wehub-resource-sync
79 lines
3.2 KiB
C#
79 lines
3.2 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2026 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 NodaTime;
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using System.Linq;
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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.Lean.Engine.DataFeeds;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Base class for history providers that resolve symbol mappings
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/// and synchronize multiple data streams into time-aligned slices.
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/// </summary>
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public abstract class MappedSynchronizingHistoryProvider : SynchronizingHistoryProvider
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{
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/// <summary>
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/// Resolves map files to correctly handle current and historical ticker symbols.
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/// </summary>
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private static readonly Lazy<IMapFileProvider> _mapFileProvider = new(Composer.Instance.GetPart<IMapFileProvider>);
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/// <summary>
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/// Gets historical data for a single resolved history request.
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/// Implementations should assume the symbol is already correctly mapped.
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/// </summary>
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/// <param name="request">The resolved history request.</param>
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/// <returns>The historical data.</returns>
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public abstract IEnumerable<BaseData>? GetHistory(HistoryRequest request);
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice>? GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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var subscriptions = new List<Subscription>();
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foreach (var request in requests)
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{
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var history = request
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.SplitHistoryRequestWithUpdatedMappedSymbol(_mapFileProvider.Value)
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.SelectMany(x => GetHistory(x) ?? []);
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var subscription = CreateSubscription(request, history);
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if (!subscription.MoveNext())
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{
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continue;
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}
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subscriptions.Add(subscription);
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}
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if (subscriptions.Count == 0)
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{
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return null;
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}
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// Ownership of subscription is transferred to CreateSliceEnumerableFromSubscriptions
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return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
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}
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}
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}
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