Martin-Molinero
b8b0d18993
* Continuous Future Contracts * Mapping approach * Tweaks WIP * Live mapping * Live mapping - Add support for live mapping, refreshing mapfiles - Fix future expiration functions - Adding unit tests * Update moq test package * Continuous futures price scaling * Refactor price factors scaling * Factor file related renames * Address reviews
93 lines
4.0 KiB
C#
93 lines
4.0 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 QuantConnect.Data;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds
|
|
{
|
|
/// <summary>
|
|
/// Store data (either raw or adjusted) and the time at which it should be synchronized
|
|
/// </summary>
|
|
public class SubscriptionData
|
|
{
|
|
/// <summary>
|
|
/// Data
|
|
/// </summary>
|
|
protected BaseData _data;
|
|
|
|
/// <summary>
|
|
/// Gets the data
|
|
/// </summary>
|
|
public virtual BaseData Data => _data;
|
|
|
|
/// <summary>
|
|
/// Gets the UTC emit time for this data
|
|
/// </summary>
|
|
public DateTime EmitTimeUtc { get; }
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="SubscriptionData"/> class
|
|
/// </summary>
|
|
/// <param name="data">The base data</param>
|
|
/// <param name="emitTimeUtc">The emit time for the data</param>
|
|
public SubscriptionData(BaseData data, DateTime emitTimeUtc)
|
|
{
|
|
_data = data;
|
|
EmitTimeUtc = emitTimeUtc;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
|
|
/// </summary>
|
|
/// <param name="configuration">The subscription's configuration</param>
|
|
/// <param name="exchangeHours">The exchange hours of the security</param>
|
|
/// <param name="offsetProvider">The subscription's offset provider</param>
|
|
/// <param name="data">The data being emitted</param>
|
|
/// <param name="normalizationMode">Specifies how data is normalized</param>
|
|
/// <param name="factor">price scale factor</param>
|
|
/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
|
|
public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal? factor = null)
|
|
{
|
|
if (data == null)
|
|
{
|
|
return null;
|
|
}
|
|
|
|
data = data.Clone(data.IsFillForward);
|
|
var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
|
|
|
|
// Let's round down for any data source that implements a time delta between
|
|
// the start of the data and end of the data (usually used with Bars).
|
|
// The time delta ensures that the time collected from `EndTime` has
|
|
// no look-ahead bias, and is point-in-time.
|
|
if (data.Time != data.EndTime)
|
|
{
|
|
data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
|
|
}
|
|
|
|
if (factor.HasValue && (configuration.SecurityType != SecurityType.Equity || (factor.Value != 1 || configuration.SumOfDividends != 0)))
|
|
{
|
|
var normalizedData = data.Clone(data.IsFillForward).Normalize(factor.Value, normalizationMode, configuration.SumOfDividends);
|
|
|
|
return new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc);
|
|
}
|
|
|
|
return new SubscriptionData(data, emitTimeUtc);
|
|
}
|
|
}
|
|
}
|