/* * 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(); } } }