wehub-resource-sync
224 lines
8.6 KiB
C#
224 lines
8.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Linq;
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using System.Collections;
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using System.Collections.Generic;
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using System.Threading;
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using QuantConnect.Python;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// This type exists for transport of data as a single packet
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/// </summary>
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public class BaseDataCollection : BaseData, IEnumerable<BaseData>
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{
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private static int _universeCount;
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private DateTime _endTime;
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/// <summary>
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/// The associated underlying price data if any
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/// </summary>
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[PandasNonExpandable]
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public BaseData Underlying { get; set; }
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/// <summary>
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/// Gets or sets the contracts selected by the universe
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/// </summary>
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[PandasIgnore]
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public HashSet<Symbol> FilteredContracts { get; set; }
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/// <summary>
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/// Gets the data list
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/// </summary>
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public List<BaseData> Data { get; set; }
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/// <summary>
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/// Gets or sets the end time of this data
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/// </summary>
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[PandasIgnore]
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public override DateTime EndTime
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{
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get
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{
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if (_endTime == default)
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{
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// to be user friendly let's return Time if not set, like BaseData does
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return Time;
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}
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return _endTime;
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}
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set
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{
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_endTime = value;
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}
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}
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/// <summary>
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/// Initializes a new default instance of the <see cref="BaseDataCollection"/> c;ass
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/// </summary>
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public BaseDataCollection()
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: this(DateTime.MinValue, Symbol.Empty)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseDataCollection"/> class
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/// </summary>
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/// <param name="time">The time of this data</param>
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/// <param name="symbol">A common identifier for all data in this packet</param>
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/// <param name="data">The data to add to this collection</param>
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public BaseDataCollection(DateTime time, Symbol symbol, IEnumerable<BaseData> data = null)
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: this(time, time, symbol, data)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseDataCollection"/> class
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/// </summary>
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/// <param name="time">The start time of this data</param>
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/// <param name="endTime">The end time of this data</param>
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/// <param name="symbol">A common identifier for all data in this packet</param>
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/// <param name="data">The data to add to this collection</param>
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/// <param name="underlying">The associated underlying price data if any</param>
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/// <param name="filteredContracts">The contracts selected by the universe</param>
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public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable<BaseData> data = null, BaseData underlying = null, HashSet<Symbol> filteredContracts = null)
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: this(time, endTime, symbol, data != null ? data.ToList() : new List<BaseData>(), underlying, filteredContracts)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseDataCollection"/> class
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/// </summary>
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/// <param name="time">The start time of this data</param>
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/// <param name="endTime">The end time of this data</param>
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/// <param name="symbol">A common identifier for all data in this packet</param>
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/// <param name="data">The data to add to this collection</param>
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/// <param name="underlying">The associated underlying price data if any</param>
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/// <param name="filteredContracts">The contracts selected by the universe</param>
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public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List<BaseData> data, BaseData underlying, HashSet<Symbol> filteredContracts)
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: this(time, endTime, symbol, underlying, filteredContracts)
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{
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if (data != null && data.Count == 1 && data[0] is BaseDataCollection collection && collection.Data != null && collection.Data.Count > 0)
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{
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// we were given a base data collection, let's be nice and fetch it's data if it has any
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Data = collection.Data;
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}
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else
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{
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Data = data ?? new List<BaseData>();
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}
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}
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/// <summary>
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/// Helper method to create an instance without setting the data list
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/// </summary>
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protected BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, BaseData underlying, HashSet<Symbol> filteredContracts)
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{
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Symbol = symbol;
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Time = time;
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_endTime = endTime;
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Underlying = underlying;
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FilteredContracts = filteredContracts;
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}
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/// <summary>
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/// Copy constructor for <see cref="BaseDataCollection"/>
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/// </summary>
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/// <param name="other">The base data collection being copied</param>
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public BaseDataCollection(BaseDataCollection other)
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: this(other.Time, other.EndTime, other.Symbol, other.Underlying, other.FilteredContracts)
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{
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Data = other.Data;
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}
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/// <summary>
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/// Creates the universe symbol for the target market
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/// </summary>
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/// <returns>The universe symbol to use</returns>
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public virtual Symbol UniverseSymbol(string market = null)
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{
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market ??= QuantConnect.Market.USA;
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var ticker = $"{GetType().Name}-{market}-{Interlocked.Increment(ref _universeCount):D10}-{Guid.NewGuid()}";
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return Symbol.Create(ticker, SecurityType.Base, market, baseDataType: GetType());
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}
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/// <summary>
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/// Indicates whether this contains data that should be stored in the security cache
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/// </summary>
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/// <returns>Whether this contains data that should be stored in the security cache</returns>
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public override bool ShouldCacheToSecurity()
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{
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if (Data == null || Data.Count == 0)
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{
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return true;
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}
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// if we hold the same data type we are, else we ask underlying type
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return Data[0].GetType() == GetType() || Data[0].ShouldCacheToSecurity();
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}
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/// <summary>
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/// Adds a new data point to this collection
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/// </summary>
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/// <param name="newDataPoint">The new data point to add</param>
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public virtual void Add(BaseData newDataPoint)
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{
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Data.Add(newDataPoint);
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}
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/// <summary>
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/// Adds a new data points to this collection
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/// </summary>
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/// <param name="newDataPoints">The new data points to add</param>
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public virtual void AddRange(IEnumerable<BaseData> newDataPoints)
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{
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Data.AddRange(newDataPoints);
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}
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/// <summary>
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/// Return a new instance clone of this object, used in fill forward
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/// </summary>
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/// <remarks>
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/// This base implementation uses reflection to copy all public fields and properties
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/// </remarks>
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/// <returns>A clone of the current object</returns>
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public override BaseData Clone()
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{
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return new BaseDataCollection(this);
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}
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/// <summary>
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/// Returns an IEnumerator for this enumerable Object. The enumerator provides
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/// a simple way to access all the contents of a collection.
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/// </summary>
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public IEnumerator<BaseData> GetEnumerator()
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{
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return (Data ?? Enumerable.Empty<BaseData>()).GetEnumerator();
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}
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/// <summary>
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/// Returns an IEnumerator for this enumerable Object. The enumerator provides
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/// a simple way to access all the contents of a collection.
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/// </summary>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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}
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}
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