chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.Orders.Fees;
+using QuantConnect.Orders.Fills;
+using QuantConnect.Orders.Slippage;
+
+namespace QuantConnect.Securities.CryptoFuture
+{
+    /// <summary>
+    /// Crypto Future Security Object Implementation for Crypto Future Assets
+    /// </summary>
+    public class CryptoFuture : 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 Crypto Future security
+        /// </summary>
+        /// <param name="symbol">The 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="cache">The security cache</param>
+        public CryptoFuture(Symbol symbol,
+            SecurityExchangeHours exchangeHours,
+            Cash quoteCurrency,
+            Cash baseCurrency,
+            SymbolProperties symbolProperties,
+            ICurrencyConverter currencyConverter,
+            IRegisteredSecurityDataTypesProvider registeredTypes,
+            SecurityCache cache)
+            : base(symbol,
+                quoteCurrency,
+                symbolProperties,
+                new CryptoFutureExchange(exchangeHours),
+                cache,
+                new SecurityPortfolioModel(),
+                new ImmediateFillModel(),
+                IsCryptoCoinFuture(quoteCurrency.Symbol) ? new BinanceCoinFuturesFeeModel() : new BinanceFuturesFeeModel(),
+                NullSlippageModel.Instance,
+                new ImmediateSettlementModel(),
+                Securities.VolatilityModel.Null,
+                new CryptoFutureMarginModel(),
+                new SecurityDataFilter(),
+                new SecurityPriceVariationModel(),
+                currencyConverter,
+                registeredTypes,
+                // only applies for perpetual futures
+                symbol.ID.Date == SecurityIdentifier.DefaultDate ? new BinanceFutureMarginInterestRateModel() : Securities.MarginInterestRateModel.Null
+                )
+        {
+            BaseCurrency = baseCurrency;
+            Holdings = new CryptoFutureHolding(this, currencyConverter);
+        }
+
+        /// <summary>
+        /// Checks whether the security is a crypto coin future
+        /// </summary>
+        /// <returns>True if the security is a crypto coin future</returns>
+        public bool IsCryptoCoinFuture()
+        {
+            return IsCryptoCoinFuture(QuoteCurrency.Symbol);
+        }
+
+        /// <summary>
+        /// Checks whether the security is a crypto coin future
+        /// </summary>
+        /// <param name="quoteCurrency">The security quote currency</param>
+        /// <returns>True if the security is a crypto coin future</returns>
+        private static bool IsCryptoCoinFuture(string quoteCurrency)
+        {
+            return quoteCurrency != "USDT" && quoteCurrency != "BUSD" && quoteCurrency != "USDC";
+        }
+
+        /// <summary>
+        /// Returns the securities symbol
+        /// </summary>
+        public static implicit operator Symbol(CryptoFuture security) => security.Symbol;
+    }
+}