/*
* 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);
}
}
}