chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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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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using System;
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using System.Collections;
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using System.Collections.Generic;
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using System.Linq;
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using Python.Runtime;
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using QuantConnect.Python;
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using QuantConnect.Securities.Option;
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using QuantConnect.Util;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Base representation of an entire chain of contracts for a single underlying security.
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/// This type is <see cref="IEnumerable{T}"/> where T is <see cref="OptionContract"/>, <see cref="FuturesContract"/>, etc.
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/// </summary>
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public class BaseChain<T, TContractsCollection> : BaseData, IEnumerable<T>
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where T : BaseContract
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where TContractsCollection : DataDictionary<T>, new()
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{
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private Dictionary<Type, Dictionary<Symbol, List<BaseData>>> _auxiliaryData;
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private readonly Lazy<PyObject> _dataframe;
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private readonly bool _flatten;
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private Dictionary<Type, Dictionary<Symbol, List<BaseData>>> AuxiliaryData
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{
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get
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{
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if (_auxiliaryData == null)
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{
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_auxiliaryData = new Dictionary<Type, Dictionary<Symbol, List<BaseData>>>();
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}
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return _auxiliaryData;
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}
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}
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/// <summary>
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/// Gets the most recent trade information for the underlying. This may
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/// be a <see cref="Tick"/> or a <see cref="TradeBar"/>
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/// </summary>
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[PandasIgnore]
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public BaseData Underlying
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{
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get; internal set;
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}
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/// <summary>
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/// Gets all ticks for every option contract in this chain, keyed by option symbol
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/// </summary>
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[PandasIgnore]
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public Ticks Ticks
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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 all trade bars for every option contract in this chain, keyed by option symbol
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/// </summary>
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[PandasIgnore]
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public TradeBars TradeBars
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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 all quote bars for every option contract in this chain, keyed by option symbol
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/// </summary>
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[PandasIgnore]
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public QuoteBars QuoteBars
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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 all contracts in the chain, keyed by option symbol
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/// </summary>
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public TContractsCollection Contracts
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{
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get; private set;
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}
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/// <summary>
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/// Gets the set of symbols that passed the <see cref="Option.ContractFilter"/>
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/// </summary>
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[PandasIgnore]
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public HashSet<Symbol> FilteredContracts
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{
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get; protected set;
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}
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/// <summary>
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/// The data frame representation of the option chain
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/// </summary>
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[PandasIgnore]
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public PyObject DataFrame => _dataframe.Value;
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/// <summary>
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/// The number of contracts in this chain
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/// </summary>
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public int Count => Contracts.Count;
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/// <summary>
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/// Checks if the chain contains a contract with the specified symbol
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/// </summary>
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/// <param name="key">The symbol of the contract to check for</param>
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/// <returns>True if the chain contains a contract with the specified symbol; otherwise, false.</returns>
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public bool ContainsKey(Symbol key)
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{
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return Contracts.ContainsKey(key);
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}
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/// <summary>
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/// Initializes a new default instance of the <see cref="BaseChain{T, TContractsCollection}"/> class
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/// </summary>
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protected BaseChain(MarketDataType dataType, bool flatten)
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{
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DataType = dataType;
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_flatten = flatten;
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_dataframe = new Lazy<PyObject>(
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() =>
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{
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if (!PythonEngine.IsInitialized)
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{
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return null;
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}
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return new PandasConverter().GetDataFrame(new[] { this }, symbolOnlyIndex: true, flatten: _flatten);
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},
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isThreadSafe: false);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseChain{T, TContractsCollection}"/> class
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/// </summary>
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/// <param name="canonicalOptionSymbol">The symbol for this chain.</param>
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/// <param name="time">The time of this chain</param>
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/// <param name="flatten">Whether to flatten the data frame</param>
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protected BaseChain(Symbol canonicalOptionSymbol, DateTime time, MarketDataType dataType, bool flatten = true)
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: this(dataType, flatten)
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{
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Time = time;
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Symbol = canonicalOptionSymbol;
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Ticks = new Ticks(time);
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TradeBars = new TradeBars(time);
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QuoteBars = new QuoteBars(time);
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FilteredContracts = new HashSet<Symbol>();
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Underlying = new QuoteBar();
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Contracts = new();
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Contracts.Time = time;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseChain{T, TContractsCollection}"/> class as a copy of the specified chain
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/// </summary>
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protected BaseChain(BaseChain<T, TContractsCollection> other)
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: this(other.DataType, other._flatten)
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{
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Symbol = other.Symbol;
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Time = other.Time;
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Value = other.Value;
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Underlying = other.Underlying;
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Ticks = other.Ticks;
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QuoteBars = other.QuoteBars;
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TradeBars = other.TradeBars;
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Contracts = other.Contracts;
