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 +1,102 @@
+/*
+ * 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.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Event provider who will emit <see cref="SymbolChangedEvent"/> events
+    /// </summary>
+    public class MappingEventProvider : ITradableDateEventProvider
+    {
+        private IMapFileProvider _mapFileProvider;
+
+        /// <summary>
+        /// The associated configuration
+        /// </summary>
+        protected SubscriptionDataConfig Config { get; private set; }
+
+        /// <summary>
+        /// The current instance being used
+        /// </summary>
+        protected MapFile MapFile { get; private set; }
+
+        /// <summary>
+        /// Initializes this 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="Data.Auxiliary.MapFile"/> provider to use</param>
+        /// <param name="startTime">Start date for the data request</param>
+        public virtual void Initialize(
+            SubscriptionDataConfig config,
+            IFactorFileProvider factorFileProvider,
+            IMapFileProvider mapFileProvider,
+            DateTime startTime)
+        {
+            _mapFileProvider = mapFileProvider;
+            Config = config;
+            InitializeMapFile();
+
+            if (MapFile.HasData(startTime.Date))
+            {
+                // initialize mapped symbol using request start date
+                Config.MappedSymbol = MapFile.GetMappedSymbol(startTime.Date, Config.MappedSymbol, Config.DataMappingMode);
+            }
+        }
+
+        /// <summary>
+        /// Check for new mappings
+        /// </summary>
+        /// <param name="eventArgs">The new tradable day event arguments</param>
+        /// <returns>New mapping event if any</returns>
+        public virtual IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
+        {
+            if (Config.Symbol == eventArgs.Symbol
+                && MapFile.HasData(eventArgs.Date))
+            {
+                var old = Config.MappedSymbol;
+                var newSymbol = MapFile.GetMappedSymbol(eventArgs.Date, Config.MappedSymbol, Config.DataMappingMode);
+                Config.MappedSymbol = newSymbol;
+
+                // check to see if the symbol was remapped
+                if (old != Config.MappedSymbol)
+                {
+                    var changed = new SymbolChangedEvent(
+                        Config.Symbol,
+                        eventArgs.Date,
+                        old,
+                        Config.MappedSymbol);
+                    yield return changed;
+                }
+            }
+        }
+
+        /// <summary>
+        /// Initializes the map file to use
+        /// </summary>
+        protected void InitializeMapFile()
+        {
+            MapFile = _mapFileProvider.ResolveMapFile(Config);
+        }
+    }
+}