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 System.Collections;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Auxiliary;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// This enumerator will update the <see cref="SubscriptionDataConfig.PriceScaleFactor"/> when required
+    /// and adjust the raw <see cref="BaseData"/> prices based on the provided <see cref="SubscriptionDataConfig"/>.
+    /// Assumes the prices of the provided <see cref="IEnumerator"/> are in raw mode.
+    /// </summary>
+    public class PriceScaleFactorEnumerator : IEnumerator<BaseData>
+    {
+        private readonly IEnumerator<BaseData> _rawDataEnumerator;
+        private readonly SubscriptionDataConfig _config;
+        private readonly IFactorFileProvider _factorFileProvider;
+        private DateTime _nextTradableDate;
+        private IFactorProvider _factorFile;
+        private bool _liveMode;
+        private DateTime? _endDate;
+
+        /// <summary>
+        /// Explicit interface implementation for <see cref="Current"/>
+        /// </summary>
+        object IEnumerator.Current => Current;
+
+        /// <summary>
+        /// Last read <see cref="BaseData"/> object from this type and source
+        /// </summary>
+        public BaseData Current
+        {
+            get;
+            private set;
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="PriceScaleFactorEnumerator"/>.
+        /// </summary>
+        /// <param name="rawDataEnumerator">The underlying raw data enumerator</param>
+        /// <param name="config">The <see cref="SubscriptionDataConfig"/> to enumerate for.
+        /// Will determine the <see cref="DataNormalizationMode"/> to use.</param>
+        /// <param name="factorFileProvider">The <see cref="IFactorFileProvider"/> instance to use</param>
+        /// <param name="liveMode">True, is this is a live mode data stream</param>
+        /// <param name="endDate">The enumerator end date</param>
+        /// <remarks>
+        /// For <see cref="DataNormalizationMode.ScaledRaw"/> normalization mode,
+        /// the prices are scaled to the prices on the <paramref name="endDate"/>
+        /// </remarks>
+        public PriceScaleFactorEnumerator(
+            IEnumerator<BaseData> rawDataEnumerator,
+            SubscriptionDataConfig config,
+            IFactorFileProvider factorFileProvider,
+            bool liveMode = false,
+            DateTime? endDate = null)
+        {
+            _config = config;
+            _liveMode = liveMode;
+            _nextTradableDate = DateTime.MinValue;
+            _rawDataEnumerator = rawDataEnumerator;
+            _factorFileProvider = factorFileProvider;
+            _endDate = endDate;
+        }
+
+        /// <summary>
+        /// Dispose of the underlying enumerator.
+        /// </summary>
+        public void Dispose()
+        {
+            _rawDataEnumerator.Dispose();
+        }
+
+        /// <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>
+        public bool MoveNext()
+        {
+            var underlyingReturnValue = _rawDataEnumerator.MoveNext();
+            Current = _rawDataEnumerator.Current;
+
+            if (underlyingReturnValue
+                && Current != null
+                && _factorFileProvider != null
+                && _config.DataNormalizationMode != DataNormalizationMode.Raw)
+            {
+                var priceScaleFrontier = Current.GetUpdatePriceScaleFrontier();
+                if (priceScaleFrontier >= _nextTradableDate)
+                {
+                    _factorFile = _factorFileProvider.Get(_config.Symbol);
+                    _config.PriceScaleFactor = _factorFile.GetPriceScale(priceScaleFrontier.Date, _config.DataNormalizationMode, _config.ContractDepthOffset, _config.DataMappingMode, _endDate);
+
+                    // update factor files every day
+                    _nextTradableDate = priceScaleFrontier.Date.AddDays(1);
+                    if (_liveMode)
+                    {
+                        // in live trading we add a offset to make sure new factor files are available
+                        _nextTradableDate = _nextTradableDate.Add(Time.LiveAuxiliaryDataOffset);
+                    }
+                }
+
+                Current = Current.Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
+            }
+
+            return underlyingReturnValue;
+        }
+
+        /// <summary>
+        /// Reset the IEnumeration
+        /// </summary>
+        /// <remarks>Not used</remarks>
+        public void Reset()
+        {
+            throw new NotImplementedException("Reset method not implemented. Assumes loop will only be used once.");
+        }
+    }
+}