/* * 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.Concurrent; using System.Collections.Generic; using System.Linq; using QuantConnect.Interfaces; namespace QuantConnect.Lean.Engine.DataFeeds { /// /// An implementation of that will cache by date future contracts returned by another future chain provider. /// public class CachingFutureChainProvider : IFutureChainProvider { private readonly ConcurrentDictionary _cache = new ConcurrentDictionary(); private readonly IFutureChainProvider _futureChainProvider; /// /// Initializes a new instance of the class /// /// public CachingFutureChainProvider(IFutureChainProvider futureChainProvider) { _futureChainProvider = futureChainProvider; } /// /// 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 IEnumerable GetFutureContractList(Symbol symbol, DateTime date) { List symbols; FutureChainCacheEntry entry; if (!_cache.TryGetValue(symbol, out entry) || date.Date != entry.Date) { symbols = _futureChainProvider.GetFutureContractList(symbol, date.Date).ToList(); _cache[symbol] = new FutureChainCacheEntry(date.Date, symbols); } else { symbols = entry.Symbols; } return symbols; } private class FutureChainCacheEntry { public DateTime Date { get; } public List Symbols { get; } public FutureChainCacheEntry(DateTime date, List symbols) { Date = date; Symbols = symbols; } } } }