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 +1,73 @@
+/*
+ * 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 QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Represents an entire chain of futures contracts for a single underlying
+    /// This type is <see cref="IEnumerable{FuturesContract}"/>
+    /// </summary>
+    public class FuturesChain : BaseChain<FuturesContract, FuturesContracts>
+    {
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuturesChain"/> class
+        /// </summary>
+        /// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
+        /// <param name="time">The time of this chain</param>
+        /// <param name="flatten">Whether to flatten the data frame</param>
+        public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, bool flatten = true)
+            : base(canonicalFutureSymbol, time, MarketDataType.FuturesChain, flatten)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuturesChain"/> class
+        /// </summary>
+        /// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
+        /// <param name="time">The time of this chain</param>
+        /// <param name="contracts">The list of contracts that form this chain</param>
+        /// <param name="flatten">Whether to flatten the data frame</param>
+        public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, IEnumerable<FutureUniverse> contracts, bool flatten = true)
+            : this(canonicalFutureSymbol, time, flatten)
+        {
+            foreach (var contractData in contracts)
+            {
+                if (contractData.Symbol.ID.Date.Date < time.Date) continue;
+                Contracts[contractData.Symbol] = new FuturesContract(contractData);
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuturesChain"/> class as a clone of the specified instance
+        /// </summary>
+        private FuturesChain(FuturesChain other)
+            : base(other)
+        {
+        }
+
+        /// <summary>
+        /// Return a new instance clone of this object, used in fill forward
+        /// </summary>
+        /// <returns>A clone of the current object</returns>
+        public override BaseData Clone()
+        {
+            return new FuturesChain(this);
+        }
+    }
+}