/*
* 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
{
///
/// This consolidator wires up the events on its First and Second consolidators
/// such that data flows from the First to Second consolidator. It's output comes
/// from the Second.
///
public class SequentialConsolidator : IDataConsolidator
{
///
/// Gets the first consolidator to receive data
///
public IDataConsolidator First
{
get; private set;
}
///
/// Gets the second consolidator that ends up receiving data produced
/// by the first
///
public IDataConsolidator Second
{
get; private set;
}
///
/// Gets the most recently consolidated piece of data. This will be null if this consolidator
/// has not produced any data yet.
///
/// For a SequentialConsolidator, this is the output from the 'Second' consolidator.
///
public IBaseData Consolidated
{
get { return Second.Consolidated; }
}
///
/// Gets a clone of the data being currently consolidated
///
public IBaseData WorkingData
{
get { return Second.WorkingData; }
}
///
/// Gets the type consumed by this consolidator
///
public Type InputType
{
get { return First.InputType; }
}
///
/// Gets the type produced by this consolidator
///
public Type OutputType
{
get { return Second.OutputType; }
}
///
/// Updates this consolidator with the specified data
///
/// The new data for the consolidator
public void Update(IBaseData data)
{
First.Update(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 void Scan(DateTime currentLocalTime)
{
First.Scan(currentLocalTime);
}
///
/// Event handler that fires when a new piece of data is produced
///
public event DataConsolidatedHandler DataConsolidated;
///
/// Creates a new consolidator that will pump date through the first, and then the output
/// of the first into the second. This enables 'wrapping' or 'composing' of consolidators
///
/// The first consolidator to receive data
/// The consolidator to receive first's output
public SequentialConsolidator(IDataConsolidator first, IDataConsolidator second)
{
if (!second.InputType.IsAssignableFrom(first.OutputType))
{
throw new ArgumentException("first.OutputType must equal second.OutputType!");
}
First = first;
Second = second;
// wire up the second one to get data from the first
first.DataConsolidated += (sender, consolidated) => second.Update(consolidated);
// wire up the second one's events to also fire this consolidator's event so consumers
// can attach
second.DataConsolidated += (sender, consolidated) => OnDataConsolidated(consolidated);
}
///
/// 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);
}
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
/// 2
public void Dispose()
{
First.Dispose();
Second.Dispose();
DataConsolidated = null;
}
///
/// Resets the consolidator
///
public void Reset()
{
First.Reset();
Second.Reset();
}
}
}