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 +1,77 @@
+/*
+ * 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.Concurrent;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// An implementation of <see cref="IFutureChainProvider"/> that will cache by date future contracts returned by another future chain provider.
+    /// </summary>
+    public class CachingFutureChainProvider : IFutureChainProvider
+    {
+        private readonly ConcurrentDictionary<Symbol, FutureChainCacheEntry> _cache = new ConcurrentDictionary<Symbol, FutureChainCacheEntry>();
+        private readonly IFutureChainProvider _futureChainProvider;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CachingFutureChainProvider"/> class
+        /// </summary>
+        /// <param name="futureChainProvider"></param>
+        public CachingFutureChainProvider(IFutureChainProvider futureChainProvider)
+        {
+            _futureChainProvider = futureChainProvider;
+        }
+
+        /// <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 IEnumerable<Symbol> GetFutureContractList(Symbol symbol, DateTime date)
+        {
+            List<Symbol> symbols;
+
+            FutureChainCacheEntry entry;
+            if (!_cache.TryGetValue(symbol, out entry) || date.Date != entry.Date)
+            {
+                symbols = _futureChainProvider.GetFutureContractList(symbol, date.Date).ToList();
+                _cache[symbol] = new FutureChainCacheEntry(date.Date, symbols);
+            }
+            else
+            {
+                symbols = entry.Symbols;
+            }
+
+            return symbols;
+        }
+
+        private class FutureChainCacheEntry
+        {
+            public DateTime Date { get; }
+            public List<Symbol> Symbols { get; }
+
+            public FutureChainCacheEntry(DateTime date, List<Symbol> symbols)
+            {
+                Date = date;
+                Symbols = symbols;
+            }
+        }
+    }
+}