wehub-resource-sync
79 lines
3.1 KiB
C#
79 lines
3.1 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.Concurrent;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// An implementation of <see cref="IOptionChainProvider"/> that will cache by date option contracts returned by another option chain provider.
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/// </summary>
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public class CachingOptionChainProvider : IOptionChainProvider
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{
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private readonly ConcurrentDictionary<Symbol, OptionChainCacheEntry> _cache = new ConcurrentDictionary<Symbol, OptionChainCacheEntry>();
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private readonly IOptionChainProvider _optionChainProvider;
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/// <summary>
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/// Initializes a new instance of the <see cref="CachingOptionChainProvider"/> class
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/// </summary>
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/// <param name="optionChainProvider"></param>
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public CachingOptionChainProvider(IOptionChainProvider optionChainProvider)
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{
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_optionChainProvider = optionChainProvider;
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}
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/// <summary>
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/// Gets the list of option contracts for a given underlying symbol
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/// </summary>
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/// <param name="symbol">The option or the underlying symbol to get the option chain for.
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/// Providing the option allows targetting an option ticker different than the default e.g. SPXW</param>
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/// <param name="date">The date for which to request the option chain (only used in backtesting)</param>
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/// <returns>The list of option contracts</returns>
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public IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
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{
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List<Symbol> symbols;
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OptionChainCacheEntry entry;
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if (!_cache.TryGetValue(symbol, out entry) || date.Date != entry.Date)
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{
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symbols = _optionChainProvider.GetOptionContractList(symbol, date.Date).ToList();
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_cache[symbol] = new OptionChainCacheEntry(date.Date, symbols);
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}
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else
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{
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symbols = entry.Symbols;
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}
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return symbols;
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}
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private class OptionChainCacheEntry
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{
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public DateTime Date { get; }
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public List<Symbol> Symbols { get; }
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public OptionChainCacheEntry(DateTime date, List<Symbol> symbols)
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{
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Date = date;
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Symbols = symbols;
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}
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}
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}
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}
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