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;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Represents a grouping of data emitted at a certain time.
+    /// </summary>
+    public class TimeSlice
+    {
+        /// <summary>
+        /// Gets the count of data points in this <see cref="TimeSlice"/>
+        /// </summary>
+        public int DataPointCount { get; }
+
+        /// <summary>
+        /// Gets the UTC time this data was emitted
+        /// </summary>
+        public DateTime Time { get; }
+
+        /// <summary>
+        /// Gets the data in the time slice
+        /// </summary>
+        public List<DataFeedPacket> Data { get; }
+
+        /// <summary>
+        /// Gets the <see cref="Slice"/> that will be used as input for the algorithm
+        /// </summary>
+        public Slice Slice { get; }
+
+        /// <summary>
+        /// Gets the data used to update securities
+        /// </summary>
+        public List<UpdateData<ISecurityPrice>> SecuritiesUpdateData { get; }
+
+        /// <summary>
+        /// Gets the data used to update the consolidators
+        /// </summary>
+        public List<UpdateData<SubscriptionDataConfig>> ConsolidatorUpdateData { get; }
+
+        /// <summary>
+        /// Gets all the custom data in this <see cref="TimeSlice"/>
+        /// </summary>
+        public List<UpdateData<ISecurityPrice>> CustomData { get; }
+
+        /// <summary>
+        /// Gets the changes to the data subscriptions as a result of universe selection
+        /// </summary>
+        public SecurityChanges SecurityChanges { get; }
+
+        /// <summary>
+        /// Gets the universe data generated this time step.
+        /// </summary>
+        public Dictionary<Universe, BaseDataCollection> UniverseData { get; }
+
+        /// <summary>
+        /// True indicates this time slice is a time pulse for the algorithm containing no data
+        /// </summary>
+        public bool IsTimePulse { get; }
+
+        /// <summary>
+        /// Initializes a new <see cref="TimeSlice"/> containing the specified data
+        /// </summary>
+        public TimeSlice(DateTime time,
+            int dataPointCount,
+            Slice slice,
+            List<DataFeedPacket> data,
+            List<UpdateData<ISecurityPrice>> securitiesUpdateData,
+            List<UpdateData<SubscriptionDataConfig>> consolidatorUpdateData,
+            List<UpdateData<ISecurityPrice>> customData,
+            SecurityChanges securityChanges,
+            Dictionary<Universe, BaseDataCollection> universeData,
+            bool isTimePulse = false)
+        {
+            Time = time;
+            Data = data;
+            Slice = slice;
+            CustomData = customData;
+            DataPointCount = dataPointCount;
+            SecuritiesUpdateData = securitiesUpdateData;
+            ConsolidatorUpdateData = consolidatorUpdateData;
+            SecurityChanges = securityChanges;
+            UniverseData = universeData;
+            IsTimePulse = isTimePulse;
+        }
+    }
+}