wehub-resource-sync
101 lines
3.9 KiB
C#
101 lines
3.9 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 System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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namespace QuantConnect.ToolBox
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{
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/// <summary>
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/// Provides an implementation of <see cref="IDataProcessor"/> that consolidates the data
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/// stream and forwards the consolidated data to other processors
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/// </summary>
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public class ConsolidatorDataProcessor : IDataProcessor
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{
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private DateTime _frontier;
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private readonly IDataProcessor _destination;
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private readonly Func<IBaseData, IDataConsolidator> _createConsolidator;
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private readonly Dictionary<Symbol, IDataConsolidator> _consolidators;
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/// <summary>
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/// Initializes a new instance of the <see cref="ConsolidatorDataProcessor"/> class
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/// </summary>
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/// <param name="destination">The receiver of the consolidated data</param>
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/// <param name="createConsolidator">Function used to create consolidators</param>
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public ConsolidatorDataProcessor(IDataProcessor destination, Func<IBaseData, IDataConsolidator> createConsolidator)
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{
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_destination = destination;
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_createConsolidator = createConsolidator;
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_consolidators = new Dictionary<Symbol, IDataConsolidator>();
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}
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/// <summary>
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/// Invoked for each piece of data from the source file
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/// </summary>
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/// <param name="data">The data to be processed</param>
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public void Process(IBaseData data)
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{
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// grab the correct consolidator for this symbol
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IDataConsolidator consolidator;
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if (!_consolidators.TryGetValue(data.Symbol, out consolidator))
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{
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consolidator = _createConsolidator(data);
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consolidator.DataConsolidated += OnDataConsolidated;
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_consolidators[data.Symbol] = consolidator;
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}
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consolidator.Update(data);
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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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_frontier = DateTime.MaxValue;
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// check the other consolidators to see if they also need to emit their working bars
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foreach (var consolidator in _consolidators.Values)
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{
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consolidator.Scan(_frontier);
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}
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_destination.Dispose();
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_consolidators.Clear();
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}
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/// <summary>
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/// Handles the <see cref="IDataConsolidator.DataConsolidated"/> event
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/// </summary>
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private void OnDataConsolidated(object sender, IBaseData args)
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{
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_destination.Process(args);
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// we've already checked this frontier time, so don't scan the consolidators
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if (_frontier >= args.EndTime) return;
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_frontier = args.EndTime;
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// check the other consolidators to see if they also need to emit
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foreach (var consolidator in _consolidators.Values)
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{
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// back up the time a single instance, this allows data at exact same
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// time to still come through
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consolidator.Scan(args.EndTime.AddTicks(-1));
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}
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}
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}
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} |