/*
* 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.Generic;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
namespace QuantConnect.ToolBox
{
///
/// Provides an implementation of that consolidates the data
/// stream and forwards the consolidated data to other processors
///
public class ConsolidatorDataProcessor : IDataProcessor
{
private DateTime _frontier;
private readonly IDataProcessor _destination;
private readonly Func _createConsolidator;
private readonly Dictionary _consolidators;
///
/// Initializes a new instance of the class
///
/// The receiver of the consolidated data
/// Function used to create consolidators
public ConsolidatorDataProcessor(IDataProcessor destination, Func createConsolidator)
{
_destination = destination;
_createConsolidator = createConsolidator;
_consolidators = new Dictionary();
}
///
/// Invoked for each piece of data from the source file
///
/// The data to be processed
public void Process(IBaseData data)
{
// grab the correct consolidator for this symbol
IDataConsolidator consolidator;
if (!_consolidators.TryGetValue(data.Symbol, out consolidator))
{
consolidator = _createConsolidator(data);
consolidator.DataConsolidated += OnDataConsolidated;
_consolidators[data.Symbol] = consolidator;
}
consolidator.Update(data);
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
_frontier = DateTime.MaxValue;
// check the other consolidators to see if they also need to emit their working bars
foreach (var consolidator in _consolidators.Values)
{
consolidator.Scan(_frontier);
}
_destination.Dispose();
_consolidators.Clear();
}
///
/// Handles the event
///
private void OnDataConsolidated(object sender, IBaseData args)
{
_destination.Process(args);
// we've already checked this frontier time, so don't scan the consolidators
if (_frontier >= args.EndTime) return;
_frontier = args.EndTime;
// check the other consolidators to see if they also need to emit
foreach (var consolidator in _consolidators.Values)
{
// back up the time a single instance, this allows data at exact same
// time to still come through
consolidator.Scan(args.EndTime.AddTicks(-1));
}
}
}
}