/*
* 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.Securities;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// An which wraps an existing .
///
/// Using this class is important, versus directly yielding, because we setup the chain
public class SubscriptionDataEnumerator : IEnumerator
{
private readonly IEnumerator _enumerator;
private readonly SubscriptionDataConfig _configuration;
private readonly SecurityExchangeHours _exchangeHours;
private readonly TimeZoneOffsetProvider _offsetProvider;
private readonly bool _isUniverse;
private readonly bool _dailyStrictEndTimeEnabled;
object IEnumerator.Current => Current;
///
/// Gets the element in the collection at the current position of the enumerator.
///
public SubscriptionData Current { get; private set; }
///
/// Creates a new instance
///
/// The subscription's configuration
/// The security's exchange hours
/// The subscription's time zone offset provider
/// The underlying data enumerator
/// The subscription is a universe subscription
/// A subscription data enumerator
public SubscriptionDataEnumerator(SubscriptionDataConfig configuration,
SecurityExchangeHours exchangeHours,
TimeZoneOffsetProvider offsetProvider,
IEnumerator enumerator,
bool isUniverse,
bool dailyStrictEndTimeEnabled)
{
_enumerator = enumerator;
_offsetProvider = offsetProvider;
_exchangeHours = exchangeHours;
_configuration = configuration;
_isUniverse = isUniverse;
_dailyStrictEndTimeEnabled = dailyStrictEndTimeEnabled;
}
///
/// 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()
{
var result = _enumerator.MoveNext();
if (result)
{
// Use our config filter to see if we should emit this
// This currently catches Auxiliary data that we don't want to emit
if (_enumerator.Current != null && !_configuration.ShouldEmitData(_enumerator.Current, _isUniverse))
{
// We shouldn't emit this data, so we will MoveNext() again.
return MoveNext();
}
Current = SubscriptionData.Create(_dailyStrictEndTimeEnabled, _configuration, _exchangeHours, _offsetProvider, _enumerator.Current, _configuration.DataNormalizationMode);
}
return result;
}
///
/// 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.
///
public void Reset()
{
_enumerator.Reset();
}
}
}