Martin-Molinero
a3f4dff299
* Refactor chain providers - ChainProviders will use quote, open interest and trade information, which ever is first. Updating regression algorithm changing contract being added. - Add base BacktestingChainProvider for shared logic, reducing duplication. - ChainProviders will now use the given IDataCacheProvider and IMapFileProvider - If Providers are called for a date the exchange is closed they will search for the previous available date where the exchange is open. Adding unit tests. * Address reviews. Logging improvements
91 lines
3.8 KiB
C#
91 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 QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.Auxiliary;
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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 : BacktestingChainProvider, IOptionChainProvider
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{
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private IMapFileProvider _mapFileProvider;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="dataCacheProvider">The data cache provider instance to use</param>
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/// <param name="mapFileProvider">The map file provider instance to use</param>
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public BacktestingOptionChainProvider(IDataCacheProvider dataCacheProvider, IMapFileProvider mapFileProvider)
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: base(dataCacheProvider)
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{
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_mapFileProvider = mapFileProvider;
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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="symbol">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 virtual IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
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{
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if (!symbol.SecurityType.HasOptions())
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{
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if (symbol.SecurityType.IsOption() && symbol.Underlying != null)
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{
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// be user friendly and take the underlying
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symbol = symbol.Underlying;
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}
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else
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{
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throw new NotSupportedException($"BacktestingOptionChainProvider.GetOptionContractList(): " +
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$"{nameof(SecurityType.Equity)}, {nameof(SecurityType.Future)}, or {nameof(SecurityType.Index)} is expected but was {symbol.SecurityType}");
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}
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}
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// Resolve any mapping before requesting option contract list for equities
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// Needs to be done in order for the data file key to be accurate
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Symbol mappedSymbol;
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if (symbol.RequiresMapping())
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{
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var mapFileResolver = _mapFileProvider.Get(AuxiliaryDataKey.Create(symbol));
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var mapFile = mapFileResolver.ResolveMapFile(symbol);
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var ticker = mapFile.GetMappedSymbol(date, symbol.Value);
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mappedSymbol = symbol.UpdateMappedSymbol(ticker);
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}
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else
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{
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mappedSymbol = symbol;
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}
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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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mappedSymbol,
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mappedSymbol.ID.Market,
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mappedSymbol.SecurityType.DefaultOptionStyle(),
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default(OptionRight),
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0,
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SecurityIdentifier.DefaultDate);
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return GetSymbols(canonicalSymbol, date);
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}
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}
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}
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