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FilteredContracts = other.FilteredContracts;
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}
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/// <summary>
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/// Gets the auxiliary data with the specified type and symbol
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/// </summary>
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/// <typeparam name="TAux">The type of auxiliary data</typeparam>
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/// <param name="symbol">The symbol of the auxiliary data</param>
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/// <returns>The last auxiliary data with the specified type and symbol</returns>
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public TAux GetAux<TAux>(Symbol symbol)
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{
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List<BaseData> list;
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Dictionary<Symbol, List<BaseData>> dictionary;
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if (!AuxiliaryData.TryGetValue(typeof(TAux), out dictionary) || !dictionary.TryGetValue(symbol, out list))
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{
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return default;
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}
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return list.OfType<TAux>().LastOrDefault();
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}
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/// <summary>
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/// Gets all auxiliary data of the specified type as a dictionary keyed by symbol
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/// </summary>
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/// <typeparam name="TAux">The type of auxiliary data</typeparam>
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/// <returns>A dictionary containing all auxiliary data of the specified type</returns>
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public DataDictionary<TAux> GetAux<TAux>()
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{
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Dictionary<Symbol, List<BaseData>> d;
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if (!AuxiliaryData.TryGetValue(typeof(TAux), out d))
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{
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return new DataDictionary<TAux>();
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}
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var dictionary = new DataDictionary<TAux>();
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foreach (var kvp in d)
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{
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var item = kvp.Value.OfType<TAux>().LastOrDefault();
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if (item != null)
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{
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dictionary.Add(kvp.Key, item);
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}
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}
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return dictionary;
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}
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/// <summary>
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/// Gets all auxiliary data of the specified type as a dictionary keyed by symbol
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/// </summary>
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/// <typeparam name="TAux">The type of auxiliary data</typeparam>
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/// <returns>A dictionary containing all auxiliary data of the specified type</returns>
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public Dictionary<Symbol, List<BaseData>> GetAuxList<TAux>()
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{
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Dictionary<Symbol, List<BaseData>> dictionary;
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if (!AuxiliaryData.TryGetValue(typeof(TAux), out dictionary))
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{
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return new Dictionary<Symbol, List<BaseData>>();
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}
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return dictionary;
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}
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/// <summary>
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/// Gets a list of auxiliary data with the specified type and symbol
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/// </summary>
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/// <typeparam name="TAux">The type of auxiliary data</typeparam>
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/// <param name="symbol">The symbol of the auxiliary data</param>
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/// <returns>The list of auxiliary data with the specified type and symbol</returns>
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public List<TAux> GetAuxList<TAux>(Symbol symbol)
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{
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List<BaseData> list;
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Dictionary<Symbol, List<BaseData>> dictionary;
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if (!AuxiliaryData.TryGetValue(typeof(TAux), out dictionary) || !dictionary.TryGetValue(symbol, out list))
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{
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return new List<TAux>();
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}
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return list.OfType<TAux>().ToList();
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}
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/// <summary>
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/// Returns an enumerator that iterates through the collection.
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/// </summary>
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/// <returns>
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/// An enumerator that can be used to iterate through the collection.
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/// </returns>
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public IEnumerator<T> GetEnumerator()
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{
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return Contracts.Values.GetEnumerator();
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}
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/// <summary>
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/// Returns an enumerator that iterates through a collection.
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/// </summary>
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/// <returns>
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/// An <see cref="T:System.Collections.IEnumerator"/> object that can be used to iterate through the collection.
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/// </returns>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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/// <summary>
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/// Adds the specified data to this chain
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/// </summary>
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/// <param name="data">The data to be added</param>
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internal void AddData(BaseData data)
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{
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switch (data)
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{
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case Tick tick:
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Ticks.Add(tick.Symbol, tick);
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break;
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case TradeBar tradeBar:
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TradeBars[tradeBar.Symbol] = tradeBar;
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break;
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case QuoteBar quoteBar:
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QuoteBars[quoteBar.Symbol] = quoteBar;
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break;
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default:
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if (data.DataType == MarketDataType.Base)
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{
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AddAuxData(data);
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}
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break;
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}
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}
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/// <summary>
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/// Adds the specified auxiliary data to this option chain
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/// </summary>
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/// <param name="baseData">The auxiliary data to be added</param>
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private void AddAuxData(BaseData baseData)
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{
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var type = baseData.GetType();
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Dictionary<Symbol, List<BaseData>> dictionary;
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if (!AuxiliaryData.TryGetValue(type, out dictionary))
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{
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dictionary = new Dictionary<Symbol, List<BaseData>>();
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AuxiliaryData[type] = dictionary;
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}
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List<BaseData> list;
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if (!dictionary.TryGetValue(baseData.Symbol, out list))
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{
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list = new List<BaseData>();
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dictionary[baseData.Symbol] = list;
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}
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list.Add(baseData);
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}
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}
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}
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