Michael Handschuh
93 lines
3.8 KiB
C#
93 lines
3.8 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;
|
|
|
|
namespace QuantConnect.Data.UniverseSelection
|
|
{
|
|
/// <summary>
|
|
/// Defines the universe selection data type for <see cref="OptionChainUniverse"/>
|
|
/// </summary>
|
|
public class OptionChainUniverseDataCollection : BaseDataCollection
|
|
{
|
|
/// <summary>
|
|
/// The option chain's underlying price data
|
|
/// </summary>
|
|
public BaseData Underlying { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the contracts selected by the universe
|
|
/// </summary>
|
|
public HashSet<Symbol> FilteredContracts { get; set; }
|
|
|
|
/// <summary>
|
|
/// Initializes a new default instance of the <see cref="OptionChainUniverseDataCollection"/> c;ass
|
|
/// </summary>
|
|
public OptionChainUniverseDataCollection()
|
|
: this(DateTime.MinValue, Symbol.Empty)
|
|
{
|
|
FilteredContracts = new HashSet<Symbol>();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="OptionChainUniverseDataCollection"/> class
|
|
/// </summary>
|
|
/// <param name="time">The time of this data</param>
|
|
/// <param name="symbol">A common identifier for all data in this packet</param>
|
|
/// <param name="data">The data to add to this collection</param>
|
|
/// <param name="underlying">The option chain's underlying price data</param>
|
|
public OptionChainUniverseDataCollection(DateTime time, Symbol symbol, IEnumerable<BaseData> data = null, BaseData underlying = null)
|
|
: this(time, time, symbol, data, underlying)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="OptionChainUniverseDataCollection"/> class
|
|
/// </summary>
|
|
/// <param name="time">The start time of this data</param>
|
|
/// <param name="endTime">The end time of this data</param>
|
|
/// <param name="symbol">A common identifier for all data in this packet</param>
|
|
/// <param name="data">The data to add to this collection</param>
|
|
/// <param name="underlying">The option chain's underlying price data</param>
|
|
public OptionChainUniverseDataCollection(DateTime time, DateTime endTime, Symbol symbol, IEnumerable<BaseData> data = null, BaseData underlying = null)
|
|
: base(time, endTime, symbol, data)
|
|
{
|
|
Underlying = underlying;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Return a new instance clone of this object, used in fill forward
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// This base implementation uses reflection to copy all public fields and properties
|
|
/// </remarks>
|
|
/// <returns>A clone of the current object</returns>
|
|
public override BaseData Clone()
|
|
{
|
|
return new OptionChainUniverseDataCollection
|
|
{
|
|
Underlying = Underlying,
|
|
Symbol = Symbol,
|
|
Time = Time,
|
|
EndTime = EndTime,
|
|
Data = Data,
|
|
DataType = DataType,
|
|
FilteredContracts = FilteredContracts
|
|
};
|
|
}
|
|
}
|
|
} |