wehub-resource-sync
96 lines
3.1 KiB
C#
96 lines
3.1 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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using System;
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using QuantConnect.Data;
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using QuantConnect.Util;
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using System.Collections;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// Enumerator that will handle adjusting daily strict end times if appropriate
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/// </summary>
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public class StrictDailyEndTimesEnumerator : IEnumerator<BaseData>
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{
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private readonly DateTime _localStartTime;
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private readonly SecurityExchangeHours _securityExchange;
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private readonly IEnumerator<BaseData> _underlying;
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/// <summary>
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/// Current value of the enumerator
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/// </summary>
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public BaseData Current { get; private set; }
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object IEnumerator.Current => Current;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public StrictDailyEndTimesEnumerator(IEnumerator<BaseData> underlying, SecurityExchangeHours securityExchangeHours, DateTime localStartTime)
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{
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_underlying = underlying;
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_localStartTime = localStartTime;
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_securityExchange = securityExchangeHours;
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}
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/// <summary>
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/// Move to the next date
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/// </summary>
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public bool MoveNext()
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{
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Current = null;
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bool result;
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do
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{
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result = _underlying.MoveNext();
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if (!result || !LeanData.UseDailyStrictEndTimes(_underlying.Current?.GetType()))
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{
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break;
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}
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// before setting the strict daily end times, let's clone it because underlying enumerator (SubscriptionDataReader) might be using it
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var pontentialNewBar = _underlying.Current.Clone();
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if (LeanData.SetStrictEndTimes(pontentialNewBar, _securityExchange) && pontentialNewBar.EndTime >= _localStartTime)
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{
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Current = pontentialNewBar;
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break;
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}
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}
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while (true);
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return result;
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}
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/// <summary>
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/// Reset the enumerator
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/// </summary>
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public void Reset()
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{
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_underlying.Reset();
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}
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/// <summary>
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/// Dispose the enumerator
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/// </summary>
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public void Dispose()
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{
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_underlying.Dispose();
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}
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}
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}
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