quant1729
63 lines
2.3 KiB
C#
63 lines
2.3 KiB
C#
using QuantConnect.Data;
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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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using System.Text;
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using System.Threading.Tasks;
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namespace QuantConnect.Securities.Interfaces
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{
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/// <summary>
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/// Enum defines types of possible price adjustments in continuous contract modeling.
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/// </summary>
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public enum AdjustmentType
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{
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/// ForwardAdjusted - new quotes are adjusted as new data comes
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ForwardAdjusted,
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/// BackAdjusted - old quotes are retrospectively adjusted as new data comes
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BackAdjusted
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};
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/// <summary>
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/// Continuous contract model interface. Interfaces is implemented by different classes
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/// realizing various methods for modeling continuous security series. Primarily, modeling of continuous futures.
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/// Continuous contracts are used in backtesting of otherwise expiring derivative contracts.
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/// Continuous contracts are not traded, and are not products traded on exchanges.
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/// </summary>
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public interface IContinuousContractModel
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{
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/// <summary>
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/// Adjustment type, implemented by the model
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/// </summary>
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AdjustmentType AdjustmentType { get; set; }
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/// <summary>
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/// List of current and historical data series for one root symbol.
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/// e.g. 6BH16, 6BM16, 6BU16, 6BZ16
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/// </summary>
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IEnumerator<BaseData> InputSeries { get; set; }
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/// <summary>
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/// Method returns continuous prices from the list of current and historical data series for one root symbol.
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/// It returns enumerator of stitched continuous quotes, produced by the model.
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/// e.g. 6BH15, 6BM15, 6BU15, 6BZ15 will result in one 6B continuous historical series for 2015
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/// </summary>
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/// <returns>Continuous prices</returns>
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IEnumerator<BaseData> GetContinuousData(DateTime dateTime);
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/// <summary>
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/// Returns the list of roll dates for the contract.
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/// </summary>
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/// <returns>The list of roll dates</returns>
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IEnumerator<DateTime> GetRollDates();
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/// <summary>
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/// Returns current symbol name that corresponds to the current continuous model,
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/// or null if none.
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/// </summary>
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/// <returns>Current symbol name</returns>
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Symbol GetCurrentSymbol(DateTime dateTime);
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}
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}
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