Add initialize method to chain providers classes

DownloaderDataProvider/Program.cs

@@ -188,7 +188,9 @@ public static void InitializeConfigurations()
             var historyManager = Composer.Instance.GetExportedValueByTypeName<HistoryProviderManager>(nameof(HistoryProviderManager));
             historyManager.Initialize(new HistoryProviderInitializeParameters(null, null, dataProvider, _dataCacheProvider,
                 mapFileProvider, factorFileProvider, _ => { }, false, new DataPermissionManager(), null, new AlgorithmSettings()));
-            optionChainProvider = new CachingOptionChainProvider(new LiveOptionChainProvider(mapFileProvider, historyManager));
+            var baseOptionChainProvider = new LiveOptionChainProvider();
+            baseOptionChainProvider.Initialize(new(mapFileProvider, historyManager));
+            optionChainProvider = new CachingOptionChainProvider(baseOptionChainProvider);
             Composer.Instance.AddPart(optionChainProvider);
         }
 

Engine/DataFeeds/BacktestingChainProvider.cs

@@ -15,7 +15,6 @@
 
 using System;
 using QuantConnect.Util;
-using QuantConnect.Logging;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
 using System.Collections.Generic;
@@ -30,15 +29,33 @@ namespace QuantConnect.Lean.Engine.DataFeeds
     /// </summary>
     public abstract class BacktestingChainProvider
     {
-        private readonly IHistoryProvider _historyProvider;
+        /// <summary>
+        /// The map file provider instance to use
+        /// </summary>
+        protected IMapFileProvider MapFileProvider { get; private set; }
+
+        /// <summary>
+        /// The history provider instance to use
+        /// </summary>
+        protected IHistoryProvider HistoryProvider { get; private set; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BacktestingChainProvider"/> class
+        /// </summary>
+        protected BacktestingChainProvider()
+        {
+        }
 
         /// <summary>
         /// Initializes a new instance of the <see cref="BacktestingChainProvider"/> class
         /// </summary>
-        /// <param name="historyProvider">The history provider to use</param>
-        protected BacktestingChainProvider(IHistoryProvider historyProvider)
+        /// <param name="parameters">The initialization parameters</param>
+        // TODO: This should be in the chain provider interfaces.
+        // They might be even be unified in a single interface (futures and options chains providers)
+        public void Initialize(ChainProviderInitializeParameters parameters)
         {
-            _historyProvider = historyProvider;
+            HistoryProvider = parameters.HistoryProvider;
+            MapFileProvider = parameters.MapFileProvider;
         }
 
         /// <summary>
@@ -68,7 +85,7 @@ protected IEnumerable<Symbol> GetSymbols(Symbol canonicalSymbol, DateTime date)
                 false,
                 DataNormalizationMode.Raw,
                 TickType.Quote);
-            var history = _historyProvider.GetHistory(new[] { request }, marketHoursEntry.DataTimeZone)?.ToList();
+            var history = HistoryProvider.GetHistory(new[] { request }, marketHoursEntry.DataTimeZone)?.ToList();
 
             var symbols = history == null || history.Count == 0
                 ? Enumerable.Empty<Symbol>()

Engine/DataFeeds/BacktestingChainProviderInitializeParameters.cs

@@ -0,0 +1,26 @@
+/*
+ * 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 QuantConnect.Interfaces;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// DTO for initializing the <see cref="BacktestingOptionChainProvider"/>
+    /// </summary>
+    /// <param name="MapFileProvider"> The map file provider instance to use </param>
+    /// <param name="HistoryProvider"> The history provider to use </param>
+    public record ChainProviderInitializeParameters(IMapFileProvider MapFileProvider, IHistoryProvider HistoryProvider);
+}

Engine/DataFeeds/BacktestingFutureChainProvider.cs

@@ -24,15 +24,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds
     /// </summary>
     public class BacktestingFutureChainProvider : BacktestingChainProvider, IFutureChainProvider
     {
-        /// <summary>
-        /// Initializes a new instance of the <see cref="BacktestingFutureChainProvider"/> class
-        /// </summary>
-        /// <param name="historyProvider">The history provider to use</param>
-        public BacktestingFutureChainProvider(IHistoryProvider historyProvider)
-            : base(historyProvider)
-        {
-        }
-
         /// <summary>
         /// Gets the list of future contracts for a given underlying symbol
         /// </summary>

