/* * 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; } } }