Michael Handschuh
194ed59cbe
In OptionChainUniverseDataCollectionEnumerator.IsValid we check the underlying foir null and ensure that there are data points but we forget to check the actual collection object for null, which it is initialized to. The collection remains null in the case where no data is found.
67 lines
2.9 KiB
C#
67 lines
2.9 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.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// Enumerates data into <see cref="OptionChainUniverseDataCollection"/> instances
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/// </summary>
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/// <remarks>Used in backtest mode <see cref="OptionChainUniverseSubscriptionEnumeratorFactory"/></remarks>
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public class OptionChainUniverseDataCollectionEnumerator : BaseDataCollectionAggregatorEnumerator<OptionChainUniverseDataCollection>
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="OptionChainUniverseDataCollectionEnumerator"/> class
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/// </summary>
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/// <param name="enumerator">The enumerator to aggregate</param>
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/// <param name="symbol">The output data's symbol</param>
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public OptionChainUniverseDataCollectionEnumerator(IEnumerator<BaseData> enumerator, Symbol symbol)
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: base(enumerator, symbol)
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{
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}
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/// <summary>
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/// Adds the specified instance of <see cref="BaseData"/> to the current collection
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/// </summary>
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/// <param name="collection">The collection to be added to</param>
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/// <param name="current">The data to be added</param>
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protected override void Add(OptionChainUniverseDataCollection collection, BaseData current)
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{
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var baseDataCollection = current as BaseDataCollection;
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if (baseDataCollection != null)
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{
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if (baseDataCollection.Data.Count > 1)
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SetData(collection, baseDataCollection.Data);
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else if (baseDataCollection.Data.Count == 1)
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collection.Underlying = baseDataCollection.Data[0];
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}
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}
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/// <summary>
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/// Determines if a given data point is valid and can be emitted
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/// </summary>
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/// <param name="collection">The collection to be emitted</param>
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/// <returns>True if its a valid data point</returns>
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protected override bool IsValid(OptionChainUniverseDataCollection collection)
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{
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return collection?.Underlying != null && collection.Data.Count != 0;
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}
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}
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} |