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