public OptionChain(Symbol canonicalOptionSymbol, DateTime time, BaseData underlying, IEnumerable <BaseData> trades, IEnumerable <BaseData> quotes, IEnumerable <OptionContract> contracts, IEnumerable <Symbol> filteredContracts)
{
Time = time;
Underlying = underlying;
Symbol = canonicalOptionSymbol;
DataType = MarketDataType.OptionChain;
FilteredContracts = filteredContracts.ToHashSet();
Ticks = new Ticks(time);
TradeBars = new TradeBars(time);
QuoteBars = new QuoteBars(time);
Contracts = new OptionContracts(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;
}
}
public OptionChain(Symbol canonicalOptionSymbol, DateTime time)
{
Time = time;
Symbol = canonicalOptionSymbol;
DataType = MarketDataType.OptionChain;
Ticks = new Ticks(time);
TradeBars = new TradeBars(time);
QuoteBars = new QuoteBars(time);
Contracts = new OptionContracts(time);
FilteredContracts = new HashSet <Symbol>();
}