Add DataFrame property to FuturesChains class

jhonabreul · Dec 23, 2024 · 3d9a451 · 3d9a451
1 parent d9085cb
commit 3d9a451
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Showing 69 changed files with 190 additions and 184 deletions.
diff --git a/Algorithm/QCAlgorithm.cs b/Algorithm/QCAlgorithm.cs
@@ -3439,10 +3439,10 @@ public FuturesChains FuturesChains(IEnumerable<Symbol> symbols, bool flatten = f
                 .Select(x => (x.Keys.Single(), x.Values.Single().Cast<FutureUniverse>()));
 
             var time = Time.Date;
-            var chains = new FuturesChains(time);
+            var chains = new FuturesChains(time, flatten);
             foreach (var (symbol, contracts) in futureChainsData)
             {
-                var chain = new FuturesChain(symbol, time, contracts);
+                var chain = new FuturesChain(symbol, time, contracts, flatten);
                 chains.Add(symbol, chain);
             }
 

diff --git a/Common/Data/Market/BaseChains.cs b/Common/Data/Market/BaseChains.cs
@@ -0,0 +1,107 @@
+/*
+ * 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 Python.Runtime;
+using QuantConnect.Python;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Collection of <see cref="BaseChain{T, TContractsCollection}"/> keyed by canonical option symbol
+    /// </summary>
+    public class BaseChains<T, TContract, TContractsCollection> : DataDictionary<T>
+        where T : BaseChain<TContract, TContractsCollection>
+        where TContract : ISymbol, ISymbolProvider
+        where TContractsCollection : DataDictionary<TContract>, new()
+    {
+        private static readonly IEnumerable<string> _flattenedDfIndexNames = new[] { "canonical", "symbol" };
+
+        private readonly Lazy<PyObject> _dataframe;
+        private readonly bool _flatten;
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains()
+            : this(default, true)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains(bool flatten)
+            : this(default, flatten)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="BaseChains{T, TContract, TContractsCollection}"/> dictionary
+        /// </summary>
+        protected BaseChains(DateTime time, bool flatten)
+            : base(time)
+        {
+            _flatten = flatten;
+            _dataframe = new Lazy<PyObject>(InitializeDataFrame, isThreadSafe: false);
+        }
+
+        /// <summary>
+        /// The data frame representation of the option chains
+        /// </summary>
+        public PyObject DataFrame => _dataframe.Value;
+
+        /// <summary>
+        /// Gets or sets the BaseChain with the specified ticker.
+        /// </summary>
+        /// <returns>
+        /// The BaseChain with the specified ticker.
+        /// </returns>
+        /// <param name="ticker">The ticker of the element to get or set.</param>
+        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
+        public new T this[string ticker] { get { return base[ticker]; } set { base[ticker] = value; } }
+
+        /// <summary>
+        /// Gets or sets the BaseChain with the specified Symbol.
+        /// </summary>
+        /// <returns>
+        /// The BaseChain with the specified Symbol.
+        /// </returns>
+        /// <param name="symbol">The Symbol of the element to get or set.</param>
+        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
+        public new T this[Symbol symbol] { get { return base[symbol]; } set { base[symbol] = value; } }
+
+        private PyObject InitializeDataFrame()
+        {
+            if (!PythonEngine.IsInitialized)
+            {
+                return null;
+            }
+
+            var dataFrames = this.Select(kvp => kvp.Value.DataFrame).ToList();
+
+            if (_flatten)
+            {
+                var canonicalSymbols = this.Select(kvp => kvp.Key);
+                return PandasConverter.ConcatDataFrames(dataFrames, keys: canonicalSymbols, names: _flattenedDfIndexNames, sort: false);
+            }
+
+            return PandasConverter.ConcatDataFrames(dataFrames, sort: false);
+        }
+    }
+}
diff --git a/Common/Data/Market/FuturesChains.cs b/Common/Data/Market/FuturesChains.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -20,7 +20,7 @@ namespace QuantConnect.Data.Market
     /// <summary>
     /// Collection of <see cref="FuturesChain"/> keyed by canonical futures symbol
     /// </summary>
-    public class FuturesChains : DataDictionary<FuturesChain>
+    public class FuturesChains : BaseChains<FuturesChain, FuturesContract, FuturesContracts>
     {
         /// <summary>
         /// Creates a new instance of the <see cref="FuturesChains"/> dictionary
@@ -32,29 +32,17 @@ public FuturesChains()
         /// <summary>
         /// Creates a new instance of the <see cref="FuturesChains"/> dictionary
         /// </summary>
-        public FuturesChains(DateTime time)
-            : base(time)
+        public FuturesChains(bool flatten)
+            : base(flatten)
         {
         }
 
