/* * 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 QuantConnect.Data; using QuantConnect.Util; using QuantConnect.Interfaces; using System.Collections.Generic; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Lean.Engine.DataFeeds { /// /// Data source reader that will aggregate data points into a base data collection /// public class BaseDataCollectionAggregatorReader : TextSubscriptionDataSourceReader { private readonly Type _collectionType; private BaseDataCollection _collection; /// /// Initializes a new instance of the class /// /// This provider caches files if needed /// The subscription's configuration /// The date this factory was produced to read data for /// True if we're in live mode, false for backtesting /// The object storage for data persistence public BaseDataCollectionAggregatorReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode, IObjectStore objectStore) : base(dataCacheProvider, config, date, isLiveMode, objectStore) { // if the type is not a BaseDataCollection, we'll default to BaseDataCollection. // e.g. custom Python dynamic folding collections need to be aggregated into a BaseDataCollection, // but they implement PythonData, so casting an instance of PythonData to BaseDataCollection will fail. _collectionType = config.Type.IsAssignableTo(typeof(BaseDataCollection)) ? config.Type : typeof(BaseDataCollection); } /// /// Reads the specified /// /// The source to be read /// An that contains the data in the source public override IEnumerable Read(SubscriptionDataSource source) { foreach (var point in base.Read(source)) { if (point is BaseDataCollection collection && !collection.Data.IsNullOrEmpty()) { // if underlying already is returning an aggregated collection let it through as is yield return point; } else { if (_collection != null && _collection.EndTime != point.EndTime) { // when we get a new time we flush current collection instance, if any yield return _collection; _collection = null; } if (_collection == null) { _collection = (BaseDataCollection)Activator.CreateInstance(_collectionType); _collection.Time = point.Time; _collection.Symbol = Config.Symbol; _collection.EndTime = point.EndTime; } // aggregate the data points _collection.Add(point); } } // underlying reader ended, flush current collection instance if any if (_collection != null) { yield return _collection; _collection = null; } } } }