wehub-resource-sync
61 lines
2.4 KiB
C#
61 lines
2.4 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 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;
|
|
}
|
|
}
|
|
}
|