wehub-resource-sync
74 lines
3.0 KiB
C#
74 lines
3.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Represents an entire chain of futures contracts for a single underlying
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/// This type is <see cref="IEnumerable{FuturesContract}"/>
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/// </summary>
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public class FuturesChain : BaseChain<FuturesContract, FuturesContracts>
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="FuturesChain"/> class
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/// </summary>
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/// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
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/// <param name="time">The time of this chain</param>
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/// <param name="flatten">Whether to flatten the data frame</param>
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public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, bool flatten = true)
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: base(canonicalFutureSymbol, time, MarketDataType.FuturesChain, flatten)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FuturesChain"/> class
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/// </summary>
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/// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
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/// <param name="time">The time of this chain</param>
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/// <param name="contracts">The list of contracts that form this chain</param>
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/// <param name="flatten">Whether to flatten the data frame</param>
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public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, IEnumerable<FutureUniverse> contracts, bool flatten = true)
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: this(canonicalFutureSymbol, time, flatten)
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{
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foreach (var contractData in contracts)
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{
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if (contractData.Symbol.ID.Date.Date < time.Date) continue;
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Contracts[contractData.Symbol] = new FuturesContract(contractData);
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FuturesChain"/> class as a clone of the specified instance
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/// </summary>
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private FuturesChain(FuturesChain other)
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: base(other)
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{
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}
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/// <summary>
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/// Return a new instance clone of this object, used in fill forward
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/// </summary>
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/// <returns>A clone of the current object</returns>
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public override BaseData Clone()
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{
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return new FuturesChain(this);
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}
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}
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}
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