Engine/DataFeeds/BacktestingOptionChainProvider.cs

@@ -25,24 +25,11 @@ namespace QuantConnect.Lean.Engine.DataFeeds
     /// </summary>
     public class BacktestingOptionChainProvider : BacktestingChainProvider, IOptionChainProvider
     {
-        private IMapFileProvider _mapFileProvider;
-
-        /// <summary>
-        /// Creates a new instance
-        /// </summary>
-        /// <param name="mapFileProvider">The map file provider instance to use</param>
-        /// <param name="historyProvider">The history provider to use</param>
-        public BacktestingOptionChainProvider(IMapFileProvider mapFileProvider, IHistoryProvider historyProvider)
-            : base(historyProvider)
-        {
-            _mapFileProvider = mapFileProvider;
-        }
-
         /// <summary>
         /// Gets the list of option contracts for a given underlying symbol
         /// </summary>
         /// <param name="symbol">The option or the underlying symbol to get the option chain for.
-        /// Providing the option allows targetting an option ticker different than the default e.g. SPXW</param>
+        /// Providing the option allows targeting an option ticker different than the default e.g. SPXW</param>
         /// <param name="date">The date for which to request the option chain (only used in backtesting)</param>
         /// <returns>The list of option contracts</returns>
         public virtual IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
@@ -91,7 +78,7 @@ private Symbol MapUnderlyingSymbol(Symbol underlying, DateTime date)
         {
             if (underlying.RequiresMapping())
             {
-                var mapFileResolver = _mapFileProvider.Get(AuxiliaryDataKey.Create(underlying));
+                var mapFileResolver = MapFileProvider.Get(AuxiliaryDataKey.Create(underlying));
                 var mapFile = mapFileResolver.ResolveMapFile(underlying);
                 var ticker = mapFile.GetMappedSymbol(date, underlying.Value);
                 return underlying.UpdateMappedSymbol(ticker);

Engine/DataFeeds/LiveFutureChainProvider.cs

@@ -27,15 +27,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds
     /// </summary>
     public class LiveFutureChainProvider : BacktestingFutureChainProvider
     {
-        /// <summary>
-        /// Initializes a new instance of the <see cref="LiveFutureChainProvider"/> class
-        /// </summary>
-        /// <param name="historyProvider">The history provider to use</param>
-        public LiveFutureChainProvider(IHistoryProvider historyProvider)
-            : base(historyProvider)
-        {
-        }
-
         /// <summary>
         /// Gets the list of future contracts for a given underlying symbol
         /// </summary>

Engine/DataFeeds/LiveOptionChainProvider.cs

@@ -68,16 +68,6 @@ static LiveOptionChainProvider()
             _client.DefaultRequestHeaders.AcceptLanguage.Add(new StringWithQualityHeaderValue("en-US", 0.5));
         }
 
-        /// <summary>
-        /// Creates a new instance
-        /// </summary>
-        /// <param name="mapFileProvider">The map file provider instance to use</param>
-        /// <param name="historyProvider">The history provider to use</param>
-        public LiveOptionChainProvider(IMapFileProvider mapFileProvider, IHistoryProvider historyProvider)
-            : base(mapFileProvider, historyProvider)
-        {
-        }
-
         /// <summary>
         /// Gets the option chain associated with the underlying Symbol
         /// </summary>

Engine/DataFeeds/Queues/FakeDataQueue.cs

@@ -73,7 +73,9 @@ public FakeDataQueue(IDataAggregator dataAggregator, int dataPointsPerSecondPerS
             {
                 historyManager = Composer.Instance.GetPart<IHistoryProvider>();
             }
-            _optionChainProvider = new LiveOptionChainProvider(mapFileProvider, historyManager);
+            var optionChainProvider = new LiveOptionChainProvider();
+            optionChainProvider.Initialize(new(mapFileProvider, historyManager));
+            _optionChainProvider = optionChainProvider;
 
             _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
             _symbolExchangeTimeZones = new Dictionary<Symbol, TimeZoneOffsetProvider>();

Engine/Setup/BacktestingSetupHandler.cs

@@ -167,10 +167,15 @@ public bool Setup(SetupHandlerParameters parameters)
                     algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
 
                     // set the option chain provider
-                    algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider(parameters.MapFileProvider, algorithm.HistoryProvider)));
+                    var optionChainProvider = new BacktestingOptionChainProvider();
+                    var initParameters = new ChainProviderInitializeParameters(parameters.MapFileProvider, algorithm.HistoryProvider);
+                    optionChainProvider.Initialize(initParameters);
+                    algorithm.SetOptionChainProvider(new CachingOptionChainProvider(optionChainProvider));
 
