quantconnect--lean/Engine/DataFeeds/Enumerators/ScannableEnumerator.cs

/*
 * 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 NodaTime;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using System;
using System.Collections;
using System.Collections.Concurrent;
using System.Collections.Generic;

namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
    /// <summary>
    /// An implementation of <see cref="IEnumerator{T}"/> that relies on "consolidated" data
    /// </summary>
    /// <typeparam name="T">The item type yielded by the enumerator</typeparam>
    public class ScannableEnumerator<T> : IEnumerator<T> where T : class, IBaseData
    {
        private T _current;
        private bool _consolidated;
        private bool _isPeriodBase;
        private bool _validateInputType;
        private Type _consolidatorInputType;
        private readonly DateTimeZone _timeZone;
        private readonly ConcurrentQueue<T> _queue;
        private readonly ITimeProvider _timeProvider;
        private readonly EventHandler _newDataAvailableHandler;
        private readonly IDataConsolidator _consolidator;

        /// <summary>
        /// Gets the element in the collection at the current position of the enumerator.
        /// </summary>
        /// <returns>
        /// The element in the collection at the current position of the enumerator.
        /// </returns>
        public T Current => _current;

        /// <summary>
        /// Gets the current element in the collection.
        /// </summary>
        /// <returns>
        /// The current element in the collection.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        object IEnumerator.Current => Current;

        /// <summary>
        /// Initializes a new instance of the <see cref="ScannableEnumerator{T}"/> class
        /// </summary>
        /// <param name="consolidator">Consolidator taking BaseData updates and firing events containing new 'consolidated' data</param>
        /// <param name="timeZone">The time zone the raw data is time stamped in</param>
        /// <param name="timeProvider">The time provider instance used to determine when bars are completed and can be emitted</param>
        /// <param name="newDataAvailableHandler">The event handler for a new available data point</param>
        /// <param name="isPeriodBased">The consolidator is period based, this will enable scanning on <see cref="MoveNext"/></param>
        public ScannableEnumerator(IDataConsolidator consolidator, DateTimeZone timeZone, ITimeProvider timeProvider, EventHandler newDataAvailableHandler, bool isPeriodBased = true)
        {
            _timeZone = timeZone;
            _timeProvider = timeProvider;
            _consolidator = consolidator;
            _isPeriodBase = isPeriodBased;
            _queue = new ConcurrentQueue<T>();
            _consolidatorInputType = consolidator.InputType;
            _validateInputType = _consolidatorInputType != typeof(BaseData);
            _newDataAvailableHandler = newDataAvailableHandler ?? ((s, e) => { });

            _consolidator.DataConsolidated += DataConsolidatedHandler;
        }

        /// <summary>
        /// Updates the consolidator
        /// </summary>
        /// <param name="data">The data to consolidate</param>
        public void Update(T data)
        {
            // if the input type of the consolidator isn't generic we validate it's correct before sending it in
            if (_validateInputType && data.GetType() != _consolidatorInputType)
            {
                return;
            }

            if (_isPeriodBase)
            {
                // we only need to lock if it's period base since the move next call could trigger a scan
                lock (_consolidator)
                {
                    _consolidator.Update(data);
                }
            }
            else
            {
                _consolidator.Update(data);
            }
        }

        /// <summary>
        /// Enqueues the new data into this enumerator
        /// </summary>
        /// <param name="data">The data to be enqueued</param>
        private void Enqueue(T data)
        {
            _queue.Enqueue(data);
        }

        /// <summary>
        /// Advances the enumerator to the next element of the collection.
        /// </summary>
        /// <returns>
        /// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
        /// </returns>
        /// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
        public bool MoveNext()
        {
            if (!_queue.TryDequeue(out _current) && _isPeriodBase)
            {
                _consolidated = false;
                lock (_consolidator)
                {
                    // if there is a working bar we will try to pull it out if the time is right, each consolidator knows when it's right
                    var localTime = _timeProvider.GetUtcNow().ConvertFromUtc(_timeZone);
                    _consolidator.Scan(localTime);
                }

                if (_consolidated)
                {
                    _queue.TryDequeue(out _current);
                }
            }

            // even if we don't have data to return, we haven't technically
            // passed the end of the collection, so always return true until
            // the enumerator is explicitly disposed or ended
            return true;
        }

        /// <summary>
        /// Sets the enumerator to its initial position, which is before the first element in the collection.
        /// </summary>
        /// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
        public void Reset()
        {
        }

        /// <summary>
        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
        /// </summary>
        /// <filterpriority>2</filterpriority>
        public void Dispose()
        {
            _consolidator.DataConsolidated -= DataConsolidatedHandler;
        }

        private void DataConsolidatedHandler(object sender, IBaseData data)
        {
            var dataPoint = data as T;
            _consolidated = true;
            Enqueue(dataPoint);
            _newDataAvailableHandler(sender, new NewDataAvailableEventArgs { DataPoint = dataPoint });
        }
    }
}