wehub-resource-sync
88 lines
3.1 KiB
C#
88 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 Python.Runtime;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Collection of <see cref="BaseChain{T, TContractsCollection}"/> keyed by canonical option symbol
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/// </summary>
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public class BaseChains<T, TContract, TContractsCollection> : DataDictionary<T>
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where T : BaseChain<TContract, TContractsCollection>
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where TContract : BaseContract
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where TContractsCollection : DataDictionary<TContract>, new()
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{
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private static readonly IEnumerable<string> _flattenedDfIndexNames = new[] { "canonical", "symbol" };
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private readonly Lazy<PyObject> _dataframe;
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private readonly bool _flatten;
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/// <summary>
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/// The data frame representation of the option chains
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/// </summary>
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public PyObject DataFrame => _dataframe.Value;
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/// <summary>
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/// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
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/// </summary>
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protected BaseChains()
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: this(default, true)
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{
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}
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/// <summary>
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/// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
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/// </summary>
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protected BaseChains(bool flatten)
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: this(default, flatten)
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{
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}
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/// <summary>
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/// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
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/// </summary>
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protected BaseChains(DateTime time, bool flatten)
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: base(time)
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{
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_flatten = flatten;
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_dataframe = new Lazy<PyObject>(InitializeDataFrame, isThreadSafe: false);
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}
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private PyObject InitializeDataFrame()
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{
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if (!PythonEngine.IsInitialized)
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{
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return null;
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}
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var dataFrames = this.Select(kvp => kvp.Value.DataFrame).ToList();
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if (_flatten)
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{
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var canonicalSymbols = this.Select(kvp => kvp.Key);
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return PandasConverter.ConcatDataFrames(dataFrames, keys: canonicalSymbols, names: _flattenedDfIndexNames, sort: false);
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}
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return PandasConverter.ConcatDataFrames(dataFrames, sort: false);
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}
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}
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}
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