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.Collections;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// An <see cref="IEnumerator{SubscriptionData}"/> which wraps an existing <see cref="IEnumerator{BaseData}"/>.
+    /// </summary>
+    /// <remarks>Using this class is important, versus directly yielding, because we setup the <see cref="Dispose"/> chain</remarks>
+    public class SubscriptionDataEnumerator : IEnumerator<SubscriptionData>
+    {
+        private readonly IEnumerator<BaseData> _enumerator;
+        private readonly SubscriptionDataConfig _configuration;
+        private readonly SecurityExchangeHours _exchangeHours;
+        private readonly TimeZoneOffsetProvider _offsetProvider;
+        private readonly bool _isUniverse;
+        private readonly bool _dailyStrictEndTimeEnabled;
+
+        object IEnumerator.Current => Current;
+
+        /// <summary>
+        /// Gets the element in the collection at the current position of the enumerator.
+        /// </summary>
+        public SubscriptionData Current { get; private set; }
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="configuration">The subscription's configuration</param>
+        /// <param name="exchangeHours">The security's exchange hours</param>
+        /// <param name="offsetProvider">The subscription's time zone offset provider</param>
+        /// <param name="enumerator">The underlying data enumerator</param>
+        /// <param name="isUniverse">The subscription is a universe subscription</param>
+        /// <returns>A subscription data enumerator</returns>
+        public SubscriptionDataEnumerator(SubscriptionDataConfig configuration,
+            SecurityExchangeHours exchangeHours,
+            TimeZoneOffsetProvider offsetProvider,
+            IEnumerator<BaseData> enumerator,
+            bool isUniverse,
+            bool dailyStrictEndTimeEnabled)
+        {
+            _enumerator = enumerator;
+            _offsetProvider = offsetProvider;
+            _exchangeHours = exchangeHours;
+            _configuration = configuration;
+            _isUniverse = isUniverse;
+            _dailyStrictEndTimeEnabled = dailyStrictEndTimeEnabled;
+        }
+
+        /// <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 result = _enumerator.MoveNext();
+            if (result)
+            {
+                // Use our config filter to see if we should emit this
+                // This currently catches Auxiliary data that we don't want to emit
+                if (_enumerator.Current != null && !_configuration.ShouldEmitData(_enumerator.Current, _isUniverse))
+                {
+                    // We shouldn't emit this data, so we will MoveNext() again.
+                    return MoveNext();
+                }
+
+                Current = SubscriptionData.Create(_dailyStrictEndTimeEnabled, _configuration, _exchangeHours, _offsetProvider, _enumerator.Current, _configuration.DataNormalizationMode);
+            }
+            return result;
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public void Dispose()
+        {
+            _enumerator.Dispose();
+        }
+
+        /// <summary>
+        /// Sets the enumerator to its initial position, which is before the first element in the collection.
+        /// </summary>
+        public void Reset()
+        {
+            _enumerator.Reset();
+        }
+    }
+}