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 +1,101 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Lean.Engine.DataFeeds.Transport;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="ISubscriptionDataSourceReader"/> that reads zip entry names
+    /// </summary>
+    public class ZipEntryNameSubscriptionDataSourceReader : BaseSubscriptionDataSourceReader
+    {
+        private readonly IDataCacheProvider _dataProvider;
+        private readonly SubscriptionDataConfig _config;
+        private readonly DateTime _date;
+        private readonly bool _isLiveMode;
+        private readonly BaseData _factory;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ZipEntryNameSubscriptionDataSourceReader"/> class
+        /// </summary>
+        /// <param name="dataProvider">Used to fetch data</param>
+        /// <param name="config">The subscription's configuration</param>
+        /// <param name="date">The date this factory was produced to read data for</param>
+        /// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
+        public ZipEntryNameSubscriptionDataSourceReader(IDataCacheProvider dataProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            : base(dataProvider, isLiveMode, null)
+        {
+            _date = date;
+            _config = config;
+            _isLiveMode = isLiveMode;
+            _dataProvider = dataProvider;
+            _factory = config.GetBaseDataInstance();
+        }
+
+        /// <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)
+        {
+            var fileName = source.Source;
+
+            if (source.TransportMedium == SubscriptionTransportMedium.RemoteFile)
+            {
+                using var reader = CreateStreamReader(source) as RemoteFileSubscriptionStreamReader;
+                if (reader != null)
+                {
+                    fileName = reader.LocalFileName;
+                }
+            }
+
+            List<string> entryNames;
+            try
+            {
+                entryNames = _dataProvider.GetZipEntries(fileName);
+            }
+            catch (Exception err)
+            {
+                OnInvalidSource(source, err);
+                yield break;
+            }
+
+            foreach (var entryFileName in entryNames)
+            {
+                var instance = _factory.Reader(_config, entryFileName, _date, _isLiveMode);
+                if (instance != null && instance.EndTime != default(DateTime))
+                {
+                    yield return instance;
+                }
+            }
+        }
+
+        /// <summary>
+        /// Event invocator for the <see cref="BaseSubscriptionDataSourceReader.InvalidSource"/> event
+        /// </summary>
+        /// <param name="source">The <see cref="SubscriptionDataSource"/> that was invalid</param>
+        /// <param name="exception">The exception if one was raised, otherwise null</param>
+        private void OnInvalidSource(SubscriptionDataSource source, Exception exception)
+        {
+            OnInvalidSource(source, exception);
+        }
+    }
+}