public IEnumerable <Symbol> PerformSelection(DateTime utcTime, BaseDataCollection data)
{
var result = SelectSymbols(utcTime, data);
if (ReferenceEquals(result, Unchanged))
{
return(Unchanged);
}
var selections = result.ToHashSet();
var hasDiffs = _previousSelections.Except(selections).Union(selections.Except(_previousSelections)).Any();
_previousSelections = selections;
if (!hasDiffs)
{
return(Unchanged);
}
return(selections);
}
public override IEnumerable <Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
{
var optionsUniverseDataCollection = data as OptionChainUniverseDataCollection;
if (optionsUniverseDataCollection == null)
{
throw new ArgumentException(string.Format("Expected data of type '{0}'", typeof(OptionChainUniverseDataCollection).Name));
}
_underlying = optionsUniverseDataCollection.Underlying ?? _underlying;
optionsUniverseDataCollection.Underlying = _underlying;
if (_underlying == null || data.Data.Count == 0)
{
return(Unchanged);
}
var availableContracts = optionsUniverseDataCollection.Data.Select(x => x.Symbol);
var results = _option.ContractFilter.Filter(availableContracts, _underlying).ToHashSet();
optionsUniverseDataCollection.FilteredContracts = results;
return(results);
}
public override IEnumerable <Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
{
return(_universeSelector(data.Data));
}
public abstract IEnumerable <Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data);