OptionChain.cs

/*
 * 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;
using System.Collections.Generic;
using System.Linq;
using Python.Runtime;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Python;
using QuantConnect.Securities;
using QuantConnect.Securities.Option;
using QuantConnect.Util;
 
namespace QuantConnect.Data.Market
{
    /// <summary>
    /// Represents an entire chain of option contracts for a single underying security.
    /// This type is <see cref="IEnumerable{OptionContract}"/>
    /// </summary>
    public class OptionChain : BaseData, IEnumerable<OptionContract>
    {
        private readonly Dictionary<Type, Dictionary<Symbol, List<BaseData>>> _auxiliaryData = new Dictionary<Type, Dictionary<Symbol, List<BaseData>>>();
        private readonly Lazy<PyObject> _dataframe;
        private readonly bool _flatten;
 
        /// <summary>
        /// Gets the most recent trade information for the underlying. This may
        /// be a <see cref="Tick"/> or a <see cref="TradeBar"/>
        /// </summary>
        [PandasIgnore]
        public BaseData Underlying
        {
            get; internal set;
        }
 
        /// <summary>
        /// Gets all ticks for every option contract in this chain, keyed by option symbol
        /// </summary>
        [PandasIgnore]
        public Ticks Ticks
        {
            get; private set;
        }
 
        /// <summary>
        /// Gets all trade bars for every option contract in this chain, keyed by option symbol
        /// </summary>
        [PandasIgnore]
        public TradeBars TradeBars
        {
            get; private set;
        }
 
        /// <summary>
        /// Gets all quote bars for every option contract in this chain, keyed by option symbol
        /// </summary>
        [PandasIgnore]
        public QuoteBars QuoteBars
        {
            get; private set;
        }
 
        /// <summary>
        /// Gets all contracts in the chain, keyed by option symbol
        /// </summary>
        public OptionContracts Contracts
        {
            get; private set;
        }
 
        /// <summary>
        /// Gets the set of symbols that passed the <see cref="Option.ContractFilter"/>
        /// </summary>
        [PandasIgnore]
        public HashSet<Symbol> FilteredContracts
        {
            get; private set;
        }
 
        /// <summary>
        /// The data frame representation of the option chain
        /// </summary>
        [PandasIgnore]
        public PyObject DataFrame => _dataframe.Value;
 
        /// <summary>
        /// Initializes a new default instance of the <see cref="OptionChain"/> class
        /// </summary>
        private OptionChain(bool flatten)
        {
            DataType = MarketDataType.OptionChain;
            _flatten = flatten;
            _dataframe = new Lazy<PyObject>(
                () =>
                {
                    if (!PythonEngine.IsInitialized)
                    {
                        return null;
                    }
                    return new PandasConverter().GetDataFrame(new[] { this }, symbolOnlyIndex: true, flatten: _flatten);
                },
                isThreadSafe: false);
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="OptionChain"/> class
        /// </summary>
        /// <param name="canonicalOptionSymbol">The symbol for this chain.</param>
        /// <param name="time">The time of this chain</param>
        /// <param name="flatten">Whether to flatten the data frame</param>
        public OptionChain(Symbol canonicalOptionSymbol, DateTime time, bool flatten = true)
            : this(flatten)
        {
            Time = time;
            Symbol = canonicalOptionSymbol;
            DataType = MarketDataType.OptionChain;
            Ticks = new Ticks(time);
            TradeBars = new TradeBars(time);
            QuoteBars = new QuoteBars(time);
            Contracts = new OptionContracts(time);
            FilteredContracts = new HashSet<Symbol>();
            Underlying = new QuoteBar();
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="OptionChain"/> class
        /// </summary>
        /// <param name="canonicalOptionSymbol">The symbol for this chain.</param>
        /// <param name="time">The time of this chain</param>
        /// <param name="underlying">The most recent underlying trade data</param>
        /// <param name="trades">All trade data for the entire option chain</param>
        /// <param name="quotes">All quote data for the entire option chain</param>
        /// <param name="contracts">All contracts for this option chain</param>
        /// <param name="filteredContracts">The filtered list of contracts for this option chain</param>
        /// <param name="flatten">Whether to flatten the data frame</param>
        public OptionChain(Symbol canonicalOptionSymbol, DateTime time, BaseData underlying, IEnumerable<BaseData> trades,
            IEnumerable<BaseData> quotes, IEnumerable<OptionContract> contracts, IEnumerable<Symbol> filteredContracts, bool flatten = true)
            : this(flatten)
        {
            Time = time;
            Underlying = underlying;
            Symbol = canonicalOptionSymbol;
            DataType = MarketDataType.OptionChain;
            FilteredContracts = filteredContracts.ToHashSet();
 
