feat: add MappedSynchronizingHistoryProvider base class

Engine/HistoricalData/MappedSynchronizingHistoryProvider.cs

@@ -0,0 +1,78 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2026 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 NodaTime;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Util;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Lean.Engine.DataFeeds;
+
+namespace QuantConnect.Lean.Engine.HistoricalData
+{
+    /// <summary>
+    /// Base class for history providers that resolve symbol mappings
+    /// and synchronize multiple data streams into time-aligned slices.
+    /// </summary>
+    public abstract class MappedSynchronizingHistoryProvider : SynchronizingHistoryProvider
+    {
+        /// <summary>
+        /// Resolves map files to correctly handle current and historical ticker symbols.
+        /// </summary>
+        private static readonly Lazy<IMapFileProvider> _mapFileProvider = new(Composer.Instance.GetPart<IMapFileProvider>);
+
+        /// <summary>
+        /// Gets historical data for a single resolved history request.
+        /// Implementations should assume the symbol is already correctly mapped.
+        /// </summary>
+        /// <param name="request">The resolved history request.</param>
+        /// <returns>The historical data.</returns>
+        public abstract IEnumerable<BaseData>? GetHistory(HistoryRequest request);
+
+        /// <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 override IEnumerable<Slice>? GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
+        {
+            var subscriptions = new List<Subscription>();
+            foreach (var request in requests)
+            {
+                var history = request
+                    .SplitHistoryRequestWithUpdatedMappedSymbol(_mapFileProvider.Value)
+                    .SelectMany(x => GetHistory(x) ?? []);
+                var subscription = CreateSubscription(request, history);
+                if (!subscription.MoveNext())
+                {
+                    continue;
+                }
+
+                subscriptions.Add(subscription);
+            }
+
+            if (subscriptions.Count == 0)
+            {
+                return null;
+            }
+
+            // Ownership of subscription is transferred to CreateSliceEnumerableFromSubscriptions
+            return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
+        }
+    }
+}