chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using NodaTime;
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using QuantConnect.Data;
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using System.Collections;
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using System.Collections.Generic;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// This enumerator will filter out data of the underlying enumerator based on a provided schedule.
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/// Will respect the schedule above the data, meaning will let older data through if the underlying provides none for the schedule date
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/// </summary>
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public class ScheduledEnumerator : IEnumerator<BaseData>
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{
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private readonly IEnumerator<BaseData> _underlyingEnumerator;
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private readonly IEnumerator<DateTime> _scheduledTimes;
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private readonly ITimeProvider _frontierTimeProvider;
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private readonly DateTimeZone _scheduleTimeZone;
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private BaseData _underlyingCandidateDataPoint;
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private bool _scheduledTimesEnded;
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/// <summary>
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/// The current data point
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/// </summary>
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public BaseData Current { get; private set; }
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object IEnumerator.Current => Current;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="underlyingEnumerator">The underlying enumerator to filter</param>
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/// <param name="scheduledTimes">The scheduled times to emit new data points</param>
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/// <param name="frontierTimeProvider"></param>
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/// <param name="scheduleTimeZone"></param>
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/// <param name="startTime">the underlying request start time</param>
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public ScheduledEnumerator(IEnumerator<BaseData> underlyingEnumerator,
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IEnumerable<DateTime> scheduledTimes,
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ITimeProvider frontierTimeProvider,
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DateTimeZone scheduleTimeZone,
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DateTime startTime)
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{
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_scheduleTimeZone = scheduleTimeZone;
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_frontierTimeProvider = frontierTimeProvider;
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_underlyingEnumerator = underlyingEnumerator;
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_scheduledTimes = scheduledTimes.GetEnumerator();
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// move our schedule enumerator to current start time
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MoveScheduleForward(startTime);
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}
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/// <summary>
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/// Advances the enumerator to the next element of the collection.
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/// </summary>
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/// <returns> True if the enumerator was successfully advanced to the next element;
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/// false if the enumerator has passed the end of the collection.
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/// </returns>
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public bool MoveNext()
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{
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if (_scheduledTimesEnded)
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{
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Current = null;
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return false;
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}
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// lets get our candidate data point to emit
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if (_underlyingCandidateDataPoint == null)
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{
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if (_underlyingEnumerator.Current != null && _underlyingEnumerator.Current.EndTime <= _scheduledTimes.Current)
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{
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_underlyingCandidateDataPoint = _underlyingEnumerator.Current;
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}
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else if (Current != null)
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{
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// we will keep the last data point, even if we already emitted it, there could be a case where the user has a schedule in a
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// period where there's not new data (or it's far in the future) so let's just FF the previous point
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_underlyingCandidateDataPoint = Current.Clone(fillForward: true);
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}
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}
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// lets try to get a better candidate
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if (_underlyingEnumerator.Current == null
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|| _underlyingEnumerator.Current.EndTime < _scheduledTimes.Current)
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{
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bool pullAgain;
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do
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{
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pullAgain = false;
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if (!_underlyingEnumerator.MoveNext())
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{
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if (_underlyingCandidateDataPoint != null)
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{
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// if we still have a candidate wait till we emit him before stopping
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break;
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}
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Current = null;
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return false;
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}
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if (_underlyingEnumerator.Current != null)
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{
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if (_underlyingEnumerator.Current.EndTime <= _scheduledTimes.Current)
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{
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// lets try again
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pullAgain = true;
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// we got another data point which is a newer candidate to emit so let use it instead
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// and drop the previous
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_underlyingCandidateDataPoint = _underlyingEnumerator.Current;
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}
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else if (_underlyingCandidateDataPoint == null)
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{
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// this is the first data point we got and it's After our schedule, let's move our schedule forward
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_underlyingCandidateDataPoint = _underlyingEnumerator.Current;
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MoveScheduleForward();
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}
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}
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} while (pullAgain);
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}
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if (_underlyingCandidateDataPoint != null
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// if we are at or past the schedule time we try to emit, in backtest this emits right away, since time is data driven, in live though
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// we don't emit right away because the underlying might provide us with a newer data point
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&& _scheduledTimes.Current.ConvertToUtc(_scheduleTimeZone) <= GetUtcNow())
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{
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Current = _underlyingCandidateDataPoint;
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// we align the data endtime with the schedule, we respect the schedule above the data time. In backtesting,
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// time is driven by the data, so let's make sure we emit at the scheduled time even if the data is older
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Current.EndTime = _scheduledTimes.Current;
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if (Current.Time > Current.EndTime)
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{
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Current.Time = _scheduledTimes.Current;
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}
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MoveScheduleForward();
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_underlyingCandidateDataPoint = null;
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return true;
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}
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Current = null;
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return true;
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}
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/// <summary>
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/// Resets the underlying enumerator
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/// </summary>
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public void Reset()
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{
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_underlyingEnumerator.Reset();
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}
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/// <summary>
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/// Disposes of the underlying enumerator
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/// </summary>
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public void Dispose()
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{
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_scheduledTimes.Dispose();
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_underlyingEnumerator.Dispose();
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}
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/// <summary>
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/// Available in live trading only, in backtesting frontier is driven and sycned already by the data itself
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/// so we can't hold data here based on it
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/// </summary>
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private DateTime GetUtcNow()
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{
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if (_frontierTimeProvider != null)
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{
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return _frontierTimeProvider.GetUtcNow();
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}
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return DateTime.MaxValue;
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}
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private void MoveScheduleForward(DateTime? frontier = null)
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{
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do
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{
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_scheduledTimesEnded = !_scheduledTimes.MoveNext();
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}
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while (!_scheduledTimesEnded && frontier.HasValue && _scheduledTimes.Current < frontier.Value);
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}
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}
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}
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