/* * 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.Util; using QuantConnect.Data; using System.Collections; using QuantConnect.Interfaces; using System.Collections.Generic; using QuantConnect.Data.Auxiliary; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators { /// /// Auxiliary data enumerator that will, initialize and call the /// implementation each time there is a new tradable day for every /// provided. /// public class AuxiliaryDataEnumerator : IEnumerator { private readonly Queue _auxiliaryData; private bool _initialized; private DateTime _startTime; private IMapFileProvider _mapFileProvider; private IFactorFileProvider _factorFileProvider; private ITradableDateEventProvider[] _tradableDateEventProviders; /// /// The associated data configuration /// protected SubscriptionDataConfig Config { get; } /// /// Creates a new instance /// /// The /// The factor file provider to use /// The provider to use /// The tradable dates event providers /// Tradable dates provider /// Start date for the data request public AuxiliaryDataEnumerator( SubscriptionDataConfig config, IFactorFileProvider factorFileProvider, IMapFileProvider mapFileProvider, ITradableDateEventProvider []tradableDateEventProviders, ITradableDatesNotifier tradableDayNotifier, DateTime startTime) { Config = config; _startTime = startTime; _mapFileProvider = mapFileProvider; _auxiliaryData = new Queue(); _factorFileProvider = factorFileProvider; _tradableDateEventProviders = tradableDateEventProviders; if (tradableDayNotifier != null) { tradableDayNotifier.NewTradableDate += NewTradableDate; } } /// /// Advances the enumerator to the next element. /// /// Always true public virtual bool MoveNext() { Current = _auxiliaryData.Count != 0 ? _auxiliaryData.Dequeue() : null; return true; } /// /// Handle a new tradable date, drives the instances /// protected void NewTradableDate(object sender, NewTradableDateEventArgs eventArgs) { Initialize(); for (var i = 0; i < _tradableDateEventProviders.Length; i++) { foreach (var newEvent in _tradableDateEventProviders[i].GetEvents(eventArgs)) { _auxiliaryData.Enqueue(newEvent); } } } /// /// Initializes the underlying tradable data event providers /// protected void Initialize() { if (!_initialized) { _initialized = true; // Late initialization so it is performed in the data feed stack for (var i = 0; i < _tradableDateEventProviders.Length; i++) { _tradableDateEventProviders[i].Initialize(Config, _factorFileProvider, _mapFileProvider, _startTime); } } } /// /// Dispose of the Stream Reader and close out the source stream and file connections. /// public void Dispose() { for (var i = 0; i < _tradableDateEventProviders.Length; i++) { var disposable =_tradableDateEventProviders[i] as IDisposable; disposable?.DisposeSafely(); } } /// /// Reset the IEnumeration /// /// Not used public void Reset() { throw new NotImplementedException("Reset method not implemented. Assumes loop will only be used once."); } object IEnumerator.Current => Current; /// /// Last read BaseData object from this type and source /// public BaseData Current { get; private set; } } }