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
71 lines
2.5 KiB
C#
71 lines
2.5 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.Linq;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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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 fetches the list of contracts
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/// from an external source
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/// </summary>
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public class LiveFutureChainProvider : BacktestingFutureChainProvider
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{
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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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public LiveFutureChainProvider(IDataCacheProvider dataCacheProvider) : base(dataCacheProvider)
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{
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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 override IEnumerable<Symbol> GetFutureContractList(Symbol symbol, DateTime date)
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{
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var result = Enumerable.Empty<Symbol>();
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try
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{
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result = base.GetFutureContractList(symbol, date);
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}
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catch (Exception ex)
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{
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// this shouldn't happen but just in case let's log it
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Log.Error(ex);
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}
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bool yielded = false;
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foreach (var symbols in result)
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{
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yielded = true;
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yield return symbols;
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}
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if (!yielded)
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{
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throw new NotImplementedException("LiveFutureChainProvider.GetFutureContractList() has not been implemented yet.");
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}
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}
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}
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}
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