QuantConnect.Lean.Engine.DataFeeds.BacktestingFutureChainProvider Class Reference
An implementation of IFutureChainProvider that reads the list of contracts from open interest zip data files More...
Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.BacktestingFutureChainProvider:
Public Member Functions | |
| BacktestingFutureChainProvider (IDataCacheProvider dataCacheProvider) | |
| Creates a new instance More... | |
| virtual IEnumerable< Symbol > | GetFutureContractList (Symbol symbol, DateTime date) |
| Gets the list of future contracts for a given underlying symbol More... | |
Static Protected Member Functions | |
| static Symbol | GetSymbol (Symbol symbol) |
| Helper method to get the symbol to use More... | |
 Static Protected Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider | |
| static bool | IsContractExpired (Symbol symbol, DateTime date) |
| Helper method to determine if a contract is expired for the requested date More... | |
Additional Inherited Members | |
| Protected Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider | |
| BacktestingChainProvider (IDataCacheProvider dataCacheProvider) | |
| Creates a new instance More... | |
| IEnumerable< Symbol > | GetSymbols (Symbol canonicalSymbol, DateTime date) |
| Get the contract symbols associated with the given canonical symbol and date More... | |
| Properties inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider | |
| IDataCacheProvider | DataCacheProvider [get] |
| The data cache instance to use More... | |
Detailed Description
An implementation of IFutureChainProvider that reads the list of contracts from open interest zip data files
Definition at line 25 of file BacktestingFutureChainProvider.cs.
Constructor & Destructor Documentation
◆ BacktestingFutureChainProvider()
| QuantConnect.Lean.Engine.DataFeeds.BacktestingFutureChainProvider.BacktestingFutureChainProvider | ( | IDataCacheProvider | dataCacheProvider | ) |
Creates a new instance
- Parameters
-
dataCacheProvider The data cache provider instance to use
Definition at line 31 of file BacktestingFutureChainProvider.cs.
Member Function Documentation
◆ GetFutureContractList()
|
virtual |
Gets the list of future contracts for a given underlying symbol
- Parameters
-
symbol The underlying symbol date The date for which to request the future chain (only used in backtesting)
- Returns
- The list of future contracts
Implements QuantConnect.Interfaces.IFutureChainProvider.
Reimplemented in QuantConnect.Lean.Engine.DataFeeds.LiveFutureChainProvider.
Definition at line 42 of file BacktestingFutureChainProvider.cs.
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◆ GetSymbol()
|
staticprotected |
Helper method to get the symbol to use
Definition at line 50 of file BacktestingFutureChainProvider.cs.
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The documentation for this class was generated from the following file:
- Engine/DataFeeds/BacktestingFutureChainProvider.cs
