chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,196 @@
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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 QuantConnect.Data;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Orders.Slippage;
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namespace QuantConnect.Securities.Cfd
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{
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/// <summary>
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/// CFD Security Object Implementation for CFD Assets
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/// </summary>
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/// <seealso cref="Security"/>
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public class Cfd : Security
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{
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private readonly ContractSymbolProperties _symbolProperties;
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/// <summary>
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/// Constructor for the CFD security
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/// </summary>
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/// <param name="exchangeHours">Defines the hours this exchange is open</param>
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/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
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/// <param name="config">The subscription configuration for this security</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
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/// instances into units of the account currency</param>
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/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
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public Cfd(SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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SubscriptionDataConfig config,
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SymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes)
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: this(exchangeHours, quoteCurrency, config, new ContractSymbolProperties(symbolProperties), currencyConverter, registeredTypes)
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{
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}
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/// <summary>
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/// Constructor for the CFD security
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/// </summary>
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/// <param name="exchangeHours">Defines the hours this exchange is open</param>
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/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
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/// <param name="config">The subscription configuration for this security</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
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/// instances into units of the account currency</param>
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/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
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public Cfd(SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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SubscriptionDataConfig config,
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ContractSymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes)
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: base(config,
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quoteCurrency,
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symbolProperties,
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new CfdExchange(exchangeHours),
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new CfdCache(),
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new SecurityPortfolioModel(),
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new ImmediateFillModel(),
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new ConstantFeeModel(0),
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NullSlippageModel.Instance,
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new ImmediateSettlementModel(),
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Securities.VolatilityModel.Null,
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new SecurityMarginModel(50m),
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new CfdDataFilter(),
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new SecurityPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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Securities.MarginInterestRateModel.Null
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)
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{
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Holdings = new CfdHolding(this, currencyConverter);
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_symbolProperties = symbolProperties;
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}
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/// <summary>
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/// Constructor for the CFD security
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/// </summary>
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/// <param name="symbol">The security's symbol</param>
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/// <param name="exchangeHours">Defines the hours this exchange is open</param>
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/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
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/// instances into units of the account currency</param>
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/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
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/// <param name="securityCache">Cache for storing Security data</param>
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public Cfd(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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SymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache securityCache)
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: this(symbol, exchangeHours, quoteCurrency, new ContractSymbolProperties(symbolProperties), currencyConverter, registeredTypes, securityCache)
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{
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}
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/// <summary>
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/// Constructor for the CFD security
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/// </summary>
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/// <param name="symbol">The security's symbol</param>
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/// <param name="exchangeHours">Defines the hours this exchange is open</param>
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/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
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/// instances into units of the account currency</param>
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/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
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/// <param name="securityCache">Cache for storing Security data</param>
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public Cfd(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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ContractSymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache securityCache)
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: base(symbol,
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quoteCurrency,
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symbolProperties,
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new CfdExchange(exchangeHours),
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securityCache,
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new SecurityPortfolioModel(),
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new ImmediateFillModel(),
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new ConstantFeeModel(0),
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NullSlippageModel.Instance,
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new ImmediateSettlementModel(),
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Securities.VolatilityModel.Null,
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new SecurityMarginModel(50m),
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new CfdDataFilter(),
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new SecurityPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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Securities.MarginInterestRateModel.Null
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)
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{
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Holdings = new CfdHolding(this, currencyConverter);
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_symbolProperties = symbolProperties;
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}
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/// <summary>
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/// Gets or sets the contract multiplier for this CFD security
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/// </summary>
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public decimal ContractMultiplier
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{
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get { return _symbolProperties.ContractMultiplier; }
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set { _symbolProperties.SetContractMultiplier(value); }
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}
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/// <summary>
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/// Gets the minimum price variation for this CFD security
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/// </summary>
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public decimal MinimumPriceVariation
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{
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get { return SymbolProperties.MinimumPriceVariation; }
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}
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/// <summary>
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/// Decomposes the specified currency pair into a base and quote currency provided as out parameters
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/// </summary>
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/// <param name="symbol">The input symbol to be decomposed</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="baseCurrency">The output base currency</param>
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/// <param name="quoteCurrency">The output quote currency</param>
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public static void DecomposeCurrencyPair(Symbol symbol, SymbolProperties symbolProperties, out string baseCurrency, out string quoteCurrency)
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{
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quoteCurrency = symbolProperties.QuoteCurrency;
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if (symbol.Value.EndsWith(quoteCurrency))
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{
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baseCurrency = symbol.Value.RemoveFromEnd(quoteCurrency);
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}
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else
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{
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throw new InvalidOperationException($"Symbol doesn't end with {quoteCurrency}");
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}
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}
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/// <summary>
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/// Returns the securities symbol
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/// </summary>
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public static implicit operator Symbol(Cfd security) => security.Symbol;
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}
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}
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@@ -0,0 +1,26 @@
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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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namespace QuantConnect.Securities.Cfd
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{
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/// <summary>
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/// CFD specific caching support
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/// </summary>
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/// <remarks>Class is virtually empty and scheduled to be made obsolete. Potentially could be used for user data storage.</remarks>
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/// <seealso cref="SecurityCache"/>
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public class CfdCache : SecurityCache
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{
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}
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}
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@@ -0,0 +1,25 @@
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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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namespace QuantConnect.Securities.Cfd
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{
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/// <summary>
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/// CFD packet by packet data filtering mechanism for dynamically detecting bad ticks.
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/// </summary>
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/// <seealso cref="SecurityDataFilter"/>
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public class CfdDataFilter : SecurityDataFilter
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{
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}
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}
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@@ -0,0 +1,43 @@
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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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namespace QuantConnect.Securities.Cfd
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{
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/// <summary>
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/// CFD exchange class - information and helper tools for CFD exchange properties
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/// </summary>
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/// <seealso cref="SecurityExchange"/>
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public class CfdExchange : SecurityExchange
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{
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/// <summary>
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/// Number of trading days per year for this security, used for performance statistics.
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/// </summary>
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public override int TradingDaysPerYear
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{
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// 365 - Saturdays = 313;
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get { return 313; }
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="CfdExchange"/> class using the specified
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/// exchange hours to determine open/close times
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/// </summary>
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/// <param name="exchangeHours">Contains the weekly exchange schedule plus holidays</param>
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public CfdExchange(SecurityExchangeHours exchangeHours)
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: base(exchangeHours)
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{
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}
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}
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}
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@@ -0,0 +1,34 @@
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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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namespace QuantConnect.Securities.Cfd
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{
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/// <summary>
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/// CFD holdings implementation of the base securities class
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/// </summary>
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/// <seealso cref="SecurityHolding"/>
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public class CfdHolding : SecurityHolding
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{
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/// <summary>
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/// CFD Holding Class constructor
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/// </summary>
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/// <param name="security">The CFD security being held</param>
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/// <param name="currencyConverter">A currency converter instance</param>
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public CfdHolding(Cfd security, ICurrencyConverter currencyConverter)
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: base(security, currencyConverter)
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{
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}
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}
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}
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