OptionHistory.cs

/*
 * 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 Python.Runtime;
using QuantConnect.Data;
using QuantConnect.Python;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
 
namespace QuantConnect.Research
{
    /// <summary>
    /// Class to manage information from History Request of Options
    /// </summary>
    public class OptionHistory : IEnumerable<Slice>
    {
        private IEnumerable<Slice> _data;
        private PandasConverter _converter;
        private PyObject _dataframe;
 
        /// <summary>
        /// Create a new instance of <see cref="OptionHistory"/>.
        /// </summary>
        /// <param name="data"></param>
        public OptionHistory(IEnumerable<Slice> data)
        {
            _data = data;
            _converter = new PandasConverter();
            _dataframe = _converter.GetDataFrame(_data);
        }
 
        /// <summary>
        /// Gets all data from the History Request that are written in a pandas.DataFrame
        /// </summary>
        /// <returns></returns>
        public PyObject GetAllData()
        {
            return _dataframe;
        }
 
        /// <summary>
        /// Gets all strikes in the option history
        /// </summary>
        /// <returns></returns>
        public PyObject GetStrikes()
        {
            var strikes = _data.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys.Select(z => (double)z.ID.StrikePrice).Distinct()));
            using (Py.GIL())
            {
                return strikes.Distinct().ToList().ToPython();
            }
        }
 
        /// <summary>
        /// Gets all expiry dates in the option history
        /// </summary>
        /// <returns></returns>
        public PyObject GetExpiryDates()
        {
            var expiry = _data.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys.Select(z => z.ID.Date).Distinct()));
            using (Py.GIL())
            {
                return expiry.Distinct().ToList().ToPython();
            }
        }
 
        /// <summary>
        /// Returns a string that represent the current object
        /// </summary>
        /// <returns></returns>
        public override string ToString()
        {
            return _converter.ToString();
        }
 
        #region IEnumerable implementation
 
        public IEnumerator<Slice> GetEnumerator()
        {
            return _data.GetEnumerator();
        }
 
        IEnumerator IEnumerable.GetEnumerator()
        {
            return GetEnumerator();
        }
 
        #endregion
    }
}