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 System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+
+namespace QuantConnect.ToolBox
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IDataProcessor"/> that consolidates the data
+    /// stream and forwards the consolidated data to other processors
+    /// </summary>
+    public class ConsolidatorDataProcessor : IDataProcessor
+    {
+        private DateTime _frontier;
+        private readonly IDataProcessor _destination;
+        private readonly Func<IBaseData, IDataConsolidator> _createConsolidator;
+        private readonly Dictionary<Symbol, IDataConsolidator> _consolidators;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ConsolidatorDataProcessor"/> class
+        /// </summary>
+        /// <param name="destination">The receiver of the consolidated data</param>
+        /// <param name="createConsolidator">Function used to create consolidators</param>
+        public ConsolidatorDataProcessor(IDataProcessor destination, Func<IBaseData, IDataConsolidator> createConsolidator)
+        {
+            _destination = destination;
+            _createConsolidator = createConsolidator;
+            _consolidators = new Dictionary<Symbol, IDataConsolidator>();
+        }
+
+        /// <summary>
+        /// Invoked for each piece of data from the source file
+        /// </summary>
+        /// <param name="data">The data to be processed</param>
+        public void Process(IBaseData data)
+        {
+            // grab the correct consolidator for this symbol
+            IDataConsolidator consolidator;
+            if (!_consolidators.TryGetValue(data.Symbol, out consolidator))
+            {
+                consolidator = _createConsolidator(data);
+                consolidator.DataConsolidated += OnDataConsolidated;
+                _consolidators[data.Symbol] = consolidator;
+            }
+
+            consolidator.Update(data);
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public void Dispose()
+        {
+            _frontier = DateTime.MaxValue;
+
+            // check the other consolidators to see if they also need to emit their working bars
+            foreach (var consolidator in _consolidators.Values)
+            {
+                consolidator.Scan(_frontier);
+            }
+
+            _destination.Dispose();
+            _consolidators.Clear();
+        }
+
+        /// <summary>
+        /// Handles the <see cref="IDataConsolidator.DataConsolidated"/> event
+        /// </summary>
+        private void OnDataConsolidated(object sender, IBaseData args)
+        {
+            _destination.Process(args);
+
+            // we've already checked this frontier time, so don't scan the consolidators
+            if (_frontier >= args.EndTime) return;
+            _frontier = args.EndTime;
+
+            // check the other consolidators to see if they also need to emit
+            foreach (var consolidator in _consolidators.Values)
+            {
+                // back up the time a single instance, this allows data at exact same
+                // time to still come through
+                consolidator.Scan(args.EndTime.AddTicks(-1));
+            }
+        }
+    }
+}