wehub-resource-sync
78 lines
3.2 KiB
C#
78 lines
3.2 KiB
C#
/*
|
|
* 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);
|
|
}
|
|
}
|
|
}
|