wehub-resource-sync
113 lines
3.8 KiB
C#
113 lines
3.8 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.Collections;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// The QuoteBarFillForwardEnumerator wraps an existing base data enumerator
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/// If the current QuoteBar has null Bid and/or Ask bars, it copies them from the previous QuoteBar
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/// </summary>
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public class QuoteBarFillForwardEnumerator : IEnumerator<BaseData>
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{
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private QuoteBar _previous;
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private readonly IEnumerator<BaseData> _enumerator;
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/// <summary>
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/// Initializes a new instance of the <see cref="FillForwardEnumerator"/> class
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/// </summary>
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public QuoteBarFillForwardEnumerator(IEnumerator<BaseData> enumerator)
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{
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_enumerator = enumerator;
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}
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/// <summary>
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/// Gets the element in the collection at the current position of the enumerator.
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/// </summary>
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/// <returns>
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/// The element in the collection at the current position of the enumerator.
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/// </returns>
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public BaseData Current
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{
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get;
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private set;
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}
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/// <summary>
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/// Gets the current element in the collection.
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/// </summary>
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/// <returns>
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/// The current element in the collection.
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/// </returns>
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object IEnumerator.Current => Current;
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/// <summary>
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/// Advances the enumerator to the next element of the collection.
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/// </summary>
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/// <returns>
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/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
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/// </returns>
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/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception>
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public bool MoveNext()
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{
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if (!_enumerator.MoveNext()) return false;
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var bar = _enumerator.Current as QuoteBar;
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if (bar != null)
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{
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if (_previous != null)
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{
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if (bar.Bid == null)
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{
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bar.Bid = _previous.Bid;
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}
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if (bar.Ask == null)
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{
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bar.Ask = _previous.Ask;
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}
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}
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_previous = bar;
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}
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Current = _enumerator.Current;
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return true;
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}
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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public void Dispose()
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{
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_enumerator.Dispose();
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}
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/// <summary>
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/// Sets the enumerator to its initial position, which is before the first element in the collection.
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/// </summary>
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/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception>
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public void Reset()
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{
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_enumerator.Reset();
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}
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}
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} |