Michael Handschuh
591f6b2127
Refactors existing consolidators, indicators, and helper methods to depend on IBaseData instead of BaseData. These updates also defines an IBaseDataBar to act as an abstraction point between TradeBar and QuoteBar.
101 lines
3.9 KiB
C#
101 lines
3.9 KiB
C#
/*
|
|
* 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
|
|
{
|
|
/// <summary>
|
|
/// Provides an implementation of <see cref="IDataProcessor"/> that consolidates the data
|
|
/// stream and forwards the consolidated data to other processors
|
|
/// </summary>
|
|
public class ConsolidatorDataProcessor : IDataProcessor
|
|
{
|
|
private DateTime _frontier;
|
|
private readonly IDataProcessor _destination;
|
|
private readonly Func<IBaseData, IDataConsolidator> _createConsolidator;
|
|
private readonly Dictionary<Symbol, IDataConsolidator> _consolidators;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="ConsolidatorDataProcessor"/> class
|
|
/// </summary>
|
|
/// <param name="destination">The receiver of the consolidated data</param>
|
|
/// <param name="createConsolidator">Function used to create consolidators</param>
|
|
public ConsolidatorDataProcessor(IDataProcessor destination, Func<IBaseData, IDataConsolidator> createConsolidator)
|
|
{
|
|
_destination = destination;
|
|
_createConsolidator = createConsolidator;
|
|
_consolidators = new Dictionary<Symbol, IDataConsolidator>();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Invoked for each piece of data from the source file
|
|
/// </summary>
|
|
/// <param name="data">The data to be processed</param>
|
|
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);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
|
|
/// </summary>
|
|
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();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handles the <see cref="IDataConsolidator.DataConsolidated"/> event
|
|
/// </summary>
|
|
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));
|
|
}
|
|
}
|
|
}
|
|
} |