/* * 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; } } }