chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,110 @@
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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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Securities.CurrencyConversion
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{
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/// <summary>
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/// Provides an implementation of <see cref="ICurrencyConversion"/> with a fixed conversion rate
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/// </summary>
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public class ConstantCurrencyConversion : ICurrencyConversion
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{
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private decimal _conversionRate;
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/// <summary>
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/// Event fired when the conversion rate is updated
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/// </summary>
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public event EventHandler<decimal> ConversionRateUpdated;
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/// <summary>
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/// The currency this conversion converts from
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/// </summary>
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public string SourceCurrency { get; }
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/// <summary>
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/// The currency this conversion converts to
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/// </summary>
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public string DestinationCurrency { get; }
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/// <summary>
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/// The current conversion rate
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/// </summary>
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public decimal ConversionRate
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{
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get
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{
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return _conversionRate;
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}
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set
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{
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if (_conversionRate != value)
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{
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// only update if there was actually one
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_conversionRate = value;
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ConversionRateUpdated?.Invoke(this, value);
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}
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}
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}
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/// <summary>
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/// The securities which the conversion rate is based on
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/// </summary>
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public IEnumerable<Security> ConversionRateSecurities => Enumerable.Empty<Security>();
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/// <summary>
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/// Initializes a new instance of the <see cref="ConstantCurrencyConversion"/> class.
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/// </summary>
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/// <param name="sourceCurrency">The currency this conversion converts from</param>
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/// <param name="destinationCurrency">The currency this conversion converts to</param>
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/// <param name="conversionRate">The conversion rate between the currencies</param>
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public ConstantCurrencyConversion(string sourceCurrency, string destinationCurrency, decimal conversionRate = 1m)
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{
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SourceCurrency = sourceCurrency;
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DestinationCurrency = destinationCurrency;
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ConversionRate = conversionRate;
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}
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/// <summary>
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/// Marks the conversion rate as potentially outdated, needing an update based on the latest data
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/// </summary>
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/// <remarks>This conversion is not based on securities, so we don't really need an update</remarks>
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public void Update()
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{
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}
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/// <summary>
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/// Creates a new identity conversion, where the conversion rate is set to 1 and the source and destination currencies might the same
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/// </summary>
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/// <param name="sourceCurrency">The currency this conversion converts from</param>
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/// <param name="destinationCurrency">The currency this conversion converts to. If null, the destination and source currencies are the same</param>
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/// <returns>The identity currency conversion</returns>
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public static ConstantCurrencyConversion Identity(string sourceCurrency, string destinationCurrency = null)
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{
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return new ConstantCurrencyConversion(sourceCurrency, destinationCurrency ?? sourceCurrency);
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}
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/// <summary>
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/// Returns an instance of <see cref="ConstantCurrencyConversion"/> that represents a null conversion
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/// </summary>
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public static ConstantCurrencyConversion Null(string sourceCurrency, string destinationCurrency)
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{
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return new ConstantCurrencyConversion(sourceCurrency, destinationCurrency, 0m);
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}
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}
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}
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@@ -0,0 +1,58 @@
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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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*/
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Securities.CurrencyConversion
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{
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/// <summary>
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/// Represents a type capable of calculating the conversion rate between two currencies
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/// </summary>
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public interface ICurrencyConversion
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{
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/// <summary>
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/// Event fired when the conversion rate is updated
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/// </summary>
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event EventHandler<decimal> ConversionRateUpdated;
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/// <summary>
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/// The currency this conversion converts from
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/// </summary>
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string SourceCurrency { get; }
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/// <summary>
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/// The currency this conversion converts to
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/// </summary>
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string DestinationCurrency { get; }
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/// <summary>
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/// The current conversion rate between <see cref="SourceCurrency"/> and <see cref="DestinationCurrency"/>
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/// </summary>
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decimal ConversionRate { get; set; }
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/// <summary>
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/// The securities which the conversion rate is based on
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/// </summary>
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IEnumerable<Security> ConversionRateSecurities { get; }
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/// <summary>
