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.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Util;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Store data (either raw or adjusted) and the time at which it should be synchronized
+    /// </summary>
+    public class SubscriptionData
+    {
+        /// <summary>
+        /// Data
+        /// </summary>
+        protected BaseData _data { get; set; }
+
+        /// <summary>
+        /// Gets the data
+        /// </summary>
+        public virtual BaseData Data => _data;
+
+        /// <summary>
+        /// Gets the UTC emit time for this data
+        /// </summary>
+        public DateTime EmitTimeUtc { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SubscriptionData"/> class
+        /// </summary>
+        /// <param name="data">The base data</param>
+        /// <param name="emitTimeUtc">The emit time for the data</param>
+        public SubscriptionData(BaseData data, DateTime emitTimeUtc)
+        {
+            _data = data;
+            EmitTimeUtc = emitTimeUtc;
+        }
+
+        /// <summary>
+        /// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
+        /// </summary>
+        /// <param name="configuration">The subscription's configuration</param>
+        /// <param name="exchangeHours">The exchange hours of the security</param>
+        /// <param name="offsetProvider">The subscription's offset provider</param>
+        /// <param name="data">The data being emitted</param>
+        /// <param name="normalizationMode">Specifies how data is normalized</param>
+        /// <param name="factor">price scale factor</param>
+        /// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
+        public static SubscriptionData Create(bool dailyStrictEndTimeEnabled, SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal? factor = null)
+        {
+            if (data == null)
+            {
+                return null;
+            }
+
+            data = data.Clone(data.IsFillForward);
+            var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
+            // during warmup, data might be emitted with a different span based on the warmup resolution, so let's get the actual bar span here
+            var barSpan = data.EndTime - data.Time;
+            // rounding down does not make sense for daily increments using strict end times
+            if (!LeanData.UseDailyStrictEndTimes(dailyStrictEndTimeEnabled, configuration.Type, configuration.Symbol, barSpan, exchangeHours))
+            {
+                // Let's round down for any data source that implements a time delta between
+                // the start of the data and end of the data (usually used with Bars).
+                // The time delta ensures that the time collected from `EndTime` has
+                // no look-ahead bias, and is point-in-time.
+                // When fill forwarding time and endtime might not respect the original ends times, here we will enforce it
+                // note we do this after fetching the 'emitTimeUtc' which should use the end time set by the fill forward enumerator
+                if (barSpan != TimeSpan.Zero)
+                {
+                    if (barSpan != configuration.Increment)
+                    {
+                        // when we detect a difference let's refetch the span in utc using noda time 'ConvertToUtc' that will not take into account day light savings difference
+                        // we don't do this always above because it's expensive, only do it if we need to.
+                        // Behavior asserted by tests 'FillsForwardBarsAroundDaylightMovementForDifferentResolutions_Algorithm' && 'ConvertToUtcAndDayLightSavings'.
+                        // Note: we don't use 'configuration.Increment' because during warmup, if the warmup resolution is set, we will emit data respecting it instead of the 'configuration'
+                        barSpan = data.EndTime.ConvertToUtc(configuration.ExchangeTimeZone) - data.Time.ConvertToUtc(configuration.ExchangeTimeZone);
+                    }
+                    data.Time = data.Time.ExchangeRoundDownInTimeZone(barSpan, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
+                }
+            }
+            else if (data.IsFillForward)
+            {
+                // we need to adjust the time for a strict end time daily bar:
+                // If this is fill-forwarded with a lower resolution, the daily calendar for data.Time will be for the previous date
+                // (which is correct, since the last daily bar belongs to the previous date).
+                // If this is a fill-forwarded complete daily bar (ending at market close),
+                // the daily calendar will have the same time/end time so the bar times will not be adjusted.
+                // TODO: What about extended market hours? How to handle non-adjacent market hour segments in a day? Same in FillForwardEnumerator
+                var calendar = LeanData.GetDailyCalendar(data.Time, exchangeHours, false);
+                data.Time = calendar.Start;
+                data.EndTime = calendar.End;
+            }
+
+            if (factor.HasValue && (configuration.SecurityType != SecurityType.Equity || (factor.Value != 1 || configuration.SumOfDividends != 0)))
+            {
+                var normalizedData = data.Clone(data.IsFillForward).Normalize(factor.Value, normalizationMode, configuration.SumOfDividends);
+
+                return new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc);
+            }
+
+            return new SubscriptionData(data, emitTimeUtc);
+        }
+    }
+}