chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Collections.Generic;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides an implementation of <see cref="IHistoryProvider"/> that uses <see cref="BaseData"/>
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/// instances to retrieve historical data
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/// </summary>
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public class SubscriptionDataReaderHistoryProvider : SynchronizingHistoryProvider
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{
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private SymbolProperties _nullSymbolProperties;
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private SecurityCache _nullCache;
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private Cash _nullCash;
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private IDataProvider _dataProvider;
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private IMapFileProvider _mapFileProvider;
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private IFactorFileProvider _factorFileProvider;
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private IDataCacheProvider _dataCacheProvider;
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private IObjectStore _objectStore;
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private bool _parallelHistoryRequestsEnabled;
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private bool _initialized;
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/// <summary>
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/// Manager used to allow or deny access to a requested datasource for specific users
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/// </summary>
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protected IDataPermissionManager DataPermissionManager { get; set; }
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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if (_initialized)
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{
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return;
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}
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_initialized = true;
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_dataProvider = parameters.DataProvider;
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_mapFileProvider = parameters.MapFileProvider;
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_dataCacheProvider = parameters.DataCacheProvider;
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_factorFileProvider = parameters.FactorFileProvider;
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_objectStore = parameters.ObjectStore;
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AlgorithmSettings = parameters.AlgorithmSettings;
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DataPermissionManager = parameters.DataPermissionManager;
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_parallelHistoryRequestsEnabled = parameters.ParallelHistoryRequestsEnabled;
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_nullCache = new SecurityCache();
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_nullCash = new Cash(Currencies.NullCurrency, 0, 1m);
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_nullSymbolProperties = SymbolProperties.GetDefault(Currencies.NullCurrency);
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}
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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// create subscription objects from the configs
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var subscriptions = new List<Subscription>();
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foreach (var request in requests)
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{
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var subscription = CreateSubscription(request);
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subscriptions.Add(subscription);
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}
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return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
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}
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/// <summary>
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/// Creates a subscription to process the request
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/// </summary>
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private Subscription CreateSubscription(HistoryRequest request)
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{
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var config = request.ToSubscriptionDataConfig();
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// this security is internal only we do not need to worry about a few of it's properties
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// TODO: we don't need fee/fill/BPM/etc either. Even better we should refactor & remove the need for the security
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var security = new Security(
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request.ExchangeHours,
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config,
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_nullCash,
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_nullSymbolProperties,
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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_nullCache
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);
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var dataReader = new SubscriptionDataReader(config,
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request,
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_mapFileProvider,
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_factorFileProvider,
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_dataCacheProvider,
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_dataProvider,
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_objectStore);
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dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(args); };
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dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(args); };
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dataReader.StartDateLimited += (sender, args) => { OnStartDateLimited(args); };
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dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(args); };
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dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(args); };
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IEnumerator<BaseData> reader = dataReader;
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var intraday = GetIntradayDataEnumerator(dataReader, request);
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if (intraday != null)
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{
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// we optionally concatenate the intraday data enumerator
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reader = new ConcatEnumerator(true, reader, intraday);
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}
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var useDailyStrictEndTimes = LeanData.UseDailyStrictEndTimes(AlgorithmSettings, request, config.Symbol, config.Increment);
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if (useDailyStrictEndTimes)
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{
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// before corporate events which might yield data and we synchronize both feeds
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reader = new StrictDailyEndTimesEnumerator(reader, request.ExchangeHours, request.StartTimeLocal);
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}
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reader = CorporateEventEnumeratorFactory.CreateEnumerators(
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reader,
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config,
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_factorFileProvider,
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dataReader,
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_mapFileProvider,
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request.StartTimeLocal,
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request.EndTimeLocal);
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// optionally apply fill forward behavior
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if (request.FillForwardResolution.HasValue)
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{
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// copy forward Bid/Ask bars for QuoteBars
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if (request.DataType == typeof(QuoteBar))
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{
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reader = new QuoteBarFillForwardEnumerator(reader);
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}
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var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
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var exchange = GetSecurityExchange(security.Exchange, request.DataType, request.Symbol);
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reader = new FillForwardEnumerator(reader, exchange, readOnlyRef, request.IncludeExtendedMarketHours, request.StartTimeLocal, request.EndTimeLocal, config.Increment, config.DataTimeZone, useDailyStrictEndTimes, request.DataType);
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}
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// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
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// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
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// so to combat this we deliberately filter the results from the data reader to fix these cases
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// which only apply to non-tick data
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reader = new SubscriptionFilterEnumerator(reader, security, request.EndTimeLocal, config.ExtendedMarketHours, false, request.ExchangeHours);
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// allow all ticks
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if (config.Resolution != Resolution.Tick)
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{
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var timeBasedFilter = new TimeBasedFilter(request);
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reader = new FilterEnumerator<BaseData>(reader, timeBasedFilter.Filter);
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}
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var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);
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if (_parallelHistoryRequestsEnabled)
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{
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return SubscriptionUtils.CreateAndScheduleWorker(subscriptionRequest, reader, _factorFileProvider, false, AlgorithmSettings.DailyPreciseEndTime);
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}
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return SubscriptionUtils.Create(subscriptionRequest, reader, AlgorithmSettings.DailyPreciseEndTime);
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}
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/// <summary>
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/// Gets the intraday data enumerator if any
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/// </summary>
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protected virtual IEnumerator<BaseData> GetIntradayDataEnumerator(IEnumerator<BaseData> rawData, HistoryRequest request)
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{
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return null;
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}
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/// <summary>
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/// Internal helper class to filter data based on requested times
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/// </summary>
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private class TimeBasedFilter
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{
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public Type RequestedType { get; set; }
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public DateTime EndTimeLocal { get; set; }
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public DateTime StartTimeLocal { get; set; }
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public TimeBasedFilter(HistoryRequest request)
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{
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RequestedType = request.DataType;
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EndTimeLocal = request.EndTimeLocal;
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StartTimeLocal = request.StartTimeLocal;
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}
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public bool Filter(BaseData data)
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{
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// filter out all aux data, unless if we are asking for aux data
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if (data.DataType == MarketDataType.Auxiliary && data.GetType() != RequestedType) return false;
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// filter out future data
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if (data.EndTime > EndTimeLocal) return false;
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// filter out data before the start
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return data.EndTime > StartTimeLocal;
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}
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}
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}
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}
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