wehub-resource-sync
80 lines
2.9 KiB
C#
80 lines
2.9 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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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Will generate time steps around the desired <see cref="ITimeProvider"/>
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/// Provided step evaluator should return true when the next time step
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/// is valid and time can advance
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/// </summary>
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public class PredicateTimeProvider : ITimeProvider
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{
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private readonly ITimeProvider _underlyingTimeProvider;
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private readonly Func<DateTime, bool> _customStepEvaluator;
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private DateTime _currentUtc = DateTime.MinValue;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="underlyingTimeProvider">The timer provider instance to wrap</param>
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/// <param name="customStepEvaluator">Function to evaluate whether or not
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/// to advance time. Should return true if provided <see cref="DateTime"/> is a
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/// valid new next time. False will avoid time advancing</param>
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public PredicateTimeProvider(ITimeProvider underlyingTimeProvider,
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Func<DateTime, bool> customStepEvaluator)
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{
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_underlyingTimeProvider = underlyingTimeProvider;
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_customStepEvaluator = customStepEvaluator;
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}
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/// <summary>
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/// Gets the current utc time step
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/// </summary>
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public DateTime GetUtcNow()
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{
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if (_currentUtc == DateTime.MinValue)
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{
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Initialize();
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}
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var utcNow = _underlyingTimeProvider.GetUtcNow();
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// we check if we should advance time based on the provided custom step evaluator
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if (_customStepEvaluator(utcNow))
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{
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_currentUtc = utcNow;
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}
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return _currentUtc;
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}
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private void Initialize()
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{
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// to determine the current time we go backwards up to 2 days until we reach a valid time we don't want to start on an invalid time
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var utcNow = _underlyingTimeProvider.GetUtcNow();
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for (var i = 0; i < 48; i++)
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{
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var before = utcNow.AddHours(-1 * i);
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if (_customStepEvaluator(before))
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{
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_currentUtc = before;
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}
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}
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}
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}
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}
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