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chore: import upstream snapshot with attribution

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wehub-resource-sync
2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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Common/Securities/Forex/Forex.cs
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/*
* 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 System;
using QuantConnect.Data;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Util;
namespace QuantConnect.Securities.Forex
{
/// <summary>
/// FOREX Security Object Implementation for FOREX Assets
/// </summary>
/// <seealso cref="Security"/>
public class Forex : Security, IBaseCurrencySymbol
{
/// <summary>
/// Gets the currency acquired by going long this currency pair
/// </summary>
/// <remarks>
/// For example, the EUR/USD has a base currency of the euro, and as a result
/// of going long the EUR/USD a trader is acquiring euros in exchange for US dollars
/// </remarks>
public Cash BaseCurrency { get; protected set; }
/// <summary>
/// Constructor for the forex security
/// </summary>
/// <param name="exchangeHours">Defines the hours this exchange is open</param>
/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
/// <param name="baseCurrency">The cash object that represent the base currency</param>
/// <param name="config">The subscription configuration for this security</param>
/// <param name="symbolProperties">The symbol properties for this security</param>
/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
/// instances into units of the account currency</param>
/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
public Forex(SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
Cash baseCurrency,
SubscriptionDataConfig config,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes)
: base(config,
quoteCurrency,
symbolProperties,
new ForexExchange(exchangeHours),
new ForexCache(),
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new InteractiveBrokersFeeModel(),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new ForexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
BaseCurrency = baseCurrency;
Holdings = new ForexHolding(this, currencyConverter);
}
/// <summary>
/// Constructor for the forex security
/// </summary>
/// <param name="symbol">The security's symbol</param>
/// <param name="exchangeHours">Defines the hours this exchange is open</param>
/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
/// <param name="baseCurrency">The cash object that represent the base currency</param>
/// <param name="symbolProperties">The symbol properties for this security</param>
/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
/// instances into units of the account currency</param>
/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
/// <param name="securityCache">Cache for storing Security data</param>
public Forex(Symbol symbol,
SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
Cash baseCurrency,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes,
SecurityCache securityCache)
: base(symbol,
quoteCurrency,
symbolProperties,
new ForexExchange(exchangeHours),
securityCache,
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new InteractiveBrokersFeeModel(),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new ForexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
BaseCurrency = baseCurrency;
Holdings = new ForexHolding(this, currencyConverter);
}
/// <summary>
/// Decomposes the specified currency pair into a base and quote currency provided as out parameters
/// </summary>
/// <param name="currencyPair">The input currency pair to be decomposed, for example, "EURUSD"</param>
/// <param name="baseCurrency">The output base currency</param>
/// <param name="quoteCurrency">The output quote currency</param>
public static void DecomposeCurrencyPair(string currencyPair, out string baseCurrency, out string quoteCurrency)
{
if (!CurrencyPairUtil.IsForexDecomposable(currencyPair))
{
throw new ArgumentException($"Currency pairs must be exactly 6 characters: {currencyPair}");
}
baseCurrency = currencyPair.Substring(0, 3);
quoteCurrency = currencyPair.Substring(3);
}
/// <summary>
/// Returns the securities symbol
/// </summary>
public static implicit operator Symbol(Forex security) => security.Symbol;
}
}
Common/Securities/Forex/ForexCache.cs
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/*
* 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.
*/
namespace QuantConnect.Securities.Forex
{
/// <summary>
/// Forex specific caching support
/// </summary>
/// <remarks>Class is vitually empty and scheduled to be made obsolete. Potentially could be used for user data storage.</remarks>
/// <seealso cref="SecurityCache"/>
public class ForexCache : SecurityCache
{
/// <summary>
/// Initialize forex cache
/// </summary>
public ForexCache()
: base()
{
//Nothing to do:
}
} //End ForexCache Class
} //End Namespace
Common/Securities/Forex/ForexDataFilter.cs
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/*
* 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 QuantConnect.Data;
namespace QuantConnect.Securities.Forex
{
/// <summary>
/// Forex packet by packet data filtering mechanism for dynamically detecting bad ticks.
/// </summary>
/// <seealso cref="SecurityDataFilter"/>
public class ForexDataFilter : SecurityDataFilter
{
/// <summary>
/// Initialize forex data filter class:
/// </summary>
public ForexDataFilter()
: base()
{
}
/// <summary>
/// Forex data filter: a true value means accept the packet, a false means fail.
/// </summary>
/// <param name="data">Data object we're scanning to filter</param>
/// <param name="vehicle">Security asset</param>
public override bool Filter(Security vehicle, BaseData data)
{
//FX data is from FXCM and fairly clean already. Accept all packets.
return true;
}
} //End Filter
} //End Namespace
Common/Securities/Forex/ForexExchange.cs
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/*
* 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.
*/
namespace QuantConnect.Securities.Forex
{
/// <summary>
/// Forex exchange class - information and helper tools for forex exchange properties
/// </summary>
/// <seealso cref="SecurityExchange"/>
public class ForexExchange : SecurityExchange
{
/// <summary>
/// Number of trading days per year for this security, used for performance statistics.
/// </summary>
public override int TradingDaysPerYear
{
// 365 - Saturdays = 313;
get { return 313; }
}
/// <summary>
/// Initializes a new instance of the <see cref="ForexExchange"/> class using market hours
/// derived from the market-hours-database for the FXCM Forex market
/// </summary>
public ForexExchange()
: base(MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.FXCM, null, SecurityType.Forex))
{
}
/// <summary>
/// Initializes a new instance of the <see cref="ForexExchange"/> class using the specified
/// exchange hours to determine open/close times
/// </summary>
/// <param name="exchangeHours">Contains the weekly exchange schedule plus holidays</param>
public ForexExchange(SecurityExchangeHours exchangeHours)
: base(exchangeHours)
{
}
}
}
Common/Securities/Forex/ForexHolding.cs
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/*
* 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 static System.Math;
namespace QuantConnect.Securities.Forex
{
/// <summary>
/// FOREX holdings implementation of the base securities class
/// </summary>
/// <seealso cref="SecurityHolding"/>
public class ForexHolding : SecurityHolding
{
/// <summary>
/// Forex Holding Class
/// </summary>
/// <param name="security">The forex security being held</param>
/// <param name="currencyConverter">A currency converter instance</param>
public ForexHolding(Forex security, ICurrencyConverter currencyConverter)
: base(security, currencyConverter)
{
}
/// <summary>
/// Profit in pips if we closed the holdings right now including the approximate fees
/// </summary>
public decimal TotalCloseProfitPips()
{
var pipDecimal = Security.SymbolProperties.MinimumPriceVariation * 10;
var exchangeRate = Security.QuoteCurrency.ConversionRate;
var pipCashCurrencyValue = (pipDecimal * AbsoluteQuantity * exchangeRate);
return Round((TotalCloseProfit() / pipCashCurrencyValue), 1);
}
}
}