virtual protected Future FindFuture(Feed feed, TradeInfo info, IList<Contract> contracts, string ticker, out Contract contract)
{
contract = null;
try
{
//First Find Contract;
var words = ticker.Split(' ');
string symbol = ticker;
if (words.Length == 2)
symbol = words[0];
else if (words.Length == 3)
symbol = words[0] + " " + words[1];
foreach (var c in contracts)
{
if (ticker.StartsWith(c.TickerSymbol) && ticker.EndsWith(c.TickerSuffix))
{
contract = c;
break;
}
}
if (contract == null) return null;
var fromDate = info.ReportDate.AddYears(1) > info.Maturity ? info.ReportDate : info.Maturity.AddMonths(-1);
var exps = GetExpirations(feed, contract, fromDate);
if (exps == null || exps.Count == 0) return null;
foreach (var exp in exps)
{
if (contract.GetFutureCode(exp).EndsWith(symbol))
return contract.CreateFuture(exp);
}
return null;
}
catch (Exception x)
{
Logger.Error("FindFuture " + ticker, x);
return null;
}
}
