chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,87 @@
+/*
+ * 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 Python.Runtime;
+using QuantConnect.Python;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Collection of <see cref="BaseChain{T, TContractsCollection}"/> keyed by canonical option symbol
+    /// </summary>
+    public class BaseChains<T, TContract, TContractsCollection> : DataDictionary<T>
+        where T : BaseChain<TContract, TContractsCollection>
+        where TContract : BaseContract
+        where TContractsCollection : DataDictionary<TContract>, new()
+    {
+        private static readonly IEnumerable<string> _flattenedDfIndexNames = new[] { "canonical", "symbol" };
+
+        private readonly Lazy<PyObject> _dataframe;
+        private readonly bool _flatten;
+
+        /// <summary>
+        /// The data frame representation of the option chains
+        /// </summary>
+        public PyObject DataFrame => _dataframe.Value;
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains()
+            : this(default, true)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains(bool flatten)
+            : this(default, flatten)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains(DateTime time, bool flatten)
+            : base(time)
+        {
+            _flatten = flatten;
+            _dataframe = new Lazy<PyObject>(InitializeDataFrame, isThreadSafe: false);
+        }
+
+        private PyObject InitializeDataFrame()
+        {
+            if (!PythonEngine.IsInitialized)
+            {
+                return null;
+            }
+
+            var dataFrames = this.Select(kvp => kvp.Value.DataFrame).ToList();
+
+            if (_flatten)
+            {
+                var canonicalSymbols = this.Select(kvp => kvp.Key);
+                return PandasConverter.ConcatDataFrames(dataFrames, keys: canonicalSymbols, names: _flattenedDfIndexNames, sort: false);
+            }
+
+            return PandasConverter.ConcatDataFrames(dataFrames, sort: false);
+        }
+    }
+}