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/// Updates the internal conversion rate based on the latest data, and returns the new conversion rate
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/// </summary>
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/// <returns>The new conversion rate</returns>
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void Update();
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}
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}
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@@ -0,0 +1,281 @@
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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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Util;
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namespace QuantConnect.Securities.CurrencyConversion
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{
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/// <summary>
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/// Provides an implementation of <see cref="ICurrencyConversion"/> to find and use multi-leg currency conversions
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/// </summary>
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public class SecurityCurrencyConversion : ICurrencyConversion
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{
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/// <summary>
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/// Class that holds the information of a single step in a multi-leg currency conversion
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/// </summary>
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private class Step
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{
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/// <summary>
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/// The security used in this conversion step
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/// </summary>
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public Security RateSecurity { get; }
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/// <summary>
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/// Whether the price of the security must be inverted in the conversion
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/// </summary>
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public bool Inverted { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="Step"/> class
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/// </summary>
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/// <param name="rateSecurity">The security to use in this currency conversion step</param>
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/// <param name="inverted">Whether the price of the security should be inverted in the conversion</param>
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public Step(Security rateSecurity, bool inverted)
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{
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RateSecurity = rateSecurity;
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Inverted = inverted;
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}
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}
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private readonly List<Step> _steps;
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private decimal _conversionRate;
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private bool _conversionRateNeedsUpdate;
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/// <summary>
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/// Event fired when the conversion rate is updated
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/// </summary>
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public event EventHandler<decimal> ConversionRateUpdated;
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/// <summary>
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/// The currency this conversion converts from
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/// </summary>
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public string SourceCurrency { get; }
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/// <summary>
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/// The currency this conversion converts to
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/// </summary>
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public string DestinationCurrency { get; }
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/// <summary>
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/// The current conversion rate
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/// </summary>
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public decimal ConversionRate
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{
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get
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{
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if (_conversionRateNeedsUpdate)
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{
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var newConversionRate = 1m;
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var stepWithoutDataFound = false;
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_steps.ForEach(step =>
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{
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if (stepWithoutDataFound)
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{
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return;
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}
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var lastData = step.RateSecurity.GetLastData();
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if (lastData == null || lastData.Price == 0m)
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{
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newConversionRate = 0m;
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stepWithoutDataFound = true;
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return;
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}
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if (step.Inverted)
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{
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newConversionRate /= lastData.Price;
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}
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else
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{
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newConversionRate *= lastData.Price;
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}
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});
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_conversionRateNeedsUpdate = false;
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_conversionRate = newConversionRate;
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ConversionRateUpdated?.Invoke(this, _conversionRate);
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}
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return _conversionRate;
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}
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set
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{
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if (_conversionRate != value)
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{
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// only update if there was actually one
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_conversionRate = value;
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_conversionRateNeedsUpdate = false;
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ConversionRateUpdated?.Invoke(this, _conversionRate);
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}
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}
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}
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/// <summary>
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/// The securities which the conversion rate is based on
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/// </summary>
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public IEnumerable<Security> ConversionRateSecurities => _steps.Select(step => step.RateSecurity);
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityCurrencyConversion"/> class.
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/// This constructor is intentionally private as only <see cref="LinearSearch"/> is supposed to create it.
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/// </summary>
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/// <param name="sourceCurrency">The currency this conversion converts from</param>
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/// <param name="destinationCurrency">The currency this conversion converts to</param>
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/// <param name="steps">The steps between sourceCurrency and destinationCurrency</param>
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private SecurityCurrencyConversion(string sourceCurrency, string destinationCurrency, List<Step> steps)
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{
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SourceCurrency = sourceCurrency;
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DestinationCurrency = destinationCurrency;
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_steps = steps;
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}
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/// <summary>
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/// Signals an updates to the internal conversion rate based on the latest data.
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/// It will set the conversion rate as potentially outdated so it gets re-calculated.
