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 QuantConnect.Util;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Data;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// Base backtesting cache provider which will source symbols from local zip files
+    /// </summary>
+    public abstract class BacktestingChainProvider
+    {
+        /// <summary>
+        /// The map file provider instance to use
+        /// </summary>
+        protected IMapFileProvider MapFileProvider { get; private set; }
+
+        /// <summary>
+        /// The history provider instance to use
+        /// </summary>
+        protected IHistoryProvider HistoryProvider { get; private set; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BacktestingChainProvider"/> class
+        /// </summary>
+        protected BacktestingChainProvider()
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BacktestingChainProvider"/> class
+        /// </summary>
+        /// <param name="parameters">The initialization parameters</param>
+        // TODO: This should be in the chain provider interfaces.
+        // They might be even be unified in a single interface (futures and options chains providers)
+        public void Initialize(ChainProviderInitializeParameters parameters)
+        {
+            HistoryProvider = parameters.HistoryProvider;
+            MapFileProvider = parameters.MapFileProvider;
+        }
+
+        /// <summary>
+        /// Get the contract symbols associated with the given canonical symbol and date
+        /// </summary>
+        /// <param name="canonicalSymbol">The canonical symbol</param>
+        /// <param name="date">The date to search for</param>
+        protected IEnumerable<Symbol> GetSymbols(Symbol canonicalSymbol, DateTime date)
+        {
+            var marketHoursDataBase = MarketHoursDatabase.FromDataFolder();
+            var universeType = canonicalSymbol.SecurityType.IsOption() ? typeof(OptionUniverse) : typeof(FutureUniverse);
+            // Use this GetEntry extension method since it's data type dependent, so we get the correct entry for the option universe
+            var marketHoursEntry = marketHoursDataBase.GetEntry(canonicalSymbol, new[] { universeType });
+
+            // We will add a safety measure in case the universe file for the current time is not available:
+            // we will use the latest available universe file within the last 3 trading dates.
+            // This is useful in cases like live trading when the algorithm is deployed at a time of day when
+            // the universe file is not available yet.
+            var history = (List<Slice>)null;
+            var periods = 1;
+            while ((history == null || history.Count == 0) && periods <= 3)
+            {
+                var startDate = Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, date, Time.OneDay, periods++,
+                    extendedMarketHours: false, marketHoursEntry.DataTimeZone);
+                var request = new HistoryRequest(
+                    startDate.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
+                    date.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
+                    universeType,
+                    canonicalSymbol,
+                    Resolution.Daily,
+                    marketHoursEntry.ExchangeHours,
+                    marketHoursEntry.DataTimeZone,
+                    null,
+                    false,
+                    false,
+                    DataNormalizationMode.Raw,
+                    TickType.Quote);
+                history = HistoryProvider.GetHistory([request], marketHoursEntry.DataTimeZone)?.ToList();
+            }
+
+            var symbols = history == null || history.Count == 0
+                ? Enumerable.Empty<Symbol>()
+                : history.Take(1).GetUniverseData().SelectMany(x => x.Values.Single()).Select(x => x.Symbol);
+
+            if (canonicalSymbol.SecurityType.IsOption())
+            {
+                symbols = symbols.Where(symbol => symbol.SecurityType.IsOption());
+            }
+
+            return symbols.Where(symbol => symbol.ID.Date >= date.Date);
+        }
+
+        /// <summary>
+        /// Helper method to determine if a contract is expired for the requested date
+        /// </summary>
+        protected static bool IsContractExpired(Symbol symbol, DateTime date)
+        {
+            return symbol.ID.Date.Date < date.Date;
+        }
+    }
+}