AlexCatarino
dfffbd6953
- Move BacktestingFutureChainProvider provider to Lean.Engine.DataFeeds along with its options equivalent. - EmptyFutureChainProvider: provider that returns an empty list of symbols - CachingFutureChainProvider: implements caching by date - BacktestingFutureChainProvider: provider that gets chain from local files - LiveFutureChainProvider: provider that gets chain from external source (empty list of symbols for now)
63 lines
2.7 KiB
C#
63 lines
2.7 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.Generic;
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using System.IO;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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using QuantConnect.Util;
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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="IFutureChainProvider"/> that reads the list of contracts from open interest zip data files
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/// </summary>
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public class BacktestingFutureChainProvider : IFutureChainProvider
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{
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/// <summary>
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/// Gets the list of future contracts for a given underlying symbol
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/// </summary>
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/// <param name="symbol">The underlying symbol</param>
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/// <param name="date">The date for which to request the future chain (only used in backtesting)</param>
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/// <returns>The list of future contracts</returns>
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public IEnumerable<Symbol> GetFutureContractList(Symbol symbol, DateTime date)
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{
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if (symbol.SecurityType != SecurityType.Future)
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{
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throw new NotSupportedException($"BacktestingFutureChainProvider.GetFutureContractList(): SecurityType.Future is expected but was {symbol.SecurityType}");
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}
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// build the future contract list from the open interest zip file entry names
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// build the zip file name for open interest data
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var zipFileName = LeanData.GenerateZipFilePath(Globals.DataFolder, symbol, date, Resolution.Minute, TickType.OpenInterest);
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if (!File.Exists(zipFileName))
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{
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Log.Trace($"BacktestingFutureChainProvider.GetFutureContractList(): File not found: {zipFileName}");
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yield break;
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}
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// generate and return the contract symbol for each zip entry
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var zipEntryNames = Compression.GetZipEntryFileNames(zipFileName);
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foreach (var zipEntryName in zipEntryNames)
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{
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yield return LeanData.ReadSymbolFromZipEntry(symbol, Resolution.Minute, zipEntryName);
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}
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}
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}
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}
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