wehub-resource-sync
96 lines
4.3 KiB
C#
96 lines
4.3 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 QuantConnect.Data;
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using QuantConnect.Util;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Data source reader that will aggregate data points into a base data collection
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/// </summary>
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public class BaseDataCollectionAggregatorReader : TextSubscriptionDataSourceReader
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{
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private readonly Type _collectionType;
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private BaseDataCollection _collection;
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/// <summary>
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/// Initializes a new instance of the <see cref="TextSubscriptionDataSourceReader"/> class
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/// </summary>
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/// <param name="dataCacheProvider">This provider caches files if needed</param>
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/// <param name="config">The subscription's configuration</param>
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/// <param name="date">The date this factory was produced to read data for</param>
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/// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
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/// <param name="objectStore">The object storage for data persistence</param>
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public BaseDataCollectionAggregatorReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date,
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bool isLiveMode, IObjectStore objectStore)
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: base(dataCacheProvider, config, date, isLiveMode, objectStore)
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{
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// if the type is not a BaseDataCollection, we'll default to BaseDataCollection.
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// e.g. custom Python dynamic folding collections need to be aggregated into a BaseDataCollection,
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// but they implement PythonData, so casting an instance of PythonData to BaseDataCollection will fail.
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_collectionType = config.Type.IsAssignableTo(typeof(BaseDataCollection)) ? config.Type : typeof(BaseDataCollection);
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}
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/// <summary>
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/// Reads the specified <paramref name="source"/>
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/// </summary>
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/// <param name="source">The source to be read</param>
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/// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
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public override IEnumerable<BaseData> Read(SubscriptionDataSource source)
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{
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foreach (var point in base.Read(source))
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{
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if (point is BaseDataCollection collection && !collection.Data.IsNullOrEmpty())
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{
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// if underlying already is returning an aggregated collection let it through as is
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yield return point;
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}
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else
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{
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if (_collection != null && _collection.EndTime != point.EndTime)
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{
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// when we get a new time we flush current collection instance, if any
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yield return _collection;
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_collection = null;
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}
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if (_collection == null)
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{
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_collection = (BaseDataCollection)Activator.CreateInstance(_collectionType);
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_collection.Time = point.Time;
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_collection.Symbol = Config.Symbol;
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_collection.EndTime = point.EndTime;
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}
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// aggregate the data points
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_collection.Add(point);
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}
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}
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// underlying reader ended, flush current collection instance if any
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if (_collection != null)
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{
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yield return _collection;
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_collection = null;
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}
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}
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}
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}
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