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 +1,95 @@
+/*
+ * 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.Util;
+using System.Collections;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Enumerator that will handle adjusting daily strict end times if appropriate
+    /// </summary>
+    public class StrictDailyEndTimesEnumerator : IEnumerator<BaseData>
+    {
+        private readonly DateTime _localStartTime;
+        private readonly SecurityExchangeHours _securityExchange;
+        private readonly IEnumerator<BaseData> _underlying;
+
+        /// <summary>
+        /// Current value of the enumerator
+        /// </summary>
+        public BaseData Current { get; private set; }
+
+        object IEnumerator.Current => Current;
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        public StrictDailyEndTimesEnumerator(IEnumerator<BaseData> underlying, SecurityExchangeHours securityExchangeHours, DateTime localStartTime)
+        {
+            _underlying = underlying;
+            _localStartTime = localStartTime;
+            _securityExchange = securityExchangeHours;
+        }
+
+        /// <summary>
+        /// Move to the next date
+        /// </summary>
+        public bool MoveNext()
+        {
+            Current = null;
+            bool result;
+            do
+            {
+                result = _underlying.MoveNext();
+                if (!result || !LeanData.UseDailyStrictEndTimes(_underlying.Current?.GetType()))
+                {
+                    break;
+                }
+
+                // before setting the strict daily end times, let's clone it because underlying enumerator (SubscriptionDataReader) might be using it
+                var pontentialNewBar = _underlying.Current.Clone();
+                if (LeanData.SetStrictEndTimes(pontentialNewBar, _securityExchange) && pontentialNewBar.EndTime >= _localStartTime)
+                {
+                    Current = pontentialNewBar;
+                    break;
+                }
+            }
+            while (true);
+
+            return result;
+        }
+
+        /// <summary>
+        /// Reset the enumerator
+        /// </summary>
+        public void Reset()
+        {
+            _underlying.Reset();
+        }
+
+        /// <summary>
+        /// Dispose the enumerator
+        /// </summary>
+        public void Dispose()
+        {
+            _underlying.Dispose();
+        }
+    }
+}