/*
* 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.Linq;
using QuantConnect.Logging;
using QuantConnect.Interfaces;
using System.Collections.Generic;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// An implementation of that fetches the list of contracts
/// from an external source
///
public class LiveFutureChainProvider : BacktestingFutureChainProvider
{
///
/// 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 override IEnumerable GetFutureContractList(Symbol symbol, DateTime date)
{
var result = Enumerable.Empty();
try
{
result = base.GetFutureContractList(symbol, date);
}
catch (Exception ex)
{
// this shouldn't happen but just in case let's log it
Log.Error(ex);
}
bool yielded = false;
foreach (var symbols in result)
{
yielded = true;
yield return symbols;
}
if (!yielded)
{
throw new NotImplementedException("LiveFutureChainProvider.GetFutureContractList() has not been implemented yet.");
}
}
}
}