/*
* 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.Collections;
using System.Collections.Generic;
using NodaTime;
using QuantConnect.Data;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// Provides the ability to fast forward an enumerator based on the age of the data
///
public class FastForwardEnumerator : IEnumerator
{
private BaseData _current;
private readonly DateTimeZone _timeZone;
private readonly TimeSpan _maximumDataAge;
private readonly ITimeProvider _timeProvider;
private readonly IEnumerator _enumerator;
///
/// Initializes a new instance of the class
///
/// The source enumerator
/// A time provider used to determine age of data
/// The data's time zone
/// The maximum age of data allowed
public FastForwardEnumerator(IEnumerator enumerator, ITimeProvider timeProvider, DateTimeZone timeZone, TimeSpan maximumDataAge)
{
_enumerator = enumerator;
_timeProvider = timeProvider;
_timeZone = timeZone;
_maximumDataAge = maximumDataAge;
}
///
/// 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()
{
// keep churning until recent data or null
while (_enumerator.MoveNext())
{
// we can't fast forward nulls or bad times
if (_enumerator.Current == null || _enumerator.Current.Time == DateTime.MinValue)
{
_current = null;
return true;
}
// make sure we never emit past data
if (_current != null && _current.EndTime > _enumerator.Current.EndTime)
{
continue;
}
// comute the age of the data, if within limits we're done
var age = _timeProvider.GetUtcNow().ConvertFromUtc(_timeZone) - _enumerator.Current.EndTime;
if (age <= _maximumDataAge)
{
_current = _enumerator.Current;
return true;
}
}
// we've exhausted the underlying enumerator, iterator completed
_current = null;
return false;
}
///
/// Sets the enumerator to its initial position, which is before the first element in the collection.
///
/// The collection was modified after the enumerator was created. 2
public void Reset()
{
_enumerator.Reset();
}
///
/// Gets the element in the collection at the current position of the enumerator.
///
///
/// The element in the collection at the current position of the enumerator.
///
public BaseData Current
{
get { return _current; }
}
///
/// Gets the current element in the collection.
///
///
/// The current element in the collection.
///
/// 2
object IEnumerator.Current
{
get { return _current; }
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
/// 2
public void Dispose()
{
_enumerator.Dispose();
}
}
}