/// <summary>
/// Initializes a new instance of the <see cref="FuturesChain"/> class
/// </summary>
/// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
/// <param name="time">The time of this chain</param>
/// <param name="trades">All trade data for the entire futures chain</param>
/// <param name="quotes">All quote data for the entire futures chain</param>
/// <param name="contracts">All contrains for this futures chain</param>
public FuturesChain(Symbol canonicalFutureSymbol, DateTime time, IEnumerable <BaseData> trades, IEnumerable <BaseData> quotes, IEnumerable <FuturesContract> contracts, IEnumerable <Symbol> filteredContracts)
{
Time = time;
Symbol = canonicalFutureSymbol;
DataType = MarketDataType.FuturesChain;
FilteredContracts = filteredContracts.ToHashSet();
Ticks = new Ticks(time);
TradeBars = new TradeBars(time);
QuoteBars = new QuoteBars(time);
Contracts = new FuturesContracts(time);
foreach (var trade in trades)
{
var tick = trade as Tick;
if (tick != null)
{
List <Tick> ticks;
if (!Ticks.TryGetValue(tick.Symbol, out ticks))
{
ticks = new List <Tick>();
Ticks[tick.Symbol] = ticks;
}
ticks.Add(tick);
continue;
}
var bar = trade as TradeBar;
if (bar != null)
{
TradeBars[trade.Symbol] = bar;
}
}
foreach (var quote in quotes)
{
var tick = quote as Tick;
if (tick != null)
{
List <Tick> ticks;
if (!Ticks.TryGetValue(tick.Symbol, out ticks))
{
ticks = new List <Tick>();
Ticks[tick.Symbol] = ticks;
}
ticks.Add(tick);
continue;
}
var bar = quote as QuoteBar;
if (bar != null)
{
QuoteBars[quote.Symbol] = bar;
}
}
foreach (var contract in contracts)
{
Contracts[contract.Symbol] = contract;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="FuturesChain"/> class
/// </summary>
/// <param name="canonicalFutureSymbol">The symbol for this chain.</param>
/// <param name="time">The time of this chain</param>
public FuturesChain(Symbol canonicalFutureSymbol, DateTime time)
{
Time = time;
Symbol = canonicalFutureSymbol;
DataType = MarketDataType.FuturesChain;
Ticks = new Ticks(time);
TradeBars = new TradeBars(time);
QuoteBars = new QuoteBars(time);
Contracts = new FuturesContracts(time);
FilteredContracts = new HashSet <Symbol>();
}