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.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// An implementation of <see cref="IFutureChainProvider"/> that reads the list of contracts from open interest zip data files
+    /// </summary>
+    public class BacktestingFutureChainProvider : BacktestingChainProvider, IFutureChainProvider
+    {
+        /// <summary>
+        /// Gets the list of future contracts for a given underlying symbol
+        /// </summary>
+        /// <param name="symbol">The underlying symbol</param>
+        /// <param name="date">The date for which to request the future chain (only used in backtesting)</param>
+        /// <returns>The list of future contracts</returns>
+        public virtual IEnumerable<Symbol> GetFutureContractList(Symbol symbol, DateTime date)
+        {
+            return GetSymbols(GetSymbol(symbol), date);
+        }
+
+        /// <summary>
+        /// Helper method to get the symbol to use
+        /// </summary>
+        protected static Symbol GetSymbol(Symbol symbol)
+        {
+            if (symbol.SecurityType != SecurityType.Future)
+            {
+                if (symbol.SecurityType == SecurityType.FutureOption && symbol.Underlying != null)
+                {
+                    // be user friendly and take the underlying
+                    symbol = symbol.Underlying;
+                }
+                else
+                {
+                    throw new NotSupportedException($"BacktestingFutureChainProvider.GetFutureContractList():" +
+                        $" {nameof(SecurityType.Future)} or {nameof(SecurityType.FutureOption)} is expected but was {symbol.SecurityType}");
+                }
+            }
+
+            return symbol.Canonical;
+        }
+    }
+}