/*
* 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;
}
}
}
}