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/// </summary>
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public void Update()
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{
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_conversionRateNeedsUpdate = true;
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}
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/// <summary>
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/// Finds a conversion between two currencies by looking through all available 1 and 2-leg options
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/// </summary>
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/// <param name="sourceCurrency">The currency to convert from</param>
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/// <param name="destinationCurrency">The currency to convert to</param>
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/// <param name="existingSecurities">The securities which are already added to the algorithm</param>
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/// <param name="potentialSymbols">The symbols to consider, may overlap with existingSecurities</param>
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/// <param name="makeNewSecurity">The function to call when a symbol becomes part of the conversion, must return the security that will provide price data about the symbol</param>
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/// <returns>A new <see cref="SecurityCurrencyConversion"/> instance representing the conversion from sourceCurrency to destinationCurrency</returns>
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/// <exception cref="ArgumentException">Thrown when no conversion from sourceCurrency to destinationCurrency can be found</exception>
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public static SecurityCurrencyConversion LinearSearch(
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string sourceCurrency,
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string destinationCurrency,
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IList<Security> existingSecurities,
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IEnumerable<Symbol> potentialSymbols,
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Func<Symbol, Security> makeNewSecurity)
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{
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var allSymbols = existingSecurities.Select(sec => sec.Symbol).Concat(potentialSymbols)
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.Where(CurrencyPairUtil.IsDecomposable)
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.ToList();
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var securitiesBySymbol = existingSecurities.Aggregate(new Dictionary<Symbol, Security>(),
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(mapping, security) =>
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{
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if (!mapping.ContainsKey(security.Symbol))
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{
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mapping[security.Symbol] = security;
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}
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return mapping;
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});
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// Search for 1 leg conversions
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foreach (var potentialConversionRateSymbol in allSymbols)
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{
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var leg1Match = potentialConversionRateSymbol.ComparePair(sourceCurrency, destinationCurrency);
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if (leg1Match == CurrencyPairUtil.Match.NoMatch)
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{
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continue;
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}
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var inverted = leg1Match == CurrencyPairUtil.Match.InverseMatch;
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return new SecurityCurrencyConversion(sourceCurrency, destinationCurrency, new List<Step>(1)
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{
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CreateStep(potentialConversionRateSymbol, inverted, securitiesBySymbol, makeNewSecurity)
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});
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}
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// Search for 2 leg conversions
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foreach (var potentialConversionRateSymbol1 in allSymbols)
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{
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var middleCurrency = potentialConversionRateSymbol1.CurrencyPairDual(sourceCurrency);
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if (middleCurrency == null)
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{
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continue;
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}
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foreach (var potentialConversionRateSymbol2 in allSymbols)
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{
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var leg2Match = potentialConversionRateSymbol2.ComparePair(middleCurrency, destinationCurrency);
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if (leg2Match == CurrencyPairUtil.Match.NoMatch)
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{
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continue;
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}
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var secondStepInverted = leg2Match == CurrencyPairUtil.Match.InverseMatch;
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var steps = new List<Step>(2);
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// Step 1
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string baseCurrency;
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string quoteCurrency;
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CurrencyPairUtil.DecomposeCurrencyPair(
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potentialConversionRateSymbol1,
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out baseCurrency,
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out quoteCurrency);
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steps.Add(CreateStep(potentialConversionRateSymbol1,
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sourceCurrency == quoteCurrency,
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securitiesBySymbol,
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makeNewSecurity));
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// Step 2
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steps.Add(CreateStep(potentialConversionRateSymbol2,
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secondStepInverted,
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securitiesBySymbol,
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makeNewSecurity));
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return new SecurityCurrencyConversion(sourceCurrency, destinationCurrency, steps);
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}
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}
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throw new ArgumentException(
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$"No conversion path found between source currency {sourceCurrency} and destination currency {destinationCurrency}");
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}
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/// <summary>
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/// Creates a new step
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/// </summary>
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/// <param name="symbol">The symbol of the step</param>
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/// <param name="inverted">Whether the step is inverted or not</param>
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/// <param name="existingSecurities">The existing securities, which are preferred over creating new ones</param>
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/// <param name="makeNewSecurity">The function to call when a new security must be created</param>
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private static Step CreateStep(
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Symbol symbol,
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bool inverted,
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IDictionary<Symbol, Security> existingSecurities,
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Func<Symbol, Security> makeNewSecurity)
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{
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Security security;
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if (existingSecurities.TryGetValue(symbol, out security))
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{
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return new Step(security, inverted);
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}
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return new Step(makeNewSecurity(symbol), inverted);
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}
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}
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}
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Reference in New Issue
Block a user