Lean
$LEAN_TAG$
DataConsolidator.cs
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/*
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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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*/
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using
System;
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namespace
QuantConnect.Data.Consolidators
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{
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/// <summary>
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/// Represents a type that consumes BaseData instances and fires an event with consolidated
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/// and/or aggregated data.
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/// </summary>
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/// <typeparam name="TInput">The type consumed by the consolidator</typeparam>
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public
abstract
class
DataConsolidator
<TInput> :
IDataConsolidator
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where TInput :
IBaseData
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{
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/// <summary>
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/// Updates this consolidator with the specified data
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/// </summary>
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/// <param name="data">The new data for the consolidator</param>
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public
void
Update
(
IBaseData
data)
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{
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if
(!(data is TInput))
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{
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throw
new
ArgumentNullException(nameof(data),
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$
"Received type of {data.GetType().Name} but expected {typeof(TInput).Name}"
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);
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}
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Update
((TInput)data);
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}
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/// <summary>
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/// Scans this consolidator to see if it should emit a bar due to time passing
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/// </summary>
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/// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
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public
abstract
void
Scan
(DateTime currentLocalTime);
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/// <summary>
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/// Event handler that fires when a new piece of data is produced
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/// </summary>
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public
event
DataConsolidatedHandler
DataConsolidated
;
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/// <summary>
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/// Gets the most recently consolidated piece of data. This will be null if this consolidator
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/// has not produced any data yet.
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/// </summary>
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public
IBaseData
Consolidated
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{
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get
;
protected
set
;
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}
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/// <summary>
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/// Gets a clone of the data being currently consolidated
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/// </summary>
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public
abstract
IBaseData
WorkingData
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{
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get
;
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}
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/// <summary>
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/// Gets the type consumed by this consolidator
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/// </summary>
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public
Type
InputType
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{
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get
{
return
typeof (TInput); }
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}
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/// <summary>
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/// Gets the type produced by this consolidator
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/// </summary>
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public
abstract
Type
OutputType
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{
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get
;
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}
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/// <summary>
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/// Updates this consolidator with the specified data. This method is
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/// responsible for raising the DataConsolidated event
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/// </summary>
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/// <param name="data">The new data for the consolidator</param>
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public
abstract
void
Update
(TInput data);
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/// <summary>
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/// Event invocator for the DataConsolidated event. This should be invoked
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/// by derived classes when they have consolidated a new piece of data.
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/// </summary>
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/// <param name="consolidated">The newly consolidated data</param>
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protected
virtual
void
OnDataConsolidated
(
IBaseData
consolidated)
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{
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var handler =
DataConsolidated
;
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if
(handler !=
null
) handler(
this
, consolidated);
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// assign the Consolidated property after the event handlers are fired,
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// this allows the event handlers to look at the new consolidated data
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// and the previous consolidated data at the same time without extra bookkeeping
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Consolidated
= consolidated;
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}
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/// <summary>
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/// Resets the consolidator
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/// </summary>
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public
virtual
void
Reset
()
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{
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Consolidated
=
null
;
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}
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/// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>
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/// <filterpriority>2</filterpriority>
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public
void
Dispose
()
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{
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DataConsolidated
=
null
;
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}
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}
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}
Common
Data
Consolidators
DataConsolidator.cs
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