            Ticks = new Ticks(time);
            TradeBars = new TradeBars(time);
            QuoteBars = new QuoteBars(time);
            Contracts = new OptionContracts(time);
 
            foreach (var trade in trades)
            {
                var tick = trade as Tick;
                if (tick != null)
                {
                    List<Tick> ticks;
                    if (!Ticks.TryGetValue(tick.Symbol, out ticks))
                    {
                        ticks = new List<Tick>();
                        Ticks[tick.Symbol] = ticks;
                    }
                    ticks.Add(tick);
                    continue;
                }
                var bar = trade as TradeBar;
                if (bar != null)
                {
                    TradeBars[trade.Symbol] = bar;
                }
            }
 
            foreach (var quote in quotes)
            {
                var tick = quote as Tick;
                if (tick != null)
                {
                    List<Tick> ticks;
                    if (!Ticks.TryGetValue(tick.Symbol, out ticks))
                    {
                        ticks = new List<Tick>();
                        Ticks[tick.Symbol] = ticks;
                    }
                    ticks.Add(tick);
                    continue;
                }
                var bar = quote as QuoteBar;
                if (bar != null)
                {
                    QuoteBars[quote.Symbol] = bar;
                }
            }
 
            foreach (var contract in contracts)
            {
                Contracts[contract.Symbol] = contract;
            }
        }
 
        /// <summary>
        /// Initializes a new option chain for a list of contracts as <see cref="OptionUniverse"/> instances
        /// </summary>
        /// <param name="canonicalOptionSymbol">The canonical option symbol</param>
        /// <param name="time">The time of this chain</param>
        /// <param name="contracts">The list of contracts data</param>
        /// <param name="symbolProperties">The option symbol properties</param>
        /// <param name="flatten">Whether to flatten the data frame</param>
        public OptionChain(Symbol canonicalOptionSymbol, DateTime time, IEnumerable<OptionUniverse> contracts, SymbolProperties symbolProperties,
            bool flatten = true)
            : this(canonicalOptionSymbol, time, flatten)
        {
            Time = time;
            Symbol = canonicalOptionSymbol;
            DataType = MarketDataType.OptionChain;
 
            Ticks = new Ticks(time);
            TradeBars = new TradeBars(time);
            QuoteBars = new QuoteBars(time);
            Contracts = new OptionContracts(time);
 
            foreach (var contractData in contracts)
            {
                Contracts[contractData.Symbol] = OptionContract.Create(contractData, symbolProperties);
                Underlying ??= contractData.Underlying;
            }
        }
 
        /// <summary>
        /// Gets the auxiliary data with the specified type and symbol
        /// </summary>
        /// <typeparam name="T">The type of auxiliary data</typeparam>
        /// <param name="symbol">The symbol of the auxiliary data</param>
        /// <returns>The last auxiliary data with the specified type and symbol</returns>
        public T GetAux<T>(Symbol symbol)
        {
            List<BaseData> list;
            Dictionary<Symbol, List<BaseData>> dictionary;
            if (!_auxiliaryData.TryGetValue(typeof(T), out dictionary) || !dictionary.TryGetValue(symbol, out list))
            {
                return default(T);
            }
            return list.OfType<T>().LastOrDefault();
        }
 
