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
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+/*
+ * 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 QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Defines a single futures contract at a specific expiration
+    /// </summary>
+    public class FuturesContract : BaseContract
+    {
+        private FutureUniverse _universeData;
+        private TradeBar _tradeBar;
+        private QuoteBar _quoteBar;
+        private Tick _tradeTick;
+        private Tick _quoteTick;
+        private Tick _openInterest;
+
+        /// <summary>
+        /// Gets the open interest
+        /// </summary>
+        public override decimal OpenInterest
+        {
+            get
+            {
+                // Contract universe data is prioritized
+                if (_universeData != null)
+                {
+                    return _universeData.OpenInterest;
+                }
+                return _openInterest?.Value ?? decimal.Zero;
+            }
+        }
+
+        /// <summary>
+        /// Gets the last price this contract traded at
+        /// </summary>
+        public override decimal LastPrice
+        {
+            get
+            {
+                if (_universeData != null)
+                {
+                    return _universeData.Close;
+                }
+
+                if (_tradeBar == null && _tradeTick == null)
+                {
+                    return decimal.Zero;
+                }
+                if (_tradeBar != null)
+                {
+                    return _tradeTick != null && _tradeTick.EndTime > _tradeBar.EndTime ? _tradeTick.Price : _tradeBar.Close;
+                }
+                return _tradeTick.Price;
+            }
+        }
+
+        /// <summary>
+        /// Gets the last volume this contract traded at
+        /// </summary>
+        public override long Volume
+        {
+            get
+            {
+                if (_universeData != null)
+                {
+                    return (long)_universeData.Volume;
+                }
+
+                if (_tradeBar == null && _tradeTick == null)
+                {
+                    return 0L;
+                }
+                if (_tradeBar != null)
+                {
+                    return (long)(_tradeTick != null && _tradeTick.EndTime > _tradeBar.EndTime ? _tradeTick.Quantity : _tradeBar.Volume);
+                }
+                return (long)_tradeTick.Quantity;
+            }
+        }
+
+        /// <summary>
+        /// Get the current bid price
+        /// </summary>
+        public override decimal BidPrice
+        {
+            get
+            {
+                if (_universeData != null)
+                {
+                    return _universeData.Close;
+                }
+                if (_quoteBar == null && _quoteTick == null)
+                {
+                    return decimal.Zero;
+                }
+                if (_quoteBar != null)
+                {
+                    var quoteBarPrice = _quoteBar.Bid?.Close ?? decimal.Zero;
+                    if (_quoteTick != null)
+                    {
+                        return _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.BidPrice : quoteBarPrice;
+                    }
+                    return quoteBarPrice;
+                }
+                return _quoteTick.BidPrice;
+            }
+        }
+
+        /// <summary>
+        /// Get the current bid size
+        /// </summary>
+        public override long BidSize
+        {
+            get
+            {
+                if (_quoteBar == null && _quoteTick == null)
+                {
+                    return 0;
+                }
+                if (_quoteBar != null)
+                {
+                    return (long)(_quoteTick != null && _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.BidSize : _quoteBar.LastBidSize);
+                }
+                return (long)_quoteTick.BidSize;
+            }
+        }
+
+        /// <summary>
+        /// Gets the current ask price
+        /// </summary>
+        public override decimal AskPrice
+        {
+            get
+            {
+                if (_universeData != null)
+                {
+                    return _universeData.Close;
+                }
+                if (_quoteBar == null && _quoteTick == null)
+                {
+                    return decimal.Zero;
+                }
+                if (_quoteBar != null)
+                {
+                    var quoteBarPrice = _quoteBar.Ask?.Close ?? decimal.Zero;
+                    if (_quoteTick != null)
+                    {
+                        return _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.AskPrice : quoteBarPrice;
+                    }
+                    return quoteBarPrice;
+                }
+                return _quoteTick.AskPrice;
+            }
+        }
+
+        /// <summary>
+        /// Get the current ask size
+        /// </summary>
+        public override long AskSize
+        {
+            get
+            {
+                if (_quoteBar == null && _quoteTick == null)
+                {
+                    return 0;
+                }
+                if (_quoteBar != null)
+                {
+                    return (long)(_quoteTick != null && _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.AskSize : _quoteBar.LastAskSize);
+                }
+                return (long)_quoteTick.AskSize;
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuturesContract"/> class
+        /// </summary>
+        /// <param name="symbol">The futures contract symbol</param>
+        public FuturesContract(Symbol symbol)
+            : base(symbol)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuturesContract"/> class
+        /// </summary>
+        /// <param name="contractData">The contract universe data</param>
+        public FuturesContract(FutureUniverse contractData)
+            : base(contractData.Symbol)
+        {
+            _universeData = contractData;
+        }
+
+        /// <summary>
+        /// Implicit conversion into <see cref="Symbol"/>
+        /// </summary>
+        /// <param name="contract">The option contract to be converted</param>
+        public static implicit operator Symbol(FuturesContract contract)
+        {
+            return contract.Symbol;
+        }
+
+        /// <summary>
+        /// Updates the future contract with the new data, which can be a <see cref="Tick"/> or <see cref="TradeBar"/> or <see cref="QuoteBar"/>
+        /// </summary>
+        internal override void Update(BaseData data)
+        {
+            switch (data)
+            {
+                case TradeBar tradeBar:
+                    _tradeBar = tradeBar;
+                    break;
+
+                case QuoteBar quoteBar:
+                    _quoteBar = quoteBar;
+                    break;
+
+                case Tick tick when tick.TickType == TickType.Trade:
+                    _tradeTick = tick;
+                    break;
+
+                case Tick tick when tick.TickType == TickType.Quote:
+                    _quoteTick = tick;
+                    break;
+
+                case Tick tick when tick.TickType == TickType.OpenInterest:
+                    _openInterest = tick;
+                    break;
+            }
+        }
+    }
+}