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chore: import upstream snapshot with attribution

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wehub-resource-sync
2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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Common/Securities/Index/Index.cs
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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.Data;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
namespace QuantConnect.Securities.Index
{
/// <summary>
/// INDEX Security Object Implementation for INDEX Assets
/// </summary>
/// <seealso cref="Security"/>
public class Index : Security
{
private bool _isTradable;
/// <summary>
/// Gets or sets whether or not this security should be considered tradable
/// </summary>
public override bool IsTradable {
get => _isTradable;
set
{
if (value) ManualSetIsTradable = true;
_isTradable = value;
}
}
/// <summary>
/// Field to check if the user has manually set IsTradable field to true
/// </summary>
internal bool ManualSetIsTradable { get; set; }
/// <summary>
/// Constructor for the INDEX security
/// </summary>
/// <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="config">The subscription configuration for this security</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>
public Index(SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
SubscriptionDataConfig config,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes)
: base(config,
quoteCurrency,
symbolProperties,
new IndexExchange(exchangeHours),
new IndexCache(),
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new ConstantFeeModel(0),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new IndexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
IsTradable = false; //Index are non tradable by default
Holdings = new IndexHolding(this, currencyConverter);
}
/// <summary>
/// Constructor for the INDEX security
/// </summary>
/// <param name="symbol">The security's 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="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="securityCache">Cache to store security information</param>
public Index(Symbol symbol,
SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes,
SecurityCache securityCache)
: base(symbol,
quoteCurrency,
symbolProperties,
new IndexExchange(exchangeHours),
securityCache,
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new ConstantFeeModel(0),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new IndexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
IsTradable = false; //Index are non tradable by default
Holdings = new IndexHolding(this, currencyConverter);
}
/// <summary>
/// Resets the security to its initial state by marking it as uninitialized and non-tradable
/// and clearing the subscriptions.
/// </summary>
public override void Reset()
{
base.Reset();
ManualSetIsTradable = false;
}
/// <summary>
/// Returns the securities symbol
/// </summary>
public static implicit operator Symbol(Index security) => security.Symbol;
}
}
Common/Securities/Index/IndexCache.cs
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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.
*/
namespace QuantConnect.Securities.Index
{
/// <summary>
/// INDEX specific caching support
/// </summary>
/// <remarks>Class is virtually empty and scheduled to be made obsolete. Potentially could be used for user data storage.</remarks>
/// <seealso cref="SecurityCache"/>
public class IndexCache : SecurityCache
{
}
}
Common/Securities/Index/IndexDataFilter.cs
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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.
*/
namespace QuantConnect.Securities.Index
{
/// <summary>
/// Index packet by packet data filtering mechanism for dynamically detecting bad ticks.
/// </summary>
/// <seealso cref="SecurityDataFilter"/>
public class IndexDataFilter : SecurityDataFilter
{
}
}
Common/Securities/Index/IndexExchange.cs
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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.
*/
namespace QuantConnect.Securities.Index
{
/// <summary>
/// INDEX exchange class - information and helper tools for Index exchange properties
/// </summary>
/// <seealso cref="SecurityExchange"/>
public class IndexExchange : SecurityExchange
{
/// <summary>
/// Number of trading days per year for this security, used for performance statistics.
/// </summary>
public override int TradingDaysPerYear
{
// 365 - Saturdays = 313;
get { return 313; }
}
/// <summary>
/// Initializes a new instance of the <see cref="IndexExchange"/> class using the specified
/// exchange hours to determine open/close times
/// </summary>
/// <param name="exchangeHours">Contains the weekly exchange schedule plus holidays</param>
public IndexExchange(SecurityExchangeHours exchangeHours)
: base(exchangeHours)
{
}
}
}
Common/Securities/Index/IndexHolding.cs
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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.
