chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,106 @@
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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 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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using QuantConnect.Securities.Option;
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namespace QuantConnect.Securities.IndexOption
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{
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/// <summary>
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/// Index Options security
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/// </summary>
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public class IndexOption : Option.Option
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{
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/// <summary>
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/// Constructor for the index option security
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/// </summary>
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/// <param name="symbol">Symbol of the index option</param>
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/// <param name="exchangeHours">Exchange hours of the index option</param>
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/// <param name="quoteCurrency">Quoted currency of the index option</param>
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/// <param name="symbolProperties">Symbol properties of the index option</param>
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/// <param name="currencyConverter">Currency converter</param>
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/// <param name="registeredTypes">Provides all data types registered to the algorithm</param>
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/// <param name="securityCache">Cache of security objects</param>
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/// <param name="underlying">Future underlying security</param>
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/// <param name="settlementType">Settlement type for the index option. Most index options are cash-settled.</param>
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/// <param name="priceModelProvider">The option price model provider</param>
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public IndexOption(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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IndexOptionSymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache securityCache,
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Security underlying,
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SettlementType settlementType = SettlementType.Cash,
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IOptionPriceModelProvider priceModelProvider = null)
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: base(symbol,
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quoteCurrency,
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symbolProperties,
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new OptionExchange(exchangeHours),
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securityCache,
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new OptionPortfolioModel(),
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new ImmediateFillModel(),
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new InteractiveBrokersFeeModel(),
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NullSlippageModel.Instance,
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new ImmediateSettlementModel(),
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Securities.VolatilityModel.Null,
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new OptionMarginModel(),
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new OptionDataFilter(),
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new IndexOptionPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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underlying,
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priceModelProvider
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)
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{
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ExerciseSettlement = settlementType;
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}
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/// <summary>
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/// Consumes market price data and updates the minimum price variation
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/// </summary>
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/// <param name="data">Market price data</param>
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/// <remarks>
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/// Index options have variable sized minimum price variations.
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/// For prices greater than or equal to $3.00 USD, the minimum price variation is $0.10 USD.
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/// For prices less than $3.00 USD, the minimum price variation is $0.05 USD.
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/// </remarks>
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protected override void UpdateConsumersMarketPrice(BaseData data)
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{
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base.UpdateConsumersMarketPrice(data);
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((IndexOptionSymbolProperties)SymbolProperties).UpdateMarketPrice(data);
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}
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/// <summary>
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/// Updates the symbol properties of this security
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/// </summary>
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internal override void UpdateSymbolProperties(SymbolProperties symbolProperties)
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{
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if (symbolProperties != null)
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{
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SymbolProperties = new IndexOptionSymbolProperties(symbolProperties);
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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(IndexOption security) => security.Symbol;
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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.IndexOption
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{
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/// <summary>
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/// Index option specific caching support
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/// </summary>
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/// <seealso cref="SecurityCache"/>
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public class IndexOptionCache : Option.OptionCache
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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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*/
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namespace QuantConnect.Securities.IndexOption
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{
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/// <summary>
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/// The index option price variation model
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/// </summary>
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public class IndexOptionPriceVariationModel : IPriceVariationModel
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{
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/// <summary>
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/// Get the minimum price variation from a security
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/// </summary>
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/// <param name="parameters">An object containing the method parameters</param>
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/// <returns>Decimal minimum price variation of a given security</returns>
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public decimal GetMinimumPriceVariation(GetMinimumPriceVariationParameters parameters)
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{
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return IndexOptionSymbolProperties.MinimumPriceVariationForPrice(parameters.Security.Symbol, parameters.ReferencePrice);
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}
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}
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}
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@@ -0,0 +1,165 @@
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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 System.Linq;
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using System.Collections.Generic;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Securities.IndexOption
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{
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/// <summary>
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/// Index Option Symbol
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/// </summary>
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public static class IndexOptionSymbol
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{
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private static readonly Dictionary<string, string> _nonStandardOptionToIndex = new()
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{
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{ "RUTW", "RUT" },
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{ "SPXW", "SPX" },
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{ "VIXW", "VIX" },
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{ "NDXP", "NDX" },
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{ "NQX", "NDX" },
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};
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/// <summary>
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/// These are known assets that are weeklies or end-of-month settled contracts.
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/// </summary>
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private static readonly HashSet<string> _nonStandardIndexOptionTickers = new()
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{
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// Weeklies
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"RUTW", // PM-Settled. While RUT AM-Settled on 3rd Fridays
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"SPXW",
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"VIXW",
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// PM-Settled
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"NDXP",
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// reduced value index options, 20%
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"NQX"
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};
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/// <summary>
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/// Supported index option tickers
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/// </summary>
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public static readonly HashSet<string> SupportedIndexOptionTickers = new string[] { "SPX", "NDX", "VIX", "RUT" }
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.Union(_nonStandardIndexOptionTickers)
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.ToHashSet();
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/// <summary>
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/// Determines if the Index Option Symbol is for a monthly contract
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/// </summary>
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/// <param name="symbol">Index Option Symbol</param>
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/// <returns>True if monthly contract, false otherwise</returns>
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public static bool IsStandard(Symbol symbol)
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{
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if (symbol.ID.Market != Market.USA)
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{
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return true;
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}
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switch (symbol.ID.Symbol)
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{
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case "NQX":
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case "SPXW":
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case "RUTW":
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// they have weeklies and monthly contracts
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// NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
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// SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
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// RUTW expires every day
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return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
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default:
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// NDX/SPX/NQX/VIX/VIXW/NDXP/RUT are all normal contracts
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return true;
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}
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}
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/// <summary>
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/// Returns true if the index option is AM settled
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/// </summary>
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public static bool IsAMSettled(Symbol symbol)
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{
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return !_nonStandardIndexOptionTickers.Contains(symbol.ID.Symbol.LazyToUpper());
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}
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/// <summary>
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/// Checks if the ticker provided is a supported Index Option
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/// </summary>
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/// <param name="ticker">Ticker of the index option</param>
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/// <returns>true if the ticker matches an index option's ticker</returns>
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/// <remarks>
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/// This is only used in IB brokerage, since they don't distinguish index options
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/// from regular equity options. When we do the conversion from a contract to a SecurityType,
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/// the only information we're provided that can reverse it to the <see cref="SecurityType.IndexOption"/>
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/// enum value is the ticker.
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/// </remarks>
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public static bool IsIndexOption(string ticker)
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{
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return SupportedIndexOptionTickers.Contains(ticker.LazyToUpper());
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}
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/// <summary>
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/// Maps an index option ticker to its underlying index ticker
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/// </summary>
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/// <param name="indexOption">Index option ticker to map to the underlying</param>
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/// <returns>Index ticker</returns>
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public static string MapToUnderlying(string indexOption)
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{
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if (_nonStandardOptionToIndex.TryGetValue(indexOption.LazyToUpper(), out var index))
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{
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return index;
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}
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return indexOption;
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}
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/// <summary>
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/// Returns the last trading date for the given index option ticker and expiration date
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/// </summary>
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/// <remarks>This is useful for IB brokerage</remarks>
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public static DateTime GetLastTradingDate(string ticker, DateTime expirationDate)
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{
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return expirationDate.AddDays(-GetExpirationOffset(ticker));
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}
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/// <summary>
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/// Returns the expiry date for the given index option ticker and last trading date
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/// </summary>
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/// <remarks>This is useful for IB brokerage</remarks>
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public static DateTime GetExpiryDate(string ticker, DateTime lastTradingDate)
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{
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return lastTradingDate.AddDays(GetExpirationOffset(ticker));
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}
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/// <summary>
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/// Some index options last tradable date is the previous day to the expiration
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/// https://www.cboe.com/tradable_products/vix/vix_options/specifications/
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/// https://www.cboe.com/tradable_products/ftse_russell/russell_2000_index_options/rut_specifications
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/// </summary>
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private static int GetExpirationOffset(string ticker)
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{
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switch (ticker)
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{
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case "SPX":
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case "NDX":
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case "VIX":
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case "VIXW":
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case "RUT":
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return 1;
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default:
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// SPXW, NQX, NDXP, RUTW
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return 0;
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}
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}
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}
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}
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@@ -0,0 +1,100 @@
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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 QuantConnect.Data;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Securities.IndexOption
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{
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/// <summary>
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/// Index Option Symbol Properties
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/// </summary>
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public class IndexOptionSymbolProperties : OptionSymbolProperties
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{
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private BaseData _lastData;
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/// <summary>
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/// Minimum price variation, subject to variability due to contract price
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/// </summary>
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public override decimal MinimumPriceVariation => MinimumPriceVariationForPrice(_lastData?.Symbol, _lastData?.Price);
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/// <summary>
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/// Creates an instance of index symbol properties
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/// </summary>
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/// <param name="description">Description of the Symbol</param>
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/// <param name="quoteCurrency">Currency the price is quoted in</param>
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/// <param name="contractMultiplier">Contract multiplier of the index option</param>
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/// <param name="pipSize">Minimum price variation</param>
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/// <param name="lotSize">Minimum order lot size</param>
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public IndexOptionSymbolProperties(
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string description,
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string quoteCurrency,
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decimal contractMultiplier,
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decimal pipSize,
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decimal lotSize
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)
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: base(description, quoteCurrency, contractMultiplier, pipSize, lotSize)
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{
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}
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/// <summary>
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/// Creates instance of index symbol properties
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/// </summary>
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/// <param name="properties"></param>
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public IndexOptionSymbolProperties(SymbolProperties properties)
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: base(properties)
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{
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}
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/// <summary>
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/// Updates the last data received, required for calculating some
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/// index options contracts that have a variable step size for their premium's quotes
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/// </summary>
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/// <param name="marketData">Data to update with</param>
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internal void UpdateMarketPrice(BaseData marketData)
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{
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_lastData = marketData;
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}
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/// <summary>
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/// Minimum price variation, subject to variability due to contract price
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/// </summary>
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/// <remarks>https://www.cboe.com/tradable_products/vix/vix_options/specifications/
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/// https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/
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/// https://www.nasdaq.com/docs/2022/08/24/1926-Q22_NDX%20Fact%20Sheet_NAM_v3.pdf</remarks>
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public static decimal MinimumPriceVariationForPrice(Symbol symbol, decimal? referencePrice)
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{
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if(symbol == null || !referencePrice.HasValue)
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{
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return 0.05m;
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}
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var aboveThree = 0.1m;
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var belowThree = 0.05m;
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if(symbol.ID.Symbol == "VIXW")
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{
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aboveThree = belowThree = 0.01m;
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}
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else if (symbol.ID.Symbol == "VIX")
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{
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belowThree = 0.01m;
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aboveThree = 0.05m;
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}
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return referencePrice.HasValue && referencePrice >= 3m ? aboveThree : belowThree;
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}
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}
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}
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Reference in New Issue
Block a user