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 +1,114 @@
+/*
+* 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 QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Auxiliary data enumerator that will trigger new tradable dates event accordingly
+    /// </summary>
+    public class LiveAuxiliaryDataEnumerator : AuxiliaryDataEnumerator
+    {
+        private DateTime _lastTime;
+        private ITimeProvider _timeProvider;
+        private SecurityCache _securityCache;
+
+        /// <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="startTime">Start date for the data request</param>
+        /// <param name="timeProvider">The time provider to use</param>
+        /// <param name="securityCache">The security cache</param>
+        public LiveAuxiliaryDataEnumerator(SubscriptionDataConfig config, IFactorFileProvider factorFileProvider,
+            IMapFileProvider mapFileProvider, ITradableDateEventProvider[] tradableDateEventProviders,
+            DateTime startTime,
+            ITimeProvider timeProvider,
+            SecurityCache securityCache)
+            // tradableDayNotifier: null -> we are going to trigger the new tradables events for the base implementation
+            : base(config, factorFileProvider, mapFileProvider, tradableDateEventProviders, tradableDayNotifier:null, startTime)
+        {
+            _securityCache = securityCache;
+            _timeProvider = timeProvider;
+
+            // initialize providers right away so mapping happens before we subscribe
+            Initialize();
+        }
+
+        /// <summary>
+        /// Moves the LiveAuxiliaryDataEnumerator to the next item
+        /// </summary>
+        public override bool MoveNext()
+        {
+            var currentDate = _timeProvider.GetUtcNow().ConvertFromUtc(Config.ExchangeTimeZone).Add(-Time.LiveAuxiliaryDataOffset).Date;
+            if (currentDate != _lastTime)
+            {
+                // when the date changes for the security we trigger a new tradable date event
+                var newDayEvent = new NewTradableDateEventArgs(currentDate, _securityCache.GetData(), Config.Symbol, null);
+
+                NewTradableDate(this, newDayEvent);
+                // update last time
+                _lastTime = currentDate;
+            }
+
+            return base.MoveNext();
+        }
+
+        /// <summary>
+        /// Helper method to create a new instance.
+        /// Knows which security types should create one and determines the appropriate delisting event provider to use
+        /// </summary>
+        public static bool TryCreate(SubscriptionDataConfig dataConfig, ITimeProvider timeProvider,
+            SecurityCache securityCache, IMapFileProvider mapFileProvider, IFactorFileProvider fileProvider, DateTime startTime,
+            out IEnumerator<BaseData> enumerator)
+        {
+            enumerator = null;
+            var securityType = dataConfig.SecurityType;
+            if (securityType.IsOption() || securityType == SecurityType.Future || securityType == SecurityType.Equity)
+            {
+                var providers = new List<ITradableDateEventProvider>
+                {
+                    securityType == SecurityType.Equity
+                        ? new LiveDelistingEventProvider()
+                        : new DelistingEventProvider()
+                };
+
+                if (dataConfig.TickerShouldBeMapped())
+                {
+                    providers.Add(new LiveMappingEventProvider());
+                }
+
+                if (dataConfig.EmitSplitsAndDividends())
+                {
+                    providers.Add(new LiveDividendEventProvider());
+                    providers.Add(new LiveSplitEventProvider());
+                }
+
+                enumerator = new LiveAuxiliaryDataEnumerator(dataConfig, fileProvider, mapFileProvider,
+                    providers.ToArray(), startTime, timeProvider, securityCache);
+            }
+            return enumerator != null;
+        }
+    }
+}