chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using Newtonsoft.Json;
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using QuantConnect.Util;
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namespace QuantConnect.Securities.FutureOption.Api
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{
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/// <summary>
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/// CME Option Chain Quotes API call root response
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/// </summary>
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public class CMEOptionChainQuotes
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{
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/// <summary>
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/// The future options contracts with/without settlements
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/// </summary>
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[JsonProperty("optionContractQuotes")]
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public List<CMEOptionChainQuoteEntry> Quotes { get; private set; }
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}
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/// <summary>
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/// Option chain entry quotes, containing strike price
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/// </summary>
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public class CMEOptionChainQuoteEntry
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{
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/// <summary>
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/// Strike price of the future option quote entry
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/// </summary>
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[JsonProperty("strikePrice"), JsonConverter(typeof(StringDecimalJsonConverter), true)]
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public decimal StrikePrice { get; private set; }
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}
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}
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@@ -0,0 +1,141 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using Newtonsoft.Json;
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using QuantConnect.Util;
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namespace QuantConnect.Securities.FutureOption.Api
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{
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/// <summary>
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/// CME options trades, dates, and expiration list API call root response
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/// </summary>
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/// <remarks>Returned as a List of this class</remarks>
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public class CMEOptionsTradeDatesAndExpiration
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{
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/// <summary>
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/// Describes the type of future option this entry is
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/// </summary>
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[JsonProperty("label")]
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public string Label { get; private set; }
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/// <summary>
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/// Name of the product
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/// </summary>
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[JsonProperty("name")]
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public string Name { get; private set; }
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/// <summary>
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/// Option type. "AME" for American, "EUR" for European.
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/// Note that there are other types such as weekly, but we
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/// only support American options for now.
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/// </summary>
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[JsonProperty("optionType")]
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public string OptionType { get; private set; }
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/// <summary>
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/// Product ID of the option
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/// </summary>
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[JsonProperty("productId")]
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public int ProductId { get; private set; }
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/// <summary>
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/// Is Daily option
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/// </summary>
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[JsonProperty("daily")]
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public bool Daily { get; private set; }
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/// <summary>
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/// ???
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/// </summary>
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[JsonProperty("sto")]
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public bool Sto { get; private set; }
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/// <summary>
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/// Is weekly option
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/// </summary>
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[JsonProperty("weekly")]
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public bool Weekly { get; private set; }
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/// <summary>
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/// Expirations of the future option
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/// </summary>
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[JsonProperty("expirations")]
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public List<CMEOptionsExpiration> Expirations { get; private set; }
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}
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/// <summary>
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/// Future options Expiration entries. These are useful because we can derive the
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/// future chain from this data, since FOP and FUT share a 1-1 expiry code.
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/// </summary>
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public class CMEOptionsExpiration
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{
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/// <summary>
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/// Date of expiry
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/// </summary>
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[JsonProperty("label")]
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public string Label { get; private set; }
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/// <summary>
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/// Product ID of the expiring asset (usually future option)
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/// </summary>
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[JsonProperty("productId")]
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public int ProductId { get; private set; }
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/// <summary>
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/// Contract ID of the asset
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/// </summary>
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/// <remarks>Used to search settlements for the option chain</remarks>
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[JsonProperty("contractId")]
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public string ContractId { get; private set; }
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/// <summary>
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/// Contract month code formatted as [FUTURE_MONTH_LETTER(1)][YEAR(1)]
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/// </summary>
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[JsonProperty("expiration")]
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public CMEOptionExpirationEntry Expiration { get; private set; }
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}
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/// <summary>
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/// Chicago Mercantile Exchange Option Expiration Entry
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/// </summary>
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public class CMEOptionExpirationEntry
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{
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/// <summary>
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/// Month of expiry
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/// </summary>
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[JsonProperty("month")]
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public int Month { get; private set; }
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/// <summary>
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/// Year of expiry
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/// </summary>
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[JsonProperty("year")]
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public int Year { get; private set; }
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/// <summary>
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/// Expiration code (two letter)
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/// </summary>
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[JsonProperty("code")]
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public string Code { get; private set; }
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/// <summary>
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/// Expiration code (three letter)
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/// </summary>
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[JsonProperty("twoDigitsCode")]
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public string TwoDigitsCode { get; private set; }
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}
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}
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@@ -0,0 +1,98 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using Newtonsoft.Json;
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namespace QuantConnect.Securities.FutureOption.Api
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{
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/// <summary>
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/// Product slate API call root response
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/// </summary>
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public class CMEProductSlateV2ListResponse
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{
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/// <summary>
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/// Products matching the search criteria
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/// </summary>
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[JsonProperty("products")]
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public List<CMEProductSlateV2ListEntry> Products { get; private set; }
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}
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/// <summary>
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/// Product entry describing the asset matching the search criteria
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/// </summary>
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public class CMEProductSlateV2ListEntry
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{
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/// <summary>
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/// CME ID for the asset
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/// </summary>
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[JsonProperty("id")]
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public int Id { get; private set; }
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/// <summary>
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/// Name of the product (e.g. E-mini NASDAQ futures)
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/// </summary>
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[JsonProperty("name")]
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public string Name { get; private set; }
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/// <summary>
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/// Clearing code
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/// </summary>
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[JsonProperty("clearing")]
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public string Clearing { get; private set; }
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/// <summary>
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/// GLOBEX ticker
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/// </summary>
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[JsonProperty("globex")]
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public string Globex { get; private set; }
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/// <summary>
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/// Is traded in the GLOBEX venue
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/// </summary>
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[JsonProperty("globexTraded")]
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public bool GlobexTraded { get; private set; }
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/// <summary>
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/// Venues this asset trades on
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/// </summary>
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[JsonProperty("venues")]
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public string Venues { get; private set; }
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/// <summary>
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/// Asset type this product is cleared as (i.e. "Futures", "Options")
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/// </summary>
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[JsonProperty("cleared")]
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public string Cleared { get; private set; }
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/// <summary>
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/// Exchange the asset trades on (i.e. CME, NYMEX, COMEX, CBOT)
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/// </summary>
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[JsonProperty("exch")]
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public string Exchange { get; private set; }
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/// <summary>
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/// Asset class group ID - describes group of asset class (e.g. equities, agriculture, etc.)
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/// </summary>
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[JsonProperty("groupId")]
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public int GroupId { get; private set; }
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/// <summary>
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/// More specific ID describing product
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/// </summary>
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[JsonProperty("subGroupId")]
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public int subGroupId { get; private set; }
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}
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}
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@@ -0,0 +1,46 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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namespace QuantConnect.Securities.FutureOption
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{
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/// <summary>
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/// Provides a means to get the scaling factor for CME's quotes API
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/// </summary>
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public class CMEStrikePriceScalingFactors
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{
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/// <summary>
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/// CME's option chain quotes strike price scaling factor
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/// </summary>
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private static readonly IReadOnlyDictionary<string, decimal> _scalingFactors = new Dictionary<string, decimal>
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{
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{ "SI", 0.1m },
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{ "NG", 5m }
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};
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/// <summary>
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/// Gets the option chain strike price scaling factor for the quote response from CME
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/// </summary>
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/// <param name="underlyingFuture">Underlying future Symbol to normalize</param>
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/// <returns>Scaling factor for the strike price</returns>
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public static decimal GetScaleFactor(Symbol underlyingFuture)
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{
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return _scalingFactors.ContainsKey(underlyingFuture.ID.Symbol)
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? _scalingFactors[underlyingFuture.ID.Symbol]
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: 1m;
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}
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}
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}
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