /// ticks based on <see cref="UserDefinedUniverse.GetTriggerTimes"/>, allowing universe
+    /// selection to fire at planned times.
+    /// </summary>
+    public class TimeTriggeredUniverseSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory
+    {
+        private readonly ITimeTriggeredUniverse _universe;
+        private readonly MarketHoursDatabase _marketHoursDatabase;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TimeTriggeredUniverseSubscriptionEnumeratorFactory"/> class
+        /// </summary>
+        /// <param name="universe">The user defined universe</param>
+        /// <param name="marketHoursDatabase">The market hours database</param>
+        public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse universe, MarketHoursDatabase marketHoursDatabase)
+        {
+            _universe = universe;
+            _marketHoursDatabase = marketHoursDatabase;
+        }
+
+        /// <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)
+        {
+            return _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase)
+                .Select(x => new Tick { Time = x, Symbol = request.Configuration.Symbol })
+                .GetEnumerator();
+        }
+    }
+}