         /// <summary>
-        /// Gets or sets the FuturesChain with the specified ticker.
-        /// </summary>
-        /// <returns>
-        /// The FuturesChain with the specified ticker.
-        /// </returns>
-        /// <param name="ticker">The ticker of the element to get or set.</param>
-        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
-        public new FuturesChain this[string ticker] { get { return base[ticker]; } set { base[ticker] = value; } }
-
-        /// <summary>
-        /// Gets or sets the FuturesChain with the specified Symbol.
+        /// Creates a new instance of the <see cref="FuturesChains"/> dictionary
         /// </summary>
-        /// <returns>
-        /// The FuturesChain with the specified Symbol.
-        /// </returns>
-        /// <param name="symbol">The Symbol of the element to get or set.</param>
-        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
-        public new FuturesChain this[Symbol symbol] { get { return base[symbol]; } set { base[symbol] = value; } }
+        public FuturesChains(DateTime time, bool flatten = true)
+            : base(time, flatten)
+        {
+        }
     }
-}
+}
diff --git a/Common/Data/Market/OptionChains.cs b/Common/Data/Market/OptionChains.cs
@@ -13,91 +13,36 @@
  * limitations under the License.
 */
 
-using Python.Runtime;
-using QuantConnect.Python;
 using System;
-using System.Collections.Generic;
-using System.Linq;
 
 namespace QuantConnect.Data.Market
 {
     /// <summary>
     /// Collection of <see cref="OptionChain"/> keyed by canonical option symbol
     /// </summary>
-    public class OptionChains : DataDictionary<OptionChain>
+    public class OptionChains : BaseChains<OptionChain, OptionContract, OptionContracts>
     {
-        private static readonly IEnumerable<string> _flattenedDfIndexNames = new[] { "canonical", "symbol" };
-
-        private readonly Lazy<PyObject> _dataframe;
-        private readonly bool _flatten;
-
         /// <summary>
         /// Creates a new instance of the <see cref="OptionChains"/> dictionary
         /// </summary>
-        public OptionChains()
-            : this(default, true)
+        public OptionChains() : base()
         {
         }
 
         /// <summary>
         /// Creates a new instance of the <see cref="OptionChains"/> dictionary
         /// </summary>
         public OptionChains(bool flatten)
-            : this(default, flatten)
+            : base(flatten)
         {
         }
 
