/* * 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 QuantConnect.Data; using QuantConnect.Util; using System.Collections; using QuantConnect.Securities; using System.Collections.Generic; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators { /// /// Enumerator that will handle adjusting daily strict end times if appropriate /// public class StrictDailyEndTimesEnumerator : IEnumerator { private readonly DateTime _localStartTime; private readonly SecurityExchangeHours _securityExchange; private readonly IEnumerator _underlying; /// /// Current value of the enumerator /// public BaseData Current { get; private set; } object IEnumerator.Current => Current; /// /// Creates a new instance /// public StrictDailyEndTimesEnumerator(IEnumerator underlying, SecurityExchangeHours securityExchangeHours, DateTime localStartTime) { _underlying = underlying; _localStartTime = localStartTime; _securityExchange = securityExchangeHours; } /// /// Move to the next date /// public bool MoveNext() { Current = null; bool result; do { result = _underlying.MoveNext(); if (!result || !LeanData.UseDailyStrictEndTimes(_underlying.Current?.GetType())) { break; } // before setting the strict daily end times, let's clone it because underlying enumerator (SubscriptionDataReader) might be using it var pontentialNewBar = _underlying.Current.Clone(); if (LeanData.SetStrictEndTimes(pontentialNewBar, _securityExchange) && pontentialNewBar.EndTime >= _localStartTime) { Current = pontentialNewBar; break; } } while (true); return result; } /// /// Reset the enumerator /// public void Reset() { _underlying.Reset(); } /// /// Dispose the enumerator /// public void Dispose() { _underlying.Dispose(); } } }