quantconnect--lean/Engine/DataFeeds/SubscriptionData.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using QuantConnect.Util;

namespace QuantConnect.Lean.Engine.DataFeeds
{
    /// <summary>
    /// Store data (either raw or adjusted) and the time at which it should be synchronized
    /// </summary>
    public class SubscriptionData
    {
        /// <summary>
        /// Data
        /// </summary>
        protected BaseData _data { get; set; }

        /// <summary>
        /// Gets the data
        /// </summary>
        public virtual BaseData Data => _data;

        /// <summary>
        /// Gets the UTC emit time for this data
        /// </summary>
        public DateTime EmitTimeUtc { get; }

        /// <summary>
        /// Initializes a new instance of the <see cref="SubscriptionData"/> class
        /// </summary>
        /// <param name="data">The base data</param>
        /// <param name="emitTimeUtc">The emit time for the data</param>
        public SubscriptionData(BaseData data, DateTime emitTimeUtc)
        {
            _data = data;
            EmitTimeUtc = emitTimeUtc;
        }

        /// <summary>
        /// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
        /// </summary>
        /// <param name="configuration">The subscription's configuration</param>
        /// <param name="exchangeHours">The exchange hours of the security</param>
        /// <param name="offsetProvider">The subscription's offset provider</param>
        /// <param name="data">The data being emitted</param>
        /// <param name="normalizationMode">Specifies how data is normalized</param>
        /// <param name="factor">price scale factor</param>
        /// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
        public static SubscriptionData Create(bool dailyStrictEndTimeEnabled, SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal? factor = null)
        {
            if (data == null)
            {
                return null;
            }

            data = data.Clone(data.IsFillForward);
            var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
            // during warmup, data might be emitted with a different span based on the warmup resolution, so let's get the actual bar span here
            var barSpan = data.EndTime - data.Time;
            // rounding down does not make sense for daily increments using strict end times
            if (!LeanData.UseDailyStrictEndTimes(dailyStrictEndTimeEnabled, configuration.Type, configuration.Symbol, barSpan, exchangeHours))
            {
                // Let's round down for any data source that implements a time delta between
                // the start of the data and end of the data (usually used with Bars).
                // The time delta ensures that the time collected from `EndTime` has
                // no look-ahead bias, and is point-in-time.
                // When fill forwarding time and endtime might not respect the original ends times, here we will enforce it
                // note we do this after fetching the 'emitTimeUtc' which should use the end time set by the fill forward enumerator
                if (barSpan != TimeSpan.Zero)
                {
                    if (barSpan != configuration.Increment)
                    {
                        // when we detect a difference let's refetch the span in utc using noda time 'ConvertToUtc' that will not take into account day light savings difference
                        // we don't do this always above because it's expensive, only do it if we need to.
                        // Behavior asserted by tests 'FillsForwardBarsAroundDaylightMovementForDifferentResolutions_Algorithm' && 'ConvertToUtcAndDayLightSavings'.
                        // Note: we don't use 'configuration.Increment' because during warmup, if the warmup resolution is set, we will emit data respecting it instead of the 'configuration'
                        barSpan = data.EndTime.ConvertToUtc(configuration.ExchangeTimeZone) - data.Time.ConvertToUtc(configuration.ExchangeTimeZone);
                    }
                    data.Time = data.Time.ExchangeRoundDownInTimeZone(barSpan, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
                }
            }
            else if (data.IsFillForward)
            {
                // we need to adjust the time for a strict end time daily bar:
                // If this is fill-forwarded with a lower resolution, the daily calendar for data.Time will be for the previous date
                // (which is correct, since the last daily bar belongs to the previous date).
                // If this is a fill-forwarded complete daily bar (ending at market close),
                // the daily calendar will have the same time/end time so the bar times will not be adjusted.
                // TODO: What about extended market hours? How to handle non-adjacent market hour segments in a day? Same in FillForwardEnumerator
                var calendar = LeanData.GetDailyCalendar(data.Time, exchangeHours, false);
                data.Time = calendar.Start;
                data.EndTime = calendar.End;
            }

            if (factor.HasValue && (configuration.SecurityType != SecurityType.Equity || (factor.Value != 1 || configuration.SumOfDividends != 0)))
            {
                var normalizedData = data.Clone(data.IsFillForward).Normalize(factor.Value, normalizationMode, configuration.SumOfDividends);

                return new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc);
            }

            return new SubscriptionData(data, emitTimeUtc);
        }
    }
}