/* * 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.Collections.Generic; using System.Linq; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Interfaces; using QuantConnect.Securities; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories { /// /// Provides an implementation of to emit /// ticks based on , allowing universe /// selection to fire at planned times. /// public class TimeTriggeredUniverseSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory { private readonly ITimeTriggeredUniverse _universe; private readonly MarketHoursDatabase _marketHoursDatabase; /// /// Initializes a new instance of the class /// /// The user defined universe /// The market hours database public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse universe, MarketHoursDatabase marketHoursDatabase) { _universe = universe; _marketHoursDatabase = marketHoursDatabase; } /// /// Creates an enumerator to read the specified request /// /// The subscription request to be read /// Provider used to get data when it is not present on disk /// An enumerator reading the subscription request public IEnumerator CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider) { return _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase) .Select(x => new Tick { Time = x, Symbol = request.Configuration.Symbol }) .GetEnumerator(); } } }