wehub-resource-sync
105 lines
4.0 KiB
C#
105 lines
4.0 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.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Abstract sharing logic for data requests
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/// </summary>
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public abstract class BaseDataRequest
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{
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private readonly Lazy<DateTime> _localStartTime;
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private readonly Lazy<DateTime> _localEndTime;
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/// <summary>
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/// Gets the beginning of the requested time interval in UTC
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/// </summary>
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public DateTime StartTimeUtc { get; protected set; }
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/// <summary>
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/// Gets the end of the requested time interval in UTC
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/// </summary>
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public DateTime EndTimeUtc { get; protected set; }
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/// <summary>
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/// Gets the <see cref="StartTimeUtc"/> in the security's exchange time zone
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/// </summary>
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public DateTime StartTimeLocal => _localStartTime.Value;
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/// <summary>
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/// Gets the <see cref="EndTimeUtc"/> in the security's exchange time zone
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/// </summary>
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public DateTime EndTimeLocal => _localEndTime.Value;
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/// <summary>
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/// Gets the exchange hours used for processing fill forward requests
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/// </summary>
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public SecurityExchangeHours ExchangeHours { get; }
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/// <summary>
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/// Gets the tradable days specified by this request, in the security's data time zone
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/// </summary>
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public abstract IEnumerable<DateTime> TradableDaysInDataTimeZone { get; }
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/// <summary>
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/// Gets true if this is a custom data request, false for normal QC data
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/// </summary>
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public bool IsCustomData { get; }
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/// <summary>
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/// The data type of this request
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/// </summary>
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public Type DataType { get; set; }
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/// <summary>
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/// Initializes the base data request
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/// </summary>
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/// <param name="startTimeUtc">The start time for this request,</param>
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/// <param name="endTimeUtc">The start time for this request</param>
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/// <param name="exchangeHours">The exchange hours for this request</param>
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/// <param name="tickType">The tick type of this request</param>
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/// <param name="isCustomData">True if this subscription is for custom data</param>
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/// <param name="dataType">The data type of the output data</param>
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protected BaseDataRequest(DateTime startTimeUtc,
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DateTime endTimeUtc,
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SecurityExchangeHours exchangeHours,
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TickType tickType,
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bool isCustomData,
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Type dataType)
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{
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DataType = dataType;
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IsCustomData = isCustomData;
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StartTimeUtc = startTimeUtc;
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EndTimeUtc = endTimeUtc;
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ExchangeHours = exchangeHours;
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// open interest data comes in once a day before market open,
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// make the subscription start from midnight and use always open exchange
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if (tickType == TickType.OpenInterest)
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{
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ExchangeHours = SecurityExchangeHours.AlwaysOpen(ExchangeHours.TimeZone);
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}
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_localStartTime = new Lazy<DateTime>(() => StartTimeUtc.ConvertFromUtc(ExchangeHours.TimeZone));
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_localEndTime = new Lazy<DateTime>(() => EndTimeUtc.ConvertFromUtc(ExchangeHours.TimeZone));
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IsCustomData = isCustomData;
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}
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}
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}
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