chore: import upstream snapshot with attribution
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wehub-resource-sync
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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 QuantConnect.Orders;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Option strategy specification class. Describes option strategy and its parameters for trading.
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/// </summary>
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public class OptionStrategy
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{
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/// <summary>
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/// Option strategy name
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/// </summary>
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public string Name { get; set; }
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/// <summary>
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/// The canonical Option symbol of the strategy
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/// </summary>
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public Symbol CanonicalOption { get; set; }
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/// <summary>
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/// Underlying symbol of the strategy
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/// </summary>
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public Symbol Underlying { get; set; }
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/// <summary>
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/// Option strategy legs
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/// </summary>
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public List<OptionLegData> OptionLegs { get; set; }
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/// <summary>
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/// Option strategy underlying legs (usually 0 or 1 legs)
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/// </summary>
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public List<UnderlyingLegData> UnderlyingLegs { get; set; }
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/// <summary>
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/// Creates a new instance of <see cref="OptionStrategy"/> with the specified parameters
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/// </summary>
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/// <param name="name">The strategy name</param>
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/// <param name="canonicalSymbol">The canonical option symbol</param>
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/// <param name="optionLegs">The option legs data</param>
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/// <param name="underlyingLegs">The underlying legs data</param>
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public OptionStrategy(string name, Symbol canonicalSymbol, List<OptionLegData> optionLegs = null, List<UnderlyingLegData> underlyingLegs = null)
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{
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Name = name;
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CanonicalOption = canonicalSymbol;
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Underlying = canonicalSymbol.Underlying;
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OptionLegs = optionLegs ?? new List<OptionLegData>();
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UnderlyingLegs = underlyingLegs ?? new List<UnderlyingLegData>();
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SetSymbols();
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}
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/// <summary>
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/// Creates a new instance of <see cref="OptionStrategy"/> with default parameters
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/// </summary>
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public OptionStrategy()
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{
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OptionLegs = new List<OptionLegData>();
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UnderlyingLegs = new List<UnderlyingLegData>();
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}
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/// <summary>
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/// Sets the option legs symbols based on the canonical symbol and the leg data.
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/// If the canonical symbol is not set, it will be created using the underlying symbol.
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/// </summary>
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public void SetSymbols()
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{
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if (CanonicalOption == null)
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{
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if (Underlying == null)
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{
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// Let's be polite and try to get the underlying symbol from the underlying legs as a last resort
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var underlyingLeg = UnderlyingLegs.Count > 0 ? UnderlyingLegs[0] : null;
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if (underlyingLeg == null || underlyingLeg.Symbol == null)
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{
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return;
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}
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Underlying = underlyingLeg.Symbol;
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}
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CanonicalOption = Symbol.CreateCanonicalOption(Underlying);
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}
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foreach (var optionLeg in OptionLegs.Where(leg => leg.Symbol == null))
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{
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var targetOption = CanonicalOption.ID.Symbol;
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optionLeg.Symbol = Symbol.CreateOption(Underlying, targetOption, Underlying.ID.Market, CanonicalOption.ID.OptionStyle,
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optionLeg.Right, optionLeg.Strike, optionLeg.Expiration);
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}
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}
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/// <summary>
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/// Creates a new instance of <see cref="OptionStrategy"/> with the specified name and legs data.
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/// The method will try to infer the canonical symbol and underlying symbol from the legs data, but they can also be set manually after the strategy creation.
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/// </summary>
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public static OptionStrategy Create(string name, IEnumerable<Leg> legs)
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{
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var underlyingLegs = new List<UnderlyingLegData>();
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var optionLegs = new List<OptionLegData>();
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Symbol canonicalSymbol = null;
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foreach (var leg in legs)
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{
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if (leg is UnderlyingLegData underlyingLeg)
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{
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underlyingLegs.Add(underlyingLeg);
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}
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else if (leg is OptionLegData optionLeg)
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{
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optionLegs.Add(optionLeg);
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if (canonicalSymbol == null)
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{
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canonicalSymbol = optionLeg.Symbol.Canonical;
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}
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}
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else
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{
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throw new ArgumentException($"Invalid leg type: {leg.GetType().FullName}");
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}
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}
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return new OptionStrategy(name, canonicalSymbol, optionLegs, underlyingLegs);
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}
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/// <summary>
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/// This class is a POCO containing basic data for the option legs of the strategy
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/// </summary>
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public class OptionLegData : Leg
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{
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/// <summary>
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/// Option right (type) of the option leg
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/// </summary>
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public OptionRight Right { get; set; }
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/// <summary>
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/// Expiration date of the leg
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/// </summary>
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public DateTime Expiration { get; set; }
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/// <summary>
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/// Strike price of the leg
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/// </summary>
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public decimal Strike { get; set; }
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/// <summary>
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/// Creates a new instance of <see cref="OptionLegData"/> from the specified parameters
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/// </summary>
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public static OptionLegData Create(int quantity, Symbol symbol, decimal? orderPrice = null)
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{
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return new OptionLegData
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{
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Symbol = symbol,
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Quantity = quantity,
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Expiration = symbol.ID.Date,
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OrderPrice = orderPrice,
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Right = symbol.ID.OptionRight,
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Strike = symbol.ID.StrikePrice
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};
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}
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/// <summary>
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/// Returns a string that represents the option leg
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/// </summary>
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public override string ToString()
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{
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return $"Leg: {Quantity}. Right: {Right}. Strike: {Strike}. Expiration: {Expiration:yyyyMMdd}";
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}
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}
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/// <summary>
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/// This class is a POCO containing basic data for the underlying leg of the strategy
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/// </summary>
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public class UnderlyingLegData : Leg
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{
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/// <summary>
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/// Creates a new instance of <see cref="UnderlyingLegData"/> for the specified <paramref name="quantity"/> of underlying shares.
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/// </summary>
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public static UnderlyingLegData Create(int quantity, Symbol symbol, decimal? orderPrice = null)
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{
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var data = Create(quantity, orderPrice);
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data.Symbol = symbol;
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return data;
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}
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/// <summary>
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/// Creates a new instance of <see cref="UnderlyingLegData"/> for the specified <paramref name="quantity"/> of underlying shares.
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/// </summary>
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public static UnderlyingLegData Create(int quantity, decimal? orderPrice = null)
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{
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return new UnderlyingLegData
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{
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Quantity = quantity,
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OrderPrice = orderPrice
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};
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}
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/// <summary>
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/// Returns a string that represents the underlying leg.
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/// </summary>
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public override string ToString()
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{
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return Symbol != null ? $"Leg: {Quantity}. {Symbol}" : string.Empty;
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}
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}
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}
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}
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