quantconnect--lean/Engine/DataFeeds/SubscriptionData.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 QuantConnect.Data;
using QuantConnect.Indicators;
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 && (factor.Value != 1 || configuration.SumOfDividends != 0))
            {
                var sumOfDividends = configuration.SumOfDividends;

                BaseData normalizedData = data.Clone();

                if (normalizationMode == DataNormalizationMode.Adjusted || normalizationMode == DataNormalizationMode.SplitAdjusted)
                {
                    normalizedData.Adjust(factor.Value);
                }
                else if (normalizationMode == DataNormalizationMode.TotalReturn)
                {
                    normalizedData.Scale(p => p * factor.Value + sumOfDividends);
                }

                return new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc);
            }

            return new SubscriptionData(data, emitTimeUtc);
        }
    }
}