Adalyat Nazirov
7bb143b215
* Calculate both raw and adjuasted prices for backtesting * disable second price factoring * move and reuse method * test coverage for new methods * reuse scaling method * reuse subscriptionData.Create method * removed unused code * regression test * switch to aapl * fix regression test output * more asserts * fix comments - reduce shortcuts and abbrevation * more comments * merge parameters * reduce number of getting price factors * fix tests * fix tests * fix regression tests * calculate TotalReturn on demand * include TotalReturn calculations * perf tuning * more unit tests for SubscriptionData.Create * simplify things - store and return only raw and precalculated data * fix regression tests; change it back * factor equals 1 for Raw data * small changes * follow code style * implement backward compatibility
91 lines
3.7 KiB
C#
91 lines
3.7 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// An <see cref="IEnumerator{SubscriptionData}"/> which wraps an existing <see cref="IEnumerator{BaseData}"/>.
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/// </summary>
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/// <remarks>Using this class is important, versus directly yielding, because we setup the <see cref="Dispose"/> chain</remarks>
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public class SubscriptionDataEnumerator : IEnumerator<SubscriptionData>
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{
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private readonly IEnumerator<BaseData> _enumerator;
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private readonly SubscriptionDataConfig _configuration;
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private readonly SecurityExchangeHours _exchangeHours;
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private readonly TimeZoneOffsetProvider _offsetProvider;
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object IEnumerator.Current => Current;
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/// <summary>
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/// Gets the element in the collection at the current position of the enumerator.
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/// </summary>
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public SubscriptionData Current { get; private set; }
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="configuration">The subscription's configuration</param>
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/// <param name="exchangeHours">The security's exchange hours</param>
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/// <param name="offsetProvider">The subscription's time zone offset provider</param>
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/// <param name="enumerator">The underlying data enumerator</param>
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/// <returns>A subscription data enumerator</returns>
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public SubscriptionDataEnumerator(SubscriptionDataConfig configuration,
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SecurityExchangeHours exchangeHours,
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TimeZoneOffsetProvider offsetProvider,
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IEnumerator<BaseData> enumerator)
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{
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_enumerator = enumerator;
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_offsetProvider = offsetProvider;
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_exchangeHours = exchangeHours;
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_configuration = configuration;
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}
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/// <summary>
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/// Advances the enumerator to the next element of the collection.
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/// </summary>
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/// <returns>True if the enumerator was successfully advanced to the next element;
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/// False if the enumerator has passed the end of the collection.</returns>
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public bool MoveNext()
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{
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var result = _enumerator.MoveNext();
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if (result)
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{
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Current = SubscriptionData.Create(_configuration, _exchangeHours, _offsetProvider, _enumerator.Current, _configuration.DataNormalizationMode);
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}
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return result;
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}
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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public void Dispose()
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{
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_enumerator.Dispose();
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}
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/// <summary>
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/// Sets the enumerator to its initial position, which is before the first element in the collection.
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/// </summary>
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public void Reset()
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{
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_enumerator.Reset();
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}
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}
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} |