/*
* 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;
namespace QuantConnect.Data.Consolidators
{
///
/// Represents a type that consumes BaseData instances and fires an event with consolidated
/// and/or aggregated data.
///
/// The type consumed by the consolidator
public abstract class DataConsolidator : IDataConsolidator
where TInput : IBaseData
{
///
/// Updates this consolidator with the specified data
///
/// The new data for the consolidator
public void Update(IBaseData data)
{
if (!(data is TInput))
{
throw new ArgumentNullException(nameof(data),
$"Received type of {data.GetType().Name} but expected {typeof(TInput).Name}"
);
}
Update((TInput)data);
}
///
/// Scans this consolidator to see if it should emit a bar due to time passing
///
/// The current time in the local time zone (same as )
public abstract void Scan(DateTime currentLocalTime);
///
/// Event handler that fires when a new piece of data is produced
///
public event DataConsolidatedHandler DataConsolidated;
///
/// Gets the most recently consolidated piece of data. This will be null if this consolidator
/// has not produced any data yet.
///
public IBaseData Consolidated
{
get; protected set;
}
///
/// Gets a clone of the data being currently consolidated
///
public abstract IBaseData WorkingData
{
get;
}
///
/// Gets the type consumed by this consolidator
///
public Type InputType
{
get { return typeof (TInput); }
}
///
/// Gets the type produced by this consolidator
///
public abstract Type OutputType
{
get;
}
///
/// Updates this consolidator with the specified data. This method is
/// responsible for raising the DataConsolidated event
///
/// The new data for the consolidator
public abstract void Update(TInput data);
///
/// Event invocator for the DataConsolidated event. This should be invoked
/// by derived classes when they have consolidated a new piece of data.
///
/// The newly consolidated data
protected virtual void OnDataConsolidated(IBaseData consolidated)
{
var handler = DataConsolidated;
if (handler != null) handler(this, consolidated);
// assign the Consolidated property after the event handlers are fired,
// this allows the event handlers to look at the new consolidated data
// and the previous consolidated data at the same time without extra bookkeeping
Consolidated = consolidated;
}
///
/// Resets the consolidator
///
public virtual void Reset()
{
Consolidated = null;
}
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
/// 2
public void Dispose()
{
DataConsolidated = null;
}
}
}