/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using System.Collections.Generic; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Data.Market { /// /// Represents an entire chain of futures contracts for a single underlying /// This type is /// public class FuturesChain : BaseChain { /// /// Initializes a new instance of the class /// /// The symbol for this chain. /// The time of this chain /// Whether to flatten the data frame public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, bool flatten = true) : base(canonicalFutureSymbol, time, MarketDataType.FuturesChain, flatten) { } /// /// Initializes a new instance of the class /// /// The symbol for this chain. /// The time of this chain /// The list of contracts that form this chain /// Whether to flatten the data frame public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, IEnumerable contracts, bool flatten = true) : this(canonicalFutureSymbol, time, flatten) { foreach (var contractData in contracts) { if (contractData.Symbol.ID.Date.Date < time.Date) continue; Contracts[contractData.Symbol] = new FuturesContract(contractData); } } /// /// Initializes a new instance of the class as a clone of the specified instance /// private FuturesChain(FuturesChain other) : base(other) { } /// /// Return a new instance clone of this object, used in fill forward /// /// A clone of the current object public override BaseData Clone() { return new FuturesChain(this); } } }