Colton Sellers
87 lines
3.8 KiB
C#
87 lines
3.8 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="IOptionChainProvider"/> that reads the list of contracts from open interest zip data files
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/// </summary>
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public class BacktestingOptionChainProvider : IOptionChainProvider
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{
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/// <summary>
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/// Gets the list of option contracts for a given underlying symbol
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/// </summary>
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/// <param name="underlyingSymbol">The underlying symbol</param>
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/// <param name="date">The date for which to request the option chain (only used in backtesting)</param>
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/// <returns>The list of option contracts</returns>
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public IEnumerable<Symbol> GetOptionContractList(Symbol underlyingSymbol, DateTime date)
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{
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if (!underlyingSymbol.SecurityType.HasOptions())
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{
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throw new NotSupportedException($"BacktestingOptionChainProvider.GetOptionContractList(): SecurityType.Equity, SecurityType.Future, or SecurityType.Index is expected but was {underlyingSymbol.SecurityType}");
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}
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// build the option contract list from the open interest zip file entry names
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// create a canonical option symbol for the given underlying
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var canonicalSymbol = Symbol.CreateOption(
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underlyingSymbol,
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underlyingSymbol.ID.Market,
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underlyingSymbol.SecurityType.DefaultOptionStyle(),
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default(OptionRight),
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0,
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SecurityIdentifier.DefaultDate);
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var fileExists = false;
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var zipFileName = string.Empty;
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// In order of trust-worthiness of containing the complete option chain, OpenInterest is guaranteed
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// to have the complete option chain. Quotes come after open-interest
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// because it's also likely to contain the option chain. Trades may be
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// missing portions of the option chain, so we resort to it last.
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foreach (var tickType in new[] { TickType.OpenInterest, TickType.Quote, TickType.Trade })
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{
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// build the zip file name for open interest data
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zipFileName = LeanData.GenerateZipFilePath(Globals.DataFolder, canonicalSymbol, date, Resolution.Minute, tickType);
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if (File.Exists(zipFileName))
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{
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fileExists = true;
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break;
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}
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}
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if (!fileExists)
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{
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Log.Trace($"BacktestingOptionChainProvider.GetOptionContractList(): 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(canonicalSymbol, Resolution.Minute, zipEntryName);
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}
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}
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}
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}
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