quantconnect--lean/Engine/DataFeeds/Enumerators/Factories/BaseDataCollectionSubscriptionEnumeratorFactory.cs

/*
 * 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 System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;

namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories
{
    /// <summary>
    /// Provides an implementation of <see cref="ISubscriptionEnumeratorFactory"/> that reads
    /// an entire <see cref="SubscriptionDataSource"/> into a single <see cref="BaseDataCollection"/>
    /// to be emitted on the tradable date at midnight
    /// </summary>
    public class BaseDataCollectionSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory
    {
        private readonly Func<SubscriptionRequest, IEnumerable<DateTime>> _tradableDaysProvider;

        /// <summary>
        /// Initializes a new instance of the <see cref="BaseDataCollectionSubscriptionEnumeratorFactory"/> class.
        /// </summary>
        /// <param name="tradableDaysProvider">Function used to provide the tradable dates to be enumerator.
        /// Specify null to default to <see cref="SubscriptionRequest.TradableDays"/></param>
        public BaseDataCollectionSubscriptionEnumeratorFactory(Func<SubscriptionRequest, IEnumerable<DateTime>> tradableDaysProvider = null)
        {
            _tradableDaysProvider = tradableDaysProvider ?? (request => request.TradableDays);
        }

        /// <summary>
        /// Creates an enumerator to read the specified request
        /// </summary>
        /// <param name="request">The subscription request to be read</param>
        /// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
        /// <returns>An enumerator reading the subscription request</returns>
        public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
        {
            using (var dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider))
            {
                var configuration = request.Configuration;
                var tradableDays = _tradableDaysProvider(request);
                var sourceFactory = (BaseData)Activator.CreateInstance(request.Configuration.Type);

                // Note: this enumerator factory is currently only used in backtesting with coarse data
                // and has been updated to behave in the same way as in live trading
                // (i.e. only emit coarse data on dates following a trading day)
                // The shifting of dates is needed to ensure we never emit coarse data on the same date,
                // because it would enable look-ahead bias.

                // shift all tradeable dates forward one day
                foreach (var date in tradableDays.Select(x => x.AddDays(1)))
                {
                    // request the file for the previous date, which is a tradeable day
                    var source = sourceFactory.GetSource(configuration, date.AddDays(-1), false);
                    var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, configuration, date.AddDays(-1), false);
                    var coarseFundamentalForDate = factory.Read(source);

                    yield return new BaseDataCollection(date, configuration.Symbol, coarseFundamentalForDate);
                }
            }
        }
    }
}