/*
* 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 QuantConnect.Interfaces;
using System.Collections.Generic;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// An implementation of that reads the list of contracts from open interest zip data files
///
public class BacktestingFutureChainProvider : BacktestingChainProvider, IFutureChainProvider
{
///
/// Gets the list of future contracts for a given underlying symbol
///
/// The underlying symbol
/// The date for which to request the future chain (only used in backtesting)
/// The list of future contracts
public virtual IEnumerable GetFutureContractList(Symbol symbol, DateTime date)
{
return GetSymbols(GetSymbol(symbol), date);
}
///
/// Helper method to get the symbol to use
///
protected static Symbol GetSymbol(Symbol symbol)
{
if (symbol.SecurityType != SecurityType.Future)
{
if (symbol.SecurityType == SecurityType.FutureOption && symbol.Underlying != null)
{
// be user friendly and take the underlying
symbol = symbol.Underlying;
}
else
{
throw new NotSupportedException($"BacktestingFutureChainProvider.GetFutureContractList():" +
$" {nameof(SecurityType.Future)} or {nameof(SecurityType.FutureOption)} is expected but was {symbol.SecurityType}");
}
}
return symbol.Canonical;
}
}
}