/* * 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(); } } }