        /// <summary>
        /// Gets all auxiliary data of the specified type as a dictionary keyed by symbol
        /// </summary>
        /// <typeparam name="T">The type of auxiliary data</typeparam>
        /// <returns>A dictionary containing all auxiliary data of the specified type</returns>
        public DataDictionary<T> GetAux<T>()
        {
            Dictionary<Symbol, List<BaseData>> d;
            if (!_auxiliaryData.TryGetValue(typeof(T), out d))
            {
                return new DataDictionary<T>();
            }
            var dictionary = new DataDictionary<T>();
            foreach (var kvp in d)
            {
                var item = kvp.Value.OfType<T>().LastOrDefault();
                if (item != null)
                {
                    dictionary.Add(kvp.Key, item);
                }
            }
            return dictionary;
        }
 
        /// <summary>
        /// Gets all auxiliary data of the specified type as a dictionary keyed by symbol
        /// </summary>
        /// <typeparam name="T">The type of auxiliary data</typeparam>
        /// <returns>A dictionary containing all auxiliary data of the specified type</returns>
        public Dictionary<Symbol, List<BaseData>> GetAuxList<T>()
        {
            Dictionary<Symbol, List<BaseData>> dictionary;
            if (!_auxiliaryData.TryGetValue(typeof(T), out dictionary))
            {
                return new Dictionary<Symbol, List<BaseData>>();
            }
            return dictionary;
        }
 
        /// <summary>
        /// Gets a list of auxiliary data with the specified type and symbol
        /// </summary>
        /// <typeparam name="T">The type of auxiliary data</typeparam>
        /// <param name="symbol">The symbol of the auxiliary data</param>
        /// <returns>The list of auxiliary data with the specified type and symbol</returns>
        public List<T> GetAuxList<T>(Symbol symbol)
        {
            List<BaseData> list;
            Dictionary<Symbol, List<BaseData>> dictionary;
            if (!_auxiliaryData.TryGetValue(typeof(T), out dictionary) || !dictionary.TryGetValue(symbol, out list))
            {
                return new List<T>();
            }
            return list.OfType<T>().ToList();
        }
 
        /// <summary>
        /// Returns an enumerator that iterates through the collection.
        /// </summary>
        /// <returns>
        /// An enumerator that can be used to iterate through the collection.
        /// </returns>
        public IEnumerator<OptionContract> GetEnumerator()
        {
            return Contracts.Values.GetEnumerator();
        }
 
        /// <summary>
        /// Returns an enumerator that iterates through a collection.
        /// </summary>
        /// <returns>
        /// An <see cref="T:System.Collections.IEnumerator"/> object that can be used to iterate through the collection.
        /// </returns>
        IEnumerator IEnumerable.GetEnumerator()
        {
            return GetEnumerator();
        }
 
        /// <summary>
        /// Return a new instance clone of this object, used in fill forward
        /// </summary>
        /// <returns>A clone of the current object</returns>
        public override BaseData Clone()
        {
            return new OptionChain(_flatten)
            {
                Underlying = Underlying,
                Ticks = Ticks,
                Contracts = Contracts,
                QuoteBars = QuoteBars,
                TradeBars = TradeBars,
                FilteredContracts = FilteredContracts,
                Symbol = Symbol,
                Time = Time,
                DataType = DataType,
                Value = Value
            };
        }
 
        /// <summary>
        /// Adds the specified auxiliary data to this option chain
        /// </summary>
        /// <param name="baseData">The auxiliary data to be added</param>
        internal void AddAuxData(BaseData baseData)
        {
            var type = baseData.GetType();
            Dictionary<Symbol, List<BaseData>> dictionary;
            if (!_auxiliaryData.TryGetValue(type, out dictionary))
            {
                dictionary = new Dictionary<Symbol, List<BaseData>>();
                _auxiliaryData[type] = dictionary;
            }
 
            List<BaseData> list;
            if (!dictionary.TryGetValue(baseData.Symbol, out list))
            {
                list = new List<BaseData>();
                dictionary[baseData.Symbol] = list;
            }
            list.Add(baseData);
        }
    }
}