                     // set the future chain provider
-                    algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider(algorithm.HistoryProvider)));
+                    var futureChainProvider = new BacktestingFutureChainProvider();
+                    futureChainProvider.Initialize(initParameters);
+                    algorithm.SetFutureChainProvider(new CachingFutureChainProvider(futureChainProvider));
 
                     // before we call initialize
                     BaseSetupHandler.LoadBacktestJobAccountCurrency(algorithm, job);

Engine/Setup/BrokerageSetupHandler.cs

@@ -254,8 +254,9 @@ public bool Setup(SetupHandlerParameters parameters)
                         var optionChainProvider = Composer.Instance.GetPart<IOptionChainProvider>();
                         if (optionChainProvider == null)
                         {
-                            optionChainProvider = new CachingOptionChainProvider(
-                                new LiveOptionChainProvider(parameters.MapFileProvider, algorithm.HistoryProvider));
+                            var baseOptionChainProvider = new LiveOptionChainProvider();
+                            baseOptionChainProvider.Initialize(new(parameters.MapFileProvider, algorithm.HistoryProvider));
+                            optionChainProvider = new CachingOptionChainProvider(baseOptionChainProvider);
                             Composer.Instance.AddPart(optionChainProvider);
                         }
                         // set the option chain provider
@@ -264,7 +265,9 @@ public bool Setup(SetupHandlerParameters parameters)
                         var futureChainProvider = Composer.Instance.GetPart<IFutureChainProvider>();
                         if (futureChainProvider == null)
                         {
-                            futureChainProvider = new CachingFutureChainProvider(new LiveFutureChainProvider(algorithm.HistoryProvider));
+                            var baseFutureChainProvider = new LiveFutureChainProvider();
+                            baseFutureChainProvider.Initialize(new(parameters.MapFileProvider, algorithm.HistoryProvider));
+                            futureChainProvider = new CachingFutureChainProvider(baseFutureChainProvider);
                             Composer.Instance.AddPart(futureChainProvider);
                         }
                         // set the future chain provider

Research/QuantBook.cs

@@ -199,8 +199,13 @@ public QuantBook() : base()
                     )
                 );
 
-                SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider(mapFileProvider, HistoryProvider)));
-                SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider(HistoryProvider)));
+                var initParameters = new ChainProviderInitializeParameters(mapFileProvider, HistoryProvider);
+                var optionChainProvider = new BacktestingOptionChainProvider();
+                optionChainProvider.Initialize(initParameters);
+                var futureChainProvider = new BacktestingFutureChainProvider();
+                futureChainProvider.Initialize(initParameters);
+                SetOptionChainProvider(new CachingOptionChainProvider(optionChainProvider));
+                SetFutureChainProvider(new CachingFutureChainProvider(futureChainProvider));
 
                 SetAlgorithmMode(AlgorithmMode.Research);
                 SetDeploymentTarget(Config.GetValue("deployment-target", DeploymentTarget.LocalPlatform));

Tests/Algorithm/AlgorithmChainsTests.cs

@@ -43,10 +43,13 @@ public void SetUp()
             _algorithm.SetHistoryProvider(TestGlobals.HistoryProvider);
             _algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
 
-            _optionChainProvider = new BacktestingOptionChainProvider(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider);
+            var initParameters = new ChainProviderInitializeParameters(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider);
+            _optionChainProvider = new BacktestingOptionChainProvider();
+            _optionChainProvider.Initialize(initParameters);
             _algorithm.SetOptionChainProvider(_optionChainProvider);
 
-            _futureChainProvider = new BacktestingFutureChainProvider(TestGlobals.HistoryProvider);
+            _futureChainProvider = new BacktestingFutureChainProvider();
+            _futureChainProvider.Initialize(initParameters);
             _algorithm.SetFutureChainProvider(_futureChainProvider);
         }
 

Tests/Algorithm/AlgorithmHistoryTests.cs

@@ -4334,7 +4334,9 @@ private static void AssertFuturesHistoryWithDifferentContractDepthOffsetsResults
         {
             CheckThatHistoryResultsHaveEqualBarCount(historyResults, expectedHistoryCount);
 
-            var futureChainProvider = new BacktestingFutureChainProvider(TestGlobals.HistoryProvider);
+            var futureChainProvider = new BacktestingFutureChainProvider();
+            futureChainProvider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider));
+
             var firstDateTime = historyResults[0][0].EndTime;
             var futureChain = futureChainProvider.GetFutureContractList(expectedSymbol, firstDateTime).ToList();