/*
* 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 System.Linq;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Python;
namespace QuantConnect.Data.UniverseSelection
{
///
/// This type exists for transport of data as a single packet
///
public class BaseDataCollection : BaseData, IEnumerable
{
private DateTime _endTime;
///
/// The associated underlying price data if any
///
[PandasNonExpandable]
public BaseData Underlying { get; set; }
///
/// Gets or sets the contracts selected by the universe
///
[PandasIgnore]
public HashSet FilteredContracts { get; set; }
///
/// Gets the data list
///
public List Data { get; set; }
///
/// Gets or sets the end time of this data
///
[PandasIgnore]
public override DateTime EndTime
{
get
{
if (_endTime == default)
{
// to be user friendly let's return Time if not set, like BaseData does
return Time;
}
return _endTime;
}
set
{
_endTime = value;
}
}
///
/// Initializes a new default instance of the c;ass
///
public BaseDataCollection()
: this(DateTime.MinValue, Symbol.Empty)
{
}
///
/// Initializes a new instance of the class
///
/// The time of this data
/// A common identifier for all data in this packet
/// The data to add to this collection
public BaseDataCollection(DateTime time, Symbol symbol, IEnumerable data = null)
: this(time, time, symbol, data)
{
}
///
/// Initializes a new instance of the class
///
/// The start time of this data
/// The end time of this data
/// A common identifier for all data in this packet
/// The data to add to this collection
/// The associated underlying price data if any
/// The contracts selected by the universe
public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable data = null, BaseData underlying = null, HashSet filteredContracts = null)
: this(time, endTime, symbol, data != null ? data.ToList() : new List(), underlying, filteredContracts)
{
}
///
/// Initializes a new instance of the class
///
/// The start time of this data
/// The end time of this data
/// A common identifier for all data in this packet
/// The data to add to this collection
/// The associated underlying price data if any
/// The contracts selected by the universe
public BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, List data, BaseData underlying, HashSet filteredContracts)
: this(time, endTime, symbol, underlying, filteredContracts)
{
if (data != null && data.Count == 1 && data[0] is BaseDataCollection collection && collection.Data != null && collection.Data.Count > 0)
{
// we were given a base data collection, let's be nice and fetch it's data if it has any
Data = collection.Data;
}
else
{
Data = data ?? new List();
}
}
///
/// Helper method to create an instance without setting the data list
///
protected BaseDataCollection(DateTime time, DateTime endTime, Symbol symbol, BaseData underlying, HashSet filteredContracts)
{
Symbol = symbol;
Time = time;
_endTime = endTime;
Underlying = underlying;
FilteredContracts = filteredContracts;
}
///
/// Copy constructor for
///
/// The base data collection being copied
public BaseDataCollection(BaseDataCollection other)
: this(other.Time, other.EndTime, other.Symbol, other.Underlying, other.FilteredContracts)
{
Data = other.Data;
}
///
/// Creates the universe symbol for the target market
///
/// The universe symbol to use
public virtual Symbol UniverseSymbol(string market = null)
{
market ??= QuantConnect.Market.USA;
var ticker = $"{GetType().Name}-{market}-{Guid.NewGuid()}";
return Symbol.Create(ticker, SecurityType.Base, market, baseDataType: GetType());
}
///
/// Indicates whether this contains data that should be stored in the security cache
///
/// Whether this contains data that should be stored in the security cache
public override bool ShouldCacheToSecurity()
{
if (Data == null || Data.Count == 0)
{
return true;
}
// if we hold the same data type we are, else we ask underlying type
return Data[0].GetType() == GetType() || Data[0].ShouldCacheToSecurity();
}
///
/// Adds a new data point to this collection
///
/// The new data point to add
public virtual void Add(BaseData newDataPoint)
{
Data.Add(newDataPoint);
}
///
/// Adds a new data points to this collection
///
/// The new data points to add
public virtual void AddRange(IEnumerable newDataPoints)
{
Data.AddRange(newDataPoints);
}
///
/// Return a new instance clone of this object, used in fill forward
///
///
/// This base implementation uses reflection to copy all public fields and properties
///
/// A clone of the current object
public override BaseData Clone()
{
return new BaseDataCollection(this);
}
///
/// Returns an IEnumerator for this enumerable Object. The enumerator provides
/// a simple way to access all the contents of a collection.
///
public IEnumerator GetEnumerator()
{
return (Data ?? Enumerable.Empty()).GetEnumerator();
}
///
/// Returns an IEnumerator for this enumerable Object. The enumerator provides
/// a simple way to access all the contents of a collection.
///
IEnumerator IEnumerable.GetEnumerator()
{
return GetEnumerator();
}
}
}