Jhonathan Abreu
84 lines
3.6 KiB
C#
84 lines
3.6 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.Util;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Data;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Base backtesting cache provider which will source symbols from local zip files
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/// </summary>
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public abstract class BacktestingChainProvider
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{
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/// <summary>
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/// Get the contract symbols associated with the given canonical symbol and date
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/// </summary>
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/// <param name="canonicalSymbol">The canonical symbol</param>
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/// <param name="date">The date to search for</param>
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protected IEnumerable<Symbol> GetSymbols(Symbol canonicalSymbol, DateTime date)
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{
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var historyProvider = Composer.Instance.GetPart<IHistoryProvider>();
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var marketHoursDataBase = MarketHoursDatabase.FromDataFolder();
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var universeType = canonicalSymbol.SecurityType.IsOption() ? typeof(OptionUniverse) : typeof(FutureUniverse);
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// Use this GetEntry extension method since it's data type dependent, so we get the correct entry for the option universe
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var marketHoursEntry = marketHoursDataBase.GetEntry(canonicalSymbol, new[] { universeType });
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var previousTradingDate = Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, date, Time.OneDay, 1,
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extendedMarketHours: false, marketHoursEntry.DataTimeZone);
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var request = new HistoryRequest(
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previousTradingDate.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
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date.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
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universeType,
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canonicalSymbol,
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Resolution.Daily,
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marketHoursEntry.ExchangeHours,
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marketHoursEntry.DataTimeZone,
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Resolution.Daily,
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false,
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false,
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DataNormalizationMode.Raw,
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TickType.Quote);
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var history = historyProvider.GetHistory(new[] { request }, marketHoursEntry.DataTimeZone).ToList();
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var symbols = history == null || history.Count == 0
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? Enumerable.Empty<Symbol>()
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: history.GetUniverseData().SelectMany(x => x.Values.Single()).Select(x => x.Symbol);
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if (canonicalSymbol.SecurityType.IsOption())
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{
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return symbols.Where(symbol => symbol.SecurityType.IsOption());
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}
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return symbols;
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}
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/// <summary>
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/// Helper method to determine if a contract is expired for the requested date
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/// </summary>
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protected static bool IsContractExpired(Symbol symbol, DateTime date)
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{
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return symbol.ID.Date.Date < date.Date;
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}
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}
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}
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