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 +1,121 @@
+/*
+ * 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 QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// This <see cref="ISubscriptionDataSourceReader"/> implementation supports
+    /// the <see cref="FileFormat.Index"/> and <see cref="IndexedBaseData"/> types.
+    /// Handles the layer of indirection for the index data source and forwards
+    /// the target source to the corresponding <see cref="ISubscriptionDataSourceReader"/>
+    /// </summary>
+    public class IndexSubscriptionDataSourceReader : BaseSubscriptionDataSourceReader
+    {
+        private readonly SubscriptionDataConfig _config;
+        private readonly DateTime _date;
+        private IDataProvider _dataProvider;
+        private readonly IndexedBaseData _factory;
+
+        /// <summary>
+        /// Creates a new instance of this <see cref="ISubscriptionDataSourceReader"/>
+        /// </summary>
+        public IndexSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider,
+            SubscriptionDataConfig config,
+            DateTime date,
+            bool isLiveMode,
+            IDataProvider dataProvider,
+            IObjectStore objectStore)
+        : base(dataCacheProvider, isLiveMode, objectStore)
+        {
+            _config = config;
+            _date = date;
+            _dataProvider = dataProvider;
+            _factory = config.Type.GetBaseDataInstance() as IndexedBaseData;
+            if (_factory == null)
+            {
+                throw new ArgumentException($"{nameof(IndexSubscriptionDataSourceReader)} should be used" +
+                                            $"with a data type which implements {nameof(IndexedBaseData)}");
+            }
+        }
+
+        /// <summary>
+        /// Reads the specified <paramref name="source"/>
+        /// </summary>
+        /// <param name="source">The source to be read</param>
+        /// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
+        public override IEnumerable<BaseData> Read(SubscriptionDataSource source)
+        {
+            // handles zip or text files
+            using (var reader = CreateStreamReader(source))
+            {
+                // if the reader doesn't have data then we're done with this subscription
+                if (reader == null || reader.EndOfStream)
+                {
+                    OnInvalidSource(source, new Exception($"The reader was empty for source: ${source.Source}"));
+                    yield break;
+                }
+
+                // while the reader has data
+                while (!reader.EndOfStream)
+                {
+                    // read a line and pass it to the base data factory
+                    var line = reader.ReadLine();
+                    if (line.IsNullOrEmpty())
+                    {
+                        continue;
+                    }
+
+                    SubscriptionDataSource dataSource;
+                    try
+                    {
+                        dataSource = _factory.GetSourceForAnIndex(_config, _date, line, IsLiveMode);
+                    }
+                    catch
+                    {
+                        OnInvalidSource(source, new Exception("Factory.GetSourceForAnIndex() failed to return a valid source"));
+                        yield break;
+                    }
+
+                    if (dataSource != null)
+                    {
+                        var dataReader = SubscriptionDataSourceReader.ForSource(
+                            dataSource,
+                            DataCacheProvider,
+                            _config,
+                            _date,
+                            IsLiveMode,
+                            _factory,
+                            _dataProvider,
+                            ObjectStore);
+
+                        var enumerator = dataReader.Read(dataSource).GetEnumerator();
+                        while (enumerator.MoveNext())
+                        {
+                            yield return enumerator.Current;
+                        }
+                        enumerator.DisposeSafely();
+                    }
+                }
+            }
+        }
+    }
+}