HistoryProviderBase.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 NodaTime;
using QuantConnect.Interfaces;
 
namespace QuantConnect.Data
{
    /// <summary>
    /// Provides a base type for all history providers
    /// </summary>
    public abstract class HistoryProviderBase : IHistoryProvider
    {
        /// <summary>
        /// Event fired when an invalid configuration has been detected
        /// </summary>
        public event EventHandler<InvalidConfigurationDetectedEventArgs> InvalidConfigurationDetected;
 
        /// <summary>
        /// Event fired when the numerical precision in the factor file has been limited
        /// </summary>
        public event EventHandler<NumericalPrecisionLimitedEventArgs> NumericalPrecisionLimited;
 
        /// <summary>
        /// Event fired when the start date has been limited
        /// </summary>
        public event EventHandler<StartDateLimitedEventArgs> StartDateLimited;
 
        /// <summary>
        /// Event fired when there was an error downloading a remote file
        /// </summary>
        public event EventHandler<DownloadFailedEventArgs> DownloadFailed;
 
        /// <summary>
        /// Event fired when there was an error reading the data
        /// </summary>
        public event EventHandler<ReaderErrorDetectedEventArgs> ReaderErrorDetected;
 
        /// <summary>
        /// Gets the total number of data points emitted by this history provider
        /// </summary>
        public abstract int DataPointCount { get; }
 
        /// <summary>
        /// Initializes this history provider to work for the specified job
        /// </summary>
        /// <param name="parameters">The initialization parameters</param>
        public abstract void Initialize(HistoryProviderInitializeParameters parameters);
 
        /// <summary>
        /// Gets the history for the requested securities
        /// </summary>
        /// <param name="requests">The historical data requests</param>
        /// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
        /// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
        public abstract IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone);
 
        /// <summary>
        /// Event invocator for the <see cref="InvalidConfigurationDetected"/> event
        /// </summary>
        /// <param name="e">Event arguments for the <see cref="InvalidConfigurationDetected"/> event</param>
        protected virtual void OnInvalidConfigurationDetected(InvalidConfigurationDetectedEventArgs e)
        {
            InvalidConfigurationDetected?.Invoke(this, e);
        }
 
        /// <summary>
        /// Event invocator for the <see cref="NumericalPrecisionLimited"/> event
        /// </summary>
        /// <param name="e">Event arguments for the <see cref="NumericalPrecisionLimited"/> event</param>
        protected virtual void OnNumericalPrecisionLimited(NumericalPrecisionLimitedEventArgs e)
        {
            NumericalPrecisionLimited?.Invoke(this, e);
        }
 
        /// <summary>
        /// Event invocator for the <see cref="DownloadFailed"/> event
        /// </summary>
        /// <param name="e">Event arguments for the <see cref="DownloadFailed"/> event</param>
        protected virtual void OnDownloadFailed(DownloadFailedEventArgs e)
        {
            DownloadFailed?.Invoke(this, e);
        }
 
        /// <summary>
        /// Event invocator for the <see cref="ReaderErrorDetected"/> event
        /// </summary>
        /// <param name="e">Event arguments for the <see cref="ReaderErrorDetected"/> event</param>
        protected virtual void OnReaderErrorDetected(ReaderErrorDetectedEventArgs e)
        {
            ReaderErrorDetected?.Invoke(this, e);
        }
 
        /// <summary>
        /// Event invocator for the <see cref="StartDateLimited"/> event
        /// </summary>
        /// <param name="e">Event arguments for the <see cref="StartDateLimited"/> event</param>
        protected virtual void OnStartDateLimited(StartDateLimitedEventArgs e)
        {
            StartDateLimited?.Invoke(this, e);
        }
    }
}