Martin Molinero
75 lines
2.4 KiB
C#
75 lines
2.4 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.Data;
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using QuantConnect.Python;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Research
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{
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/// <summary>
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/// Class to manage information from History Request of Futures
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/// </summary>
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public class FutureHistory
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{
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private IEnumerable<Slice> _data;
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private PandasConverter _converter;
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private PyObject _dataframe;
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/// <summary>
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/// Create a new instance of <see cref="FutureHistory"/>.
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/// </summary>
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/// <param name="data"></param>
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public FutureHistory(IEnumerable<Slice> data)
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{
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_data = data;
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_converter = new PandasConverter();
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_dataframe = _converter.GetDataFrame(_data);
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}
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/// <summary>
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/// Gets all data from the History Request that are written in a pandas.DataFrame
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/// </summary>
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/// <returns></returns>
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public PyObject GetAllData()
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{
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return _dataframe;
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}
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/// <summary>
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/// Gets all expity dates in the future history
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/// </summary>
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/// <returns></returns>
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public PyObject GetExpiryDates()
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{
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var expiry = _data.SelectMany(x => x.FuturesChains.SelectMany(y => y.Value.Contracts.Keys.Select(z => z.ID.Date).Distinct()));
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using (Py.GIL())
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{
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return expiry.Distinct().ToList().ToPython();
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}
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}
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/// <summary>
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/// Returns a string that represent the current object
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/// </summary>
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/// <returns></returns>
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public override string ToString()
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{
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return _converter.ToString();
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}
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}
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} |