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 System.IO;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Util;
+
+namespace QuantConnect.ToolBox
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IStreamParser"/> that reads files in the lean format
+    /// </summary>
+    public class LeanParser : IStreamParser
+    {
+        /// <summary>
+        /// Parses the specified input stream into an enumerable of data
+        /// </summary>
+        /// <param name="source">The source file corresponding the the stream</param>
+        /// <param name="stream">The input stream to be parsed</param>
+        /// <returns>An enumerable of base data</returns>
+        public IEnumerable<BaseData> Parse(string source, Stream stream)
+        {
+            var pathComponents = LeanDataPathComponents.Parse(source);
+            var tickType = pathComponents.Filename.ToLowerInvariant().Contains("_trade")
+                ? TickType.Trade
+                : TickType.Quote;
+
+            var dataType = GetDataType(pathComponents.SecurityType, pathComponents.Resolution, tickType);
+            var factory = (BaseData) Activator.CreateInstance(dataType);
+
+            // ignore time zones here, i.e, we're going to emit data in the data time zone
+            var config = new SubscriptionDataConfig(dataType, pathComponents.Symbol, pathComponents.Resolution, TimeZones.Utc, TimeZones.Utc, false, true, false);
+            using (var reader = new StreamReader(stream))
+            {
+                string line;
+                while ((line = reader.ReadLine()) != null)
+                {
+                    yield return factory.Reader(config, line, pathComponents.Date, false);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+        /// </summary>
+        public void Dispose()
+        {
+        }
+
+        private Type GetDataType(SecurityType securityType, Resolution resolution, TickType tickType)
+        {
+            if (resolution == Resolution.Tick)
+            {
+                return typeof (Tick);
+            }
+
+            switch (securityType)
+            {
+                case SecurityType.Base:
+                case SecurityType.Equity:
+                    return typeof (TradeBar);
+
+                case SecurityType.Cfd:
+                case SecurityType.Forex:
+                case SecurityType.Crypto:
+                    return typeof (QuoteBar);
+
+                case SecurityType.Option:
+                case SecurityType.FutureOption:
+                case SecurityType.IndexOption:
+                    if (tickType == TickType.Trade) return typeof (TradeBar);
+                    if (tickType == TickType.Quote) return typeof (QuoteBar);
+                    break;
+            }
+            var parameters = string.Join(" | ", securityType, resolution, tickType);
+            throw new NotImplementedException("LeanParser.GetDataType has not yet implemented: " + parameters);
+        }
+    }
+}