Gerardo Salazar
a20ac26eb7
* The original implementation was made with the idea in mind that bars
have a time range that they encompass. When the `Time` property is
rounded down, the period added to `EndTime` ensures that the data
will not have look-ahead bias.
However, multiple data sources do not have a time range that the data
applies to, and is actually point-in-time. For these kinds of
data, rounding of the data is not preferred since they are supposed
to represent a point in time.
78 lines
3.2 KiB
C#
78 lines
3.2 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;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// DTO for storing data and the time at which it should be synchronized
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/// </summary>
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public class SubscriptionData
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{
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/// <summary>
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/// Gets the data
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/// </summary>
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public BaseData Data { get; }
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/// <summary>
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/// Gets the UTC emit time for this data
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/// </summary>
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public DateTime EmitTimeUtc { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="SubscriptionData"/> class
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/// </summary>
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/// <param name="data">The base data</param>
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/// <param name="emitTimeUtc">The emit time for the data</param>
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public SubscriptionData(BaseData data, DateTime emitTimeUtc)
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{
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Data = data;
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EmitTimeUtc = emitTimeUtc;
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}
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/// <summary>
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/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> 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 exchange hours of the security</param>
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/// <param name="offsetProvider">The subscription's offset provider</param>
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/// <param name="data">The data being emitted</param>
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/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
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public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data)
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{
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if (data == null)
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{
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return null;
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}
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data = data.Clone(data.IsFillForward);
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var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
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// Let's round down for any data source that implements a time delta between
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// the start of the data and end of the data (usually used with Bars).
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// The time delta ensures that the time collected from `EndTime` has
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// no look-ahead bias, and is point-in-time.
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if (data.Time != data.EndTime)
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{
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data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
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}
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return new SubscriptionData(data, emitTimeUtc);
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}
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}
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} |