/*
* 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.Collections;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.Market;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// The QuoteBarFillForwardEnumerator wraps an existing base data enumerator
/// If the current QuoteBar has null Bid and/or Ask bars, it copies them from the previous QuoteBar
///
public class QuoteBarFillForwardEnumerator : IEnumerator
{
private QuoteBar _previous;
private readonly IEnumerator _enumerator;
///
/// Initializes a new instance of the class
///
public QuoteBarFillForwardEnumerator(IEnumerator enumerator)
{
_enumerator = enumerator;
}
///
/// 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;
private set;
}
///
/// Gets the current element in the collection.
///
///
/// The current element in the collection.
///
object IEnumerator.Current => Current;
///
/// 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.
public bool MoveNext()
{
if (!_enumerator.MoveNext()) return false;
var bar = _enumerator.Current as QuoteBar;
if (bar != null)
{
if (_previous != null)
{
if (bar.Bid == null)
{
bar.Bid = _previous.Bid;
}
if (bar.Ask == null)
{
bar.Ask = _previous.Ask;
}
}
_previous = bar;
}
Current = _enumerator.Current;
return true;
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
_enumerator.Dispose();
}
///
/// 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.
public void Reset()
{
_enumerator.Reset();
}
}
}