         /// <summary>
         /// Creates a new instance of the <see cref="OptionChains"/> dictionary
         /// </summary>
         public OptionChains(DateTime time, bool flatten = true)
-            : base(time)
+            : base(time, flatten)
         {
-            _flatten = flatten;
-            _dataframe = new Lazy<PyObject>(InitializeDataFrame, isThreadSafe: false);
-        }
-
-        /// <summary>
-        /// The data frame representation of the option chains
-        /// </summary>
-        public PyObject DataFrame => _dataframe.Value;
-
-        /// <summary>
-        /// Gets or sets the OptionChain with the specified ticker.
-        /// </summary>
-        /// <returns>
-        /// The OptionChain with the specified ticker.
-        /// </returns>
-        /// <param name="ticker">The ticker of the element to get or set.</param>
-        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
-        public new OptionChain this[string ticker] { get { return base[ticker]; } set { base[ticker] = value; } }
-
-        /// <summary>
-        /// Gets or sets the OptionChain with the specified Symbol.
-        /// </summary>
-        /// <returns>
-        /// The OptionChain with the specified Symbol.
-        /// </returns>
-        /// <param name="symbol">The Symbol of the element to get or set.</param>
-        /// <remarks>Wraps the base implementation to enable indexing in python algorithms due to pythonnet limitations</remarks>
-        public new OptionChain this[Symbol symbol] { get { return base[symbol]; } set { base[symbol] = value; } }
-
-        private PyObject InitializeDataFrame()
-        {
-            if (!PythonEngine.IsInitialized)
-            {
-                return null;
-            }
-
-            var dataFrames = this.Select(kvp => kvp.Value.DataFrame).ToList();
-
-            if (_flatten)
-            {
-                var canonicalSymbols = this.Select(kvp => kvp.Key);
-                return PandasConverter.ConcatDataFrames(dataFrames, keys: canonicalSymbols, names: _flattenedDfIndexNames, sort: false);
-            }
-
-            return PandasConverter.ConcatDataFrames(dataFrames, sort: false);
         }
     }
 }
diff --git a/Data/future/cme/universes/dc/20111229.csv b/Data/future/cme/universes/dc/20111229.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.54,17.75,17.41,17.45,310,3824
-DC V5E8P9SH0U0X,DC01H12,17.54,17.75,17.41,17.45,310,3824
 DC V67S42RJBGU9,DC01J12,17.4,17.43,17.36,17.36,25,2808
 DC V70C2SDFJCHT,DC30K12,17.22,17.25,17.19,17.25,35,2650
 DC V8PDSL1WA4G1,DC31M12,0,0,0,0,0,

diff --git a/Data/future/cme/universes/dc/20111230.csv b/Data/future/cme/universes/dc/20111230.csv
@@ -1,7 +1,6 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V4JPUDG8NG1T,DC01H12,17.25,17.35,17.13,17.15,231,4726
 DC V5E8P9SH0U0X,DC01H12,17.5,17.69,17.45,17.56,449,3926
-DC V5E8P9SH0U0X,DC01H12,17.5,17.69,17.45,17.56,449,3926
 DC V67S42RJBGU9,DC01J12,17.4,17.44,17.39,17.42,31,2841
 DC V70C2SDFJCHT,DC30K12,17.25,17.3,17.25,17.25,11,2687
 DC V7YSQ26C7R41,DC04M12,17.16,17.34,17.15,17.28,63,1680
@@ -14,7 +13,6 @@ DC VCY032R252BL,DC02Z12,17.08,17.08,17.06,17.06,2,1269
 DC VDOL5LMM7FNL,DC29F13,16.75,16.78,16.75,16.775,0,36
 DC VEG5O7VCCK5D,DC26G13,0,0,0,0,0,25
 DC VFEMBHO90YRL,DC02H13,0,0,0,0,0,21
-DC VFEMBHO90YRL,DC02H13,0,0,0,0,0,21
 DC VH4NHDPVUHVL,DC04K13,0,0,0,0,0,5
 DC VHW7ZZYLZMDD,DC02M13,0,0,0,0,0,4
 DC VINSIM7C4QV5,DC30N13,0,0,0,0,0,3
diff --git a/Data/future/cme/universes/dc/20120103.csv b/Data/future/cme/universes/dc/20120103.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.59,17.59,17.3,17.45,371,4894
-DC V5E8P9SH0U0X,DC01H12,17.59,17.59,17.3,17.45,371,4894
 DC V67S42RJBGU9,DC01J12,17.39,17.39,17.28,17.39,63,2884
 DC V70C2SDFJCHT,DC30K12,17.24,17.26,17.2,17.24,32,2703
 DC V8PDSL1WA4G1,DC31M12,17.2,17.2,17.14,17.2,31,2318

diff --git a/Data/future/cme/universes/dc/20120104.csv b/Data/future/cme/universes/dc/20120104.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.44,17.85,17.4,17.68,1074,5271
-DC V5E8P9SH0U0X,DC01H12,17.44,17.85,17.4,17.68,1074,5271
 DC V67S42RJBGU9,DC01J12,17.39,17.6,17.39,17.58,107,2934
 DC V70C2SDFJCHT,DC30K12,17.28,17.46,17.26,17.4,75,2764
 DC V8PDSL1WA4G1,DC31M12,17.22,17.4,17.22,17.35,30,2337