*/
namespace QuantConnect.Securities.Index
{
/// <summary>
/// Index holdings implementation of the base securities class
/// </summary>
/// <seealso cref="SecurityHolding"/>
public class IndexHolding : SecurityHolding
{
/// <summary>
/// INDEX Holding Class constructor
/// </summary>
/// <param name="security">The INDEX security being held</param>
/// <param name="currencyConverter">A currency converter instance</param>
public IndexHolding(Index security, ICurrencyConverter currencyConverter)
: base(security, currencyConverter)
{
}
}
}
Common/Securities/Index/IndexSymbol.cs
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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;
using System.Collections.Generic;
namespace QuantConnect.Securities.Index
{
/// <summary>
/// Helper methods for Index Symbols
/// </summary>
public static class IndexSymbol
{
private static readonly Dictionary<string, string> _indexExchange = new(StringComparer.InvariantCultureIgnoreCase)
{
{ "SPX", Market.CBOE },
{ "NDX", "NASDAQ" },
{ "VIX", Market.CBOE },
{ "SPXW", Market.CBOE },
{ "NQX", "NASDAQ" },
{ "VIXW", Market.CBOE },
{ "RUT", "RUSSELL" },
{ "BKX", "PHLX" },
{ "BXD", Market.CBOE },
{ "BXM", Market.CBOE },
{ "BXN", Market.CBOE },
{ "BXR", Market.CBOE },
{ "CLL", Market.CBOE },
{ "COR1M", Market.CBOE },
{ "COR1Y", Market.CBOE },
{ "COR30D", Market.CBOE },
{ "COR3M", Market.CBOE },
{ "COR6M", Market.CBOE },
{ "COR9M", Market.CBOE },
{ "DJX", Market.CBOE },
{ "DUX", Market.CBOE },
{ "DVS", Market.CBOE },
{ "DXL", Market.CBOE },
{ "EVZ", Market.CBOE },
{ "FVX", Market.CBOE },
{ "GVZ", Market.CBOE },
{ "HGX", "PHLX" },
{ "MID", "PSE" },
{ "MIDG", Market.CBOE },
{ "MIDV", Market.CBOE },
{ "MRUT", "RUSSELL" },
{ "NYA", "PSE" },
{ "NYFANG", "NYSE" },
{ "NYXBT", "NYSE" },
{ "OEX", Market.CBOE },
{ "OSX", "PHLX" },
{ "OVX", Market.CBOE },
{ "XDA", "PHLX" },
{ "XDB", "PHLX" },
{ "XEO", Market.CBOE },
{ "XMI", "PSE" },
{ "XNDX", "NASDAQ" },
{ "XSP", Market.CBOE },
{ "BRR", Market.CME },
{ "BRTI", Market.CME },
{ "CEX", Market.CBOE },
{ "COMP", "NASDAQ" },
{ "DJCIAGC", Market.CME },
{ "DJCICC", Market.CME },
{ "DJCIGC", Market.CME },
{ "DJCIGR", Market.CME },
{ "DJCIIK", Market.CME },
{ "DJCIKC", Market.CME },
{ "DJCISB", Market.CME },
{ "DJCISI", Market.CME },
{ "DJR", Market.CBOE },
{ "DRG", "PSE" },
{ "PUT", Market.CBOE },
{ "RUA", "RUSSELL" },
{ "RUI", "RUSSELL" },
{ "RVX", Market.CBOE },
{ "SET", Market.CBOE },
{ "SGX", Market.CBOE },
{ "SKEW", Market.CBOE },
{ "SPSIBI", "PSE" },
{ "SVX", Market.CBOE },
{ "TNX", Market.CBOE },
{ "TYX", Market.CBOE },
{ "UKX", "ISE" },
{ "UTY", "PHLX" },
{ "VIF", Market.CBOE },
{ "VIN", Market.CBOE },
{ "VIX1D", Market.CBOE },
{ "VIX1Y", Market.CBOE },
{ "VIX3M", Market.CBOE },
{ "VIX6M", Market.CBOE },
{ "VIX9D", Market.CBOE },
{ "VOLI", "NASDAQ" },
{ "VPD", Market.CBOE },
{ "VPN", Market.CBOE },
{ "VVIX", Market.CBOE },
{ "VWA", Market.CBOE },
{ "VWB", Market.CBOE },
{ "VXD", Market.CBOE },
{ "VXN", Market.CBOE },
{ "VXO", Market.CBOE },
{ "VXSLV", Market.CBOE },
{ "VXTH", Market.CBOE },
{ "VXTLT", Market.CBOE },
{ "XAU", "PHLX" },
{ "DJI", Market.CME },
{ "DWCPF", Market.CME },
{ "UTIL", Market.CME },
{ "DAX", Market.EUREX },
{ "DXY", "NYBOT" },
{ "RLS", Market.CBOE },
{ "SMLG", "PSE" },
{ "SPGSCI", Market.CME },
{ "VAF", Market.CBOE },
{ "VRO", Market.CBOE },
{ "AEX", "FTA" },
{ "DJINET", Market.CBOE },
{ "DTX", Market.CBOE },
{ "SP600", Market.CBOE },
{ "SPSV", "PSE" },
{ "FTW5000", "AMEX" },
{ "DWCF", "PSE" },
};
private static readonly Dictionary<string, string> _indexMarket = new(StringComparer.InvariantCultureIgnoreCase)
{
{ "HSI", Market.HKFE },
{ "N225", Market.OSE },
{ "SX5E", Market.EUREX },
{ "DAX", Market.EUREX }
};
/// <summary>
/// Gets the actual exchange the index lives on
/// </summary>
/// <remarks>Useful for live trading</remarks>
/// <returns>The exchange of the index</returns>
public static string GetIndexExchange(Symbol symbol)
{
return _indexExchange.TryGetValue(symbol.Value, out var market)
? market
: symbol.ID.Market;
}
/// <summary>
/// Gets the lean market for this index ticker
/// </summary>
/// <returns>The market of the index</returns>
public static bool TryGetIndexMarket(string ticker, out string market)
{
return _indexMarket.TryGetValue(ticker, out market);
}
}
}