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 System;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IPriceVariationModel"/>
+    /// for use in defining the minimum price variation for a given equity
+    /// under Regulation NMS – Rule 612 (a.k.a – the “sub-penny rule”)
+    /// </summary>
+    public class EquityPriceVariationModel : SecurityPriceVariationModel
+    {
+        /// <summary>
+        /// Get the minimum price variation from a security
+        /// </summary>
+        /// <param name="parameters">An object containing the method parameters</param>
+        /// <returns>Decimal minimum price variation of a given security</returns>
+        public override decimal GetMinimumPriceVariation(GetMinimumPriceVariationParameters parameters)
+        {
+            if (parameters.Security.Type != SecurityType.Equity)
+            {
+                throw new ArgumentException("EquityPriceVariationModel.GetMinimumPriceVariation(): " +
+                    Messages.EquityPriceVariationModel.InvalidSecurityType(parameters.Security));
+            }
+
+            // If the quotation is priced less than $1.00 per share, the minimum pricing increment is $0.0001.
+            // Source: https://www.law.cornell.edu/cfr/text/17/242.612
+            if (parameters.ReferencePrice < 1m)
+            {
+                return 0.0001m;
+            }
+
+            return base.GetMinimumPriceVariation(parameters);
+        }
+    }
+}