diff --git a/Data/future/cme/universes/dc/20120105.csv b/Data/future/cme/universes/dc/20120105.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.95,17.95,17.57,17.74,531,5271
-DC V5E8P9SH0U0X,DC01H12,17.95,17.95,17.57,17.74,531,5271
 DC V67S42RJBGU9,DC01J12,17.69,17.78,17.59,17.73,83,2934
 DC V70C2SDFJCHT,DC30K12,17.5,17.59,17.44,17.55,50,2764
 DC V8PDSL1WA4G1,DC31M12,17.42,17.5,17.39,17.5,24,2337

diff --git a/Data/future/cme/universes/dc/20120106.csv b/Data/future/cme/universes/dc/20120106.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.95,18.04,17.36,17.42,974,4467
-DC V5E8P9SH0U0X,DC01H12,17.95,18.04,17.36,17.42,974,4467
 DC V67S42RJBGU9,DC01J12,17.8,17.87,17.64,17.66,146,3067
 DC V70C2SDFJCHT,DC30K12,17.6,17.62,17.45,17.48,52,2795
 DC V8PDSL1WA4G1,DC31M12,17.59,17.6,17.43,17.43,40,2362

diff --git a/Data/future/cme/universes/dc/20120109.csv b/Data/future/cme/universes/dc/20120109.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.65,17.74,17.14,17.3,644,5493
-DC V5E8P9SH0U0X,DC01H12,17.65,17.74,17.14,17.3,644,5493
 DC V67S42RJBGU9,DC01J12,17.7,17.7,17.6,17.66,42,3084
 DC V70C2SDFJCHT,DC30K12,17.51,17.54,17.48,17.5,25,2809
 DC V8PDSL1WA4G1,DC31M12,17.52,17.52,17.46,17.46,13,2376

diff --git a/Data/future/cme/universes/dc/20120110.csv b/Data/future/cme/universes/dc/20120110.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.78,17.87,17.35,17.47,327,5604
-DC V5E8P9SH0U0X,DC01H12,17.78,17.87,17.35,17.47,327,5604
 DC V67S42RJBGU9,DC01J12,17.66,17.76,17.65,17.67,44,3113
 DC V70C2SDFJCHT,DC30K12,17.51,17.6,17.5,17.59,34,2835
 DC V8PDSL1WA4G1,DC31M12,17.5,17.56,17.46,17.52,23,2391

diff --git a/Data/future/cme/universes/dc/20120111.csv b/Data/future/cme/universes/dc/20120111.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.39,17.83,17.25,17.76,716,5713
-DC V5E8P9SH0U0X,DC01H12,17.39,17.83,17.25,17.76,716,5713
 DC V67S42RJBGU9,DC01J12,17.65,17.71,17.61,17.61,32,3133
 DC V70C2SDFJCHT,DC30K12,17.57,17.62,17.54,17.59,19,2842
 DC V8PDSL1WA4G1,DC31M12,17.54,17.6,17.5,17.6,25,2411

diff --git a/Data/future/cme/universes/dc/20120112.csv b/Data/future/cme/universes/dc/20120112.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.71,17.75,17.01,17.08,1429,5713
-DC V5E8P9SH0U0X,DC01H12,17.71,17.75,17.01,17.08,1429,5713
 DC V67S42RJBGU9,DC01J12,17.61,17.66,17.3,17.31,80,3133
 DC V70C2SDFJCHT,DC30K12,17.57,17.61,17.35,17.35,42,2842
 DC V8PDSL1WA4G1,DC31M12,17.56,17.58,17.37,17.44,38,2411

diff --git a/Data/future/cme/universes/dc/20120113.csv b/Data/future/cme/universes/dc/20120113.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.06,17.37,16.9,17.25,786,4947
-DC V5E8P9SH0U0X,DC01H12,17.06,17.37,16.9,17.25,786,4947
 DC V67S42RJBGU9,DC01J12,17.3,17.3,17.2,17.2,84,3180
 DC V70C2SDFJCHT,DC30K12,17.29,17.33,17.2,17.2,27,2873
 DC V8PDSL1WA4G1,DC31M12,17.35,17.41,17.24,17.24,23,2426

diff --git a/Data/future/cme/universes/dc/20120117.csv b/Data/future/cme/universes/dc/20120117.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,17.21,17.23,16.47,16.62,1426,5531
-DC V5E8P9SH0U0X,DC01H12,17.21,17.23,16.47,16.62,1426,5531
 DC V67S42RJBGU9,DC01J12,17.12,17.12,16.56,16.61,228,3207
 DC V70C2SDFJCHT,DC30K12,17.2,17.2,16.7,16.75,176,2919
 DC V8PDSL1WA4G1,DC31M12,17.25,17.25,16.79,16.9,147,2443

diff --git a/Data/future/cme/universes/dc/20120118.csv b/Data/future/cme/universes/dc/20120118.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,16.61,16.82,16.28,16.51,1233,5268
-DC V5E8P9SH0U0X,DC01H12,16.61,16.82,16.28,16.51,1233,5268
 DC V67S42RJBGU9,DC01J12,16.45,16.74,16.43,16.64,166,3177
 DC V70C2SDFJCHT,DC30K12,16.67,16.89,16.56,16.8,71,2926
 DC V8PDSL1WA4G1,DC31M12,16.85,17.15,16.76,17.05,83,2467

diff --git a/Data/future/cme/universes/dc/20120119.csv b/Data/future/cme/universes/dc/20120119.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,16.87,17.08,16.31,16.43,685,5268
-DC V5E8P9SH0U0X,DC01H12,16.87,17.08,16.31,16.43,685,5268
 DC V67S42RJBGU9,DC01J12,16.82,16.9,16.59,16.67,87,3177
 DC V70C2SDFJCHT,DC30K12,16.92,17,16.78,16.82,44,2926
 DC V8PDSL1WA4G1,DC31M12,17.16,17.19,17.05,17.05,41,2467

diff --git a/Data/future/cme/universes/dc/20120120.csv b/Data/future/cme/universes/dc/20120120.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,16.37,16.67,16.25,16.59,380,5312
-DC V5E8P9SH0U0X,DC01H12,16.37,16.67,16.25,16.59,380,5312
 DC V67S42RJBGU9,DC01J12,16.61,16.64,16.51,16.6,115,3228
 DC V70C2SDFJCHT,DC30K12,16.77,16.77,16.69,16.75,41,2947
 DC V8PDSL1WA4G1,DC31M12,17.07,17.07,16.97,17.02,20,2477

diff --git a/Data/future/cme/universes/dc/20120123.csv b/Data/future/cme/universes/dc/20120123.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,16.54,16.95,16.28,16.56,397,5218
-DC V5E8P9SH0U0X,DC01H12,16.54,16.95,16.28,16.56,397,5218
 DC V67S42RJBGU9,DC01J12,16.6,16.89,16.56,16.8,122,3227
 DC V70C2SDFJCHT,DC30K12,16.8,16.92,16.76,16.81,31,2942
 DC V8PDSL1WA4G1,DC31M12,17.02,17.17,16.95,17.1,87,2486

diff --git a/Data/future/cme/universes/dc/20120124.csv b/Data/future/cme/universes/dc/20120124.csv
@@ -1,6 +1,5 @@
 #symbol_id,symbol_value,open,high,low,close,volume,open_interest
 DC V5E8P9SH0U0X,DC01H12,16.83,16.9,16.53,16.62,653,5352
-DC V5E8P9SH0U0X,DC01H12,16.83,16.9,16.53,16.62,653,5352
 DC V67S42RJBGU9,DC01J12,16.81,16.85,16.74,16.74,56,3233
 DC V70C2SDFJCHT,DC30K12,16.9,16.9,16.76,16.8,33,2930
 DC V8PDSL1WA4G1,DC31M12,17.14,17.14,17.03,17.03,24,2480