wehub-resource-sync
75 lines
3.5 KiB
C#
75 lines
3.5 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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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories
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{
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/// <summary>
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/// Provides an implementation of <see cref="ISubscriptionEnumeratorFactory"/> that reads
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/// an entire <see cref="SubscriptionDataSource"/> into a single <see cref="BaseDataCollection"/>
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/// to be emitted on the tradable date at midnight
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/// </summary>
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/// <remarks>This enumerator factory is currently only used in backtesting with coarse data</remarks>
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public class BaseDataCollectionSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory
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{
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private IObjectStore _objectStore;
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/// <summary>
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/// Instanciates a new <see cref="BaseDataCollectionSubscriptionEnumeratorFactory"/>
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/// </summary>
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/// <param name="objectStore">The object store to use</param>
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public BaseDataCollectionSubscriptionEnumeratorFactory(IObjectStore objectStore)
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{
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_objectStore = objectStore;
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}
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/// <summary>
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/// Creates an enumerator to read the specified request
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/// </summary>
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/// <param name="request">The subscription request to be read</param>
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/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
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/// <returns>An enumerator reading the subscription request</returns>
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public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
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{
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using (var dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider))
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{
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var configuration = request.Configuration;
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var sourceFactory = (BaseData)Activator.CreateInstance(request.Configuration.Type);
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// Behaves in the same way as in live trading
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// (i.e. only emit coarse data on dates following a trading day)
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// The shifting of dates is needed to ensure we never emit coarse data on the same date,
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// because it would enable look-ahead bias.
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foreach (var date in request.TradableDaysInDataTimeZone)
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{
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var source = sourceFactory.GetSource(configuration, date, false);
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var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, configuration, date, false, sourceFactory,
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dataProvider, _objectStore);
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var coarseFundamentalForDate = factory.Read(source);
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// shift all date of emitting the file forward one day to model emitting coarse midnight the next day.
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yield return new BaseDataCollection(date.AddDays(1), configuration.Symbol, coarseFundamentalForDate);
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}
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}
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}
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}
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}
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