/* * 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."); } } } }