/*
* 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 QuantConnect.Data;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// Provides an implementation of that will not emit
/// data ahead of the frontier as specified by an instance of .
/// An instance of is used to convert between UTC
/// and the data's native time zone
///
public class FrontierAwareEnumerator : IEnumerator
{
private BaseData _current;
private bool _needsMoveNext = true;
private readonly ITimeProvider _timeProvider;
private readonly IEnumerator _enumerator;
private readonly TimeZoneOffsetProvider _offsetProvider;
///
/// Initializes a new instance of the class
///
/// The underlying enumerator to make frontier aware
/// The time provider used for resolving the current frontier time
/// An offset provider used for converting the frontier UTC time into the data's native time zone
public FrontierAwareEnumerator(IEnumerator enumerator, ITimeProvider timeProvider, TimeZoneOffsetProvider offsetProvider)
{
_enumerator = enumerator;
_timeProvider = timeProvider;
_offsetProvider = offsetProvider;
}
///
/// 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.
///
/// The collection was modified after the enumerator was created. 2
public bool MoveNext()
{
var underlyingCurrent = _enumerator.Current;
var frontier = _timeProvider.GetUtcNow();
var localFrontier = new DateTime(frontier.Ticks + _offsetProvider.GetOffsetTicks(frontier));
// if we moved next, but didn't emit, check to see if it's time to emit yet
if (!_needsMoveNext && underlyingCurrent != null)
{
if (underlyingCurrent.EndTime <= localFrontier)
{
// we can now emit the underlyingCurrent as part of this time slice
_current = underlyingCurrent;
_needsMoveNext = true;
}
else
{
// it's still not time to emit the underlyingCurrent, keep waiting for time to advance
_current = null;
_needsMoveNext = false;
}
return true;
}
// we've exhausted the underlying enumerator, iteration completed
if (_needsMoveNext && !_enumerator.MoveNext())
{
_needsMoveNext = true;
_current = null;
return false;
}
underlyingCurrent = _enumerator.Current;
if (underlyingCurrent != null && underlyingCurrent.EndTime <= localFrontier)
{
_needsMoveNext = true;
_current = underlyingCurrent;
}
else
{
_current = null;
_needsMoveNext = underlyingCurrent == null;
}
// technically we still need to return true since the iteration is not completed,
// however, Current may be null follow a true result here
return true;
}
///
/// 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();
}
}
}