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 +1,180 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Util;
+
+namespace QuantConnect.ToolBox
+{
+    /// <summary>
+    /// Class that uses consolidators to aggregate tick data data
+    /// </summary>
+    public abstract class TickAggregator
+    {
+        protected TickAggregator(Resolution resolution, TickType tickType)
+        {
+            TickType = tickType;
+            Resolution = resolution;
+        }
+
+        /// <summary>
+        /// Gets the tick type of the consolidator
+        /// </summary>
+        public TickType TickType { get; protected set; }
+
+        /// <summary>
+        /// The consolidator used to aggregate data from
+        /// higher resolutions to data in lower resolutions
+        /// </summary>
+        public IDataConsolidator Consolidator { get; protected set; }
+
+        /// <summary>
+        /// The consolidated data
+        /// </summary>
+        public List<BaseData> Consolidated { get; protected set; }
+
+        /// <summary>
+        /// The resolution that the data is being aggregated into
+        /// </summary>
+        public Resolution Resolution { get; }
+
+        /// <summary>
+        /// Updates the consolidator with the specified bar.
+        /// </summary>
+        /// <param name="data">The latest data observation.</param>
+        public virtual void Update(BaseData data)
+        {
+            Consolidator.Update(data);
+        }
+
+        /// <summary>
+        /// Return all the consolidated data as well as the
+        /// bar the consolidator is currently working on
+        /// </summary>
+        public List<BaseData> Flush()
+        {
+            var data = new List<BaseData>(Consolidated);
+            if (Consolidator.WorkingData != null)
+            {
+                data.Add(Consolidator.WorkingData as BaseData);
+            }
+
+            return data;
+        }
+
+        /// <summary>
+        /// Creates the correct <see cref="TickAggregator"/> instances for the specified tick types and resolution.
+        /// <see cref="QuantConnect.TickType.OpenInterest"/> will ignore <paramref name="resolution"/> and use <see cref="QuantConnect.Resolution.Daily"/>
+        /// </summary>
+        public static IEnumerable<TickAggregator> ForTickTypes(SecurityType securityType, Resolution resolution, params TickType[] tickTypes)
+        {
+            if (resolution == Resolution.Tick)
+            {
+                foreach (var tickType in tickTypes.Where(t => LeanData.IsValidConfiguration(securityType, resolution, t)))
+                {
+                    // OI is special
+                    if (tickType == TickType.OpenInterest)
+                    {
+                        yield return new OpenInterestTickAggregator(resolution);
+                        continue;
+                    }
+
+                    yield return new IdentityTickAggregator(tickType);
+                }
+
+                yield break;
+            }
+
+            foreach (var tickType in tickTypes.Where(t => LeanData.IsValidConfiguration(securityType, resolution, t)))
+            {
+                switch (tickType)
+                {
+                    case TickType.Trade:
+                        yield return new TradeTickAggregator(resolution);
+                        break;
+
+                    case TickType.Quote:
+                        yield return new QuoteTickAggregator(resolution);
+                        break;
+
+                    case TickType.OpenInterest:
+                        yield return new OpenInterestTickAggregator(resolution);
+                        break;
+
+                    default:
+                        throw new ArgumentOutOfRangeException(nameof(tickType), tickType, null);
+                }
+            }
+        }
+    }
+
+    /// <summary>
+    /// Use <see cref="TickQuoteBarConsolidator"/> to consolidate quote ticks into a specified resolution
+    /// </summary>
+    public class QuoteTickAggregator : TickAggregator
+    {
+        public QuoteTickAggregator(Resolution resolution)
+            : base(resolution, TickType.Quote)
+        {
+            Consolidated = new List<BaseData>();
+            Consolidator = new TickQuoteBarConsolidator(resolution.ToTimeSpan());
+            Consolidator.DataConsolidated += (sender, consolidated) =>
+            {
+                Consolidated.Add(consolidated as QuoteBar);
+            };
+        }
+    }
+
+    /// <summary>
+    /// Use <see cref="TickQuoteBarConsolidator"/> to consolidate trade ticks into a specified resolution
+    /// </summary>
+    public class TradeTickAggregator : TickAggregator
+    {
+        public TradeTickAggregator(Resolution resolution)
+            : base(resolution, TickType.Trade)
+        {
+            Consolidated = new List<BaseData>();
+            Consolidator = new TickConsolidator(resolution.ToTimeSpan());
+            Consolidator.DataConsolidated += (sender, consolidated) =>
+            {
+                Consolidated.Add(consolidated as TradeBar);
+            };
+        }
+    }
+
+    /// <summary>
+    /// Use <see cref="OpenInterestConsolidator"/> to consolidate open interest ticks into a specified resolution
+    /// </summary>
+    public class OpenInterestTickAggregator : TickAggregator
+    {
+        public OpenInterestTickAggregator(Resolution resolution)
+            : base(resolution, TickType.OpenInterest)
+        {
+            Consolidated = new List<BaseData>();
+            Consolidator = new OpenInterestConsolidator(resolution.ToTimeSpan());
+            Consolidator.DataConsolidated += (sender, consolidated) =>
+            {
+                Consolidated.Add(consolidated as OpenInterest);
+            };
+        }
+    }
+
+    /// <summary>
+    /// Use <see cref="IdentityDataConsolidator{T}"/> to yield ticks unmodified into the consolidated data collection
+    /// </summary>
+    public class IdentityTickAggregator : TickAggregator
+    {
+        public IdentityTickAggregator(TickType tickType)
+            : base(Resolution.Tick, tickType)
+        {
+            Consolidated = new List<BaseData>();
+            Consolidator = FilteredIdentityDataConsolidator.ForTickType(tickType);
+            Consolidator.DataConsolidated += (sender, consolidated) =>
+            {
+                Consolidated.Add(consolidated as Tick);
+            };
+        }
+    }
+}