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 Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents an indicator that is a ready after ingesting a single sample and
+    /// always returns the same value as it is given if it passes a filter condition
+    /// </summary>
+    public class FilteredIdentity : IndicatorBase<IBaseData>
+    {
+        private IBaseData _previousInput;
+        private readonly Func<IBaseData, bool> _filter;
+
+        /// <summary>
+        /// Initializes a new instance of the FilteredIdentity indicator with the specified name
+        /// </summary>
+        /// <param name="name">The name of the indicator</param>
+        /// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
+        public FilteredIdentity(string name, Func<IBaseData, bool> filter)
+            : base(name)
+        {
+            // default our filter to true (do not filter)
+            _filter = filter ?? (x => true);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the FilteredIdentity indicator with the specified name
+        /// </summary>
+        /// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
+        public FilteredIdentity(Func<IBaseData, bool> filter) : this("", filter) { }
+
+        /// <summary>
+        /// Initializes a new instance of the FilteredIdentity indicator with the specified name
+        /// </summary>
+        /// <param name="name">The name of the indicator</param>
+        /// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
+        public FilteredIdentity(string name, PyObject filter)
+            : this(name, filter.SafeAs<Func<IBaseData, bool>>())
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the FilteredIdentity indicator with the specified name
+        /// </summary>
+        /// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
+        public FilteredIdentity(PyObject filter) : this("", filter) { }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples > 0 && Current.Value > 0;
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IBaseData input)
+        {
+            if (_filter(input))
+            {
+                _previousInput = input;
+                return input.Value;
+            }
+
+            if (_previousInput != null)
+            {
+                return _previousInput.Value;
+            }
+
+            // if _previousInput is null, create an empty IBaseData object of the same type of the input
+            switch (input.DataType)
+            {
+                case MarketDataType.TradeBar:
+                    _previousInput = new TradeBar();
+                    break;
+                case MarketDataType.QuoteBar:
+                    _previousInput = new QuoteBar();
+                    break;
+                default:
+                    _previousInput = new Tick();
+                    break;
+            }
+
+            return _previousInput.Value;
+        }
+    }
+}