LiveFutureChainProvider.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.Linq;
using QuantConnect.Logging;
using QuantConnect.Interfaces;
using System.Collections.Generic;
 
namespace QuantConnect.Lean.Engine.DataFeeds
{
    /// <summary>
    /// An implementation of <see cref="IFutureChainProvider"/> that fetches the list of contracts
    /// from an external source
    /// </summary>
    public class LiveFutureChainProvider : BacktestingFutureChainProvider
    {
        /// <summary>
        /// Gets the list of future contracts for a given underlying symbol
        /// </summary>
        /// <param name="symbol">The underlying symbol</param>
        /// <param name="date">The date for which to request the future chain (only used in backtesting)</param>
        /// <returns>The list of future contracts</returns>
        public override IEnumerable<Symbol> GetFutureContractList(Symbol symbol, DateTime date)
        {
            var result = Enumerable.Empty<Symbol>();
            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.");
            }
        }
    }
}