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.Data;
+using QuantConnect.Orders.Fees;
+using QuantConnect.Orders.Fills;
+using QuantConnect.Orders.Slippage;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Securities.IndexOption
+{
+    /// <summary>
+    /// Index Options security
+    /// </summary>
+    public class IndexOption : Option.Option
+    {
+        /// <summary>
+        /// Constructor for the index option security
+        /// </summary>
+        /// <param name="symbol">Symbol of the index option</param>
+        /// <param name="exchangeHours">Exchange hours of the index option</param>
+        /// <param name="quoteCurrency">Quoted currency of the index option</param>
+        /// <param name="symbolProperties">Symbol properties of the index option</param>
+        /// <param name="currencyConverter">Currency converter</param>
+        /// <param name="registeredTypes">Provides all data types registered to the algorithm</param>
+        /// <param name="securityCache">Cache of security objects</param>
+        /// <param name="underlying">Future underlying security</param>
+        /// <param name="settlementType">Settlement type for the index option. Most index options are cash-settled.</param>
+        /// <param name="priceModelProvider">The option price model provider</param>
+        public IndexOption(Symbol symbol,
+            SecurityExchangeHours exchangeHours,
+            Cash quoteCurrency,
+            IndexOptionSymbolProperties symbolProperties,
+            ICurrencyConverter currencyConverter,
+            IRegisteredSecurityDataTypesProvider registeredTypes,
+            SecurityCache securityCache,
+            Security underlying,
+            SettlementType settlementType = SettlementType.Cash,
+            IOptionPriceModelProvider priceModelProvider = null)
+            : base(symbol,
+                quoteCurrency,
+                symbolProperties,
+                new OptionExchange(exchangeHours),
+                securityCache,
+                new OptionPortfolioModel(),
+                new ImmediateFillModel(),
+                new InteractiveBrokersFeeModel(),
+                NullSlippageModel.Instance,
+                new ImmediateSettlementModel(),
+                Securities.VolatilityModel.Null,
+                new OptionMarginModel(),
+                new OptionDataFilter(),
+                new IndexOptionPriceVariationModel(),
+                currencyConverter,
+                registeredTypes,
+                underlying,
+                priceModelProvider
+            )
+        {
+            ExerciseSettlement = settlementType;
+        }
+
+        /// <summary>
+        /// Consumes market price data and updates the minimum price variation
+        /// </summary>
+        /// <param name="data">Market price data</param>
+        /// <remarks>
+        /// Index options have variable sized minimum price variations.
+        /// For prices greater than or equal to $3.00 USD, the minimum price variation is $0.10 USD.
+        /// For prices less than $3.00 USD, the minimum price variation is $0.05 USD.
+        /// </remarks>
+        protected override void UpdateConsumersMarketPrice(BaseData data)
+        {
+            base.UpdateConsumersMarketPrice(data);
+            ((IndexOptionSymbolProperties)SymbolProperties).UpdateMarketPrice(data);
+        }
+
+        /// <summary>
+        /// Updates the symbol properties of this security
+        /// </summary>
+        internal override void UpdateSymbolProperties(SymbolProperties symbolProperties)
+        {
+            if (symbolProperties != null)
+            {
+                SymbolProperties = new IndexOptionSymbolProperties(symbolProperties);
+            }
+        }
+
+        /// <summary>
+        /// Returns the securities symbol
+        /// </summary>
+        public static implicit operator Symbol(IndexOption security) => security.Symbol;
+    }
+}