/*
* 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 QuantConnect.Data;
using QuantConnect.Util;
using System.Collections;
using QuantConnect.Logging;
using System.Collections.Generic;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// Enumerator that will concatenate enumerators together sequentially enumerating them in the provided order
///
public class ConcatEnumerator : IEnumerator
{
private readonly List> _enumerators;
private readonly bool _skipDuplicateEndTimes;
private DateTime? _lastEnumeratorEndTime;
private int _currentIndex;
///
/// The current BaseData object
///
public BaseData Current { get; set; }
///
/// True if emitting a null data point is expected
///
/// Warmup enumerators are not allowed to return true and setting current to Null, this is because it's not a valid behavior for backtesting enumerators,
/// for example
public bool CanEmitNull { get; set; }
object IEnumerator.Current => Current;
///
/// Creates a new instance
///
/// True will skip data points from enumerators if before or at the last end time
/// The sequence of enumerators to concatenate. Note that the order here matters, it will consume enumerators
/// and dispose of them, even if they return true and their current is null, except for the last which will be kept!
public ConcatEnumerator(bool skipDuplicateEndTimes,
params IEnumerator[] enumerators
)
{
CanEmitNull = true;
_skipDuplicateEndTimes = skipDuplicateEndTimes;
_enumerators = enumerators.Where(enumerator => enumerator != null).ToList();
}
///
/// Advances the enumerator to the next element of the collection.
///
/// True if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
public bool MoveNext()
{
for (; _currentIndex < _enumerators.Count; _currentIndex++)
{
var enumerator = _enumerators[_currentIndex];
while (enumerator.MoveNext())
{
if (enumerator.Current == null && (_currentIndex < _enumerators.Count - 1 || !CanEmitNull))
{
// if there are more enumerators and the current stopped providing data drop it
// in live trading, some enumerators will always return true (see TimeTriggeredUniverseSubscriptionEnumeratorFactory & InjectionEnumerator)
// but unless it's the last enumerator we drop it, because these first are the warmup enumerators
// or we are not allowed to return null
break;
}
if (_skipDuplicateEndTimes
&& _lastEnumeratorEndTime.HasValue
&& enumerator.Current != null
&& enumerator.Current.EndTime <= _lastEnumeratorEndTime)
{
continue;
}
Current = enumerator.Current;
return true;
}
_lastEnumeratorEndTime = Current?.EndTime;
if (Log.DebuggingEnabled)
{
Log.Debug($"ConcatEnumerator.MoveNext(): disposing enumerator at position: {_currentIndex} Name: {enumerator.GetType().Name}");
}
// we wont be using this enumerator again, dispose of it and clear reference
enumerator.DisposeSafely();
_enumerators[_currentIndex] = null;
}
Current = null;
return false;
}
///
/// Sets the enumerator to its initial position, which is before the first element in the collection.
///
public void Reset()
{
throw new InvalidOperationException($"Can not reset {nameof(ConcatEnumerator)}");
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
foreach (var enumerator in _enumerators)
{
enumerator.DisposeSafely();
}
}
}
}