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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namespace QuantConnect.Securities.Option.StrategyMatcher
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{
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/// <summary>
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/// Defines a lightweight structure representing a position in an option contract or underlying.
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/// This type is heavily utilized by the options strategy matcher and is the parameter type of
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/// option strategy definition predicates. Underlying quantities should be represented in lot sizes,
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/// which is equal to the quantity of shares divided by the contract's multiplier and then rounded
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/// down towards zero (truncate)
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/// </summary>
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public struct OptionPosition : IEquatable<OptionPosition>
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{
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/// <summary>
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/// Gets a new <see cref="OptionPosition"/> with zero <see cref="Quantity"/>
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/// </summary>
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public static OptionPosition Empty(Symbol symbol)
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=> new OptionPosition(symbol, 0);
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/// <summary>
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/// Determines whether or not this position has any quantity
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/// </summary>
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public bool HasQuantity => Quantity != 0;
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/// <summary>
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/// Determines whether or not this position is for the underlying symbol
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/// </summary>
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public bool IsUnderlying => !Symbol.HasUnderlying;
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/// <summary>
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/// Number of contracts held, can be positive or negative
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/// </summary>
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public int Quantity { get; }
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/// <summary>
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/// Option contract symbol
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/// </summary>
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public Symbol Symbol { get; }
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/// <summary>
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/// Gets the underlying symbol. If this position represents the underlying,
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/// then this property is the same as the <see cref="Symbol"/> property
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/// </summary>
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public Symbol Underlying => IsUnderlying ? Symbol : Symbol.Underlying;
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/// <summary>
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/// Option contract expiration date
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/// </summary>
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public DateTime Expiration
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{
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get
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{
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if (Symbol.HasUnderlying)
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{
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return Symbol.ID.Date;
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}
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throw new InvalidOperationException($"{nameof(Expiration)} is not valid for underlying symbols: {Symbol}");
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}
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}
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/// <summary>
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/// Option contract strike price
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/// </summary>
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public decimal Strike
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{
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get
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{
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if (Symbol.HasUnderlying)
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{
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return Symbol.ID.StrikePrice;
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}
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throw new InvalidOperationException($"{nameof(Strike)} is not valid for underlying symbols: {Symbol}");
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}
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}
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/// <summary>
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/// Option contract right (put/call)
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/// </summary>
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public OptionRight Right
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{
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get
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{
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if (Symbol.HasUnderlying)
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{
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return Symbol.ID.OptionRight;
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}
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throw new InvalidOperationException($"{nameof(Right)} is not valid for underlying symbols: {Symbol}");
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}
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}
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/// <summary>
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/// Gets whether this position is short/long/none
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/// </summary>
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public PositionSide Side => (PositionSide) Math.Sign(Quantity);
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/// <summary>
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/// Initializes a new instance of the <see cref="OptionPosition"/> structure
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/// </summary>
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/// <param name="symbol">The option contract symbol</param>
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/// <param name="quantity">The number of contracts held</param>
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public OptionPosition(Symbol symbol, int quantity)
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{
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Symbol