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 System;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Represents an entire chain of option contracts for a single underlying security.
+    /// This type is <see cref="IEnumerable{OptionContract}"/>
+    /// </summary>
+    public class OptionChain : BaseChain<OptionContract, OptionContracts>
+    {
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionChain"/> class
+        /// </summary>
+        /// <param name="canonicalOptionSymbol">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 OptionChain(Symbol canonicalOptionSymbol, DateTime time, bool flatten = true)
+            : base(canonicalOptionSymbol, time, MarketDataType.OptionChain, flatten)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new option chain for a list of contracts as <see cref="OptionUniverse"/> instances
+        /// </summary>
+        /// <param name="canonicalOptionSymbol">The canonical option symbol</param>
+        /// <param name="time">The time of this chain</param>
+        /// <param name="contracts">The list of contracts data</param>
+        /// <param name="symbolProperties">The option symbol properties</param>
+        /// <param name="flatten">Whether to flatten the data frame</param>
+        public OptionChain(Symbol canonicalOptionSymbol, DateTime time, IEnumerable<OptionUniverse> contracts, SymbolProperties symbolProperties,
+            bool flatten = true)
+            : this(canonicalOptionSymbol, time, flatten)
+        {
+            foreach (var contractData in contracts)
+            {
+                Underlying ??= contractData.Underlying;
+                if (contractData.Symbol.ID.Date.Date < time.Date) continue;
+                Contracts[contractData.Symbol] = OptionContract.Create(contractData, symbolProperties);
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionChain"/> class as a clone of the specified instance
+        /// </summary>
+        private OptionChain(OptionChain 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 OptionChain(this);
+        }
+    }
+}