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.Securities.Option;
+
+namespace QuantConnect.Securities.IndexOption
+{
+    /// <summary>
+    /// Index Option Symbol Properties
+    /// </summary>
+    public class IndexOptionSymbolProperties : OptionSymbolProperties
+    {
+        private BaseData _lastData;
+
+        /// <summary>
+        /// Minimum price variation, subject to variability due to contract price
+        /// </summary>
+        public override decimal MinimumPriceVariation => MinimumPriceVariationForPrice(_lastData?.Symbol, _lastData?.Price);
+
+        /// <summary>
+        /// Creates an instance of index symbol properties
+        /// </summary>
+        /// <param name="description">Description of the Symbol</param>
+        /// <param name="quoteCurrency">Currency the price is quoted in</param>
+        /// <param name="contractMultiplier">Contract multiplier of the index option</param>
+        /// <param name="pipSize">Minimum price variation</param>
+        /// <param name="lotSize">Minimum order lot size</param>
+        public IndexOptionSymbolProperties(
+            string description,
+            string quoteCurrency,
+            decimal contractMultiplier,
+            decimal pipSize,
+            decimal lotSize
+            )
+            : base(description, quoteCurrency, contractMultiplier, pipSize, lotSize)
+        {
+        }
+
+        /// <summary>
+        /// Creates instance of index symbol properties
+        /// </summary>
+        /// <param name="properties"></param>
+        public IndexOptionSymbolProperties(SymbolProperties properties)
+            : base(properties)
+        {
+        }
+
+        /// <summary>
+        /// Updates the last data received, required for calculating some
+        /// index options contracts that have a variable step size for their premium's quotes
+        /// </summary>
+        /// <param name="marketData">Data to update with</param>
+        internal void UpdateMarketPrice(BaseData marketData)
+        {
+            _lastData = marketData;
+        }
+
+        /// <summary>
+        /// Minimum price variation, subject to variability due to contract price
+        /// </summary>
+        /// <remarks>https://www.cboe.com/tradable_products/vix/vix_options/specifications/
+        /// https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/
+        /// https://www.nasdaq.com/docs/2022/08/24/1926-Q22_NDX%20Fact%20Sheet_NAM_v3.pdf</remarks>
+        public static decimal MinimumPriceVariationForPrice(Symbol symbol, decimal? referencePrice)
+        {
+            if(symbol == null || !referencePrice.HasValue)
+            {
+                return 0.05m;
+            }
+
+            var aboveThree = 0.1m;
+            var belowThree = 0.05m;
+            if(symbol.ID.Symbol == "VIXW")
+            {
+                aboveThree = belowThree = 0.01m;
+            }
+            else if (symbol.ID.Symbol == "VIX")
+            {
+                belowThree = 0.01m;
+                aboveThree = 0.05m;
+            }
+
+            return referencePrice.HasValue && referencePrice >= 3m ? aboveThree : belowThree;
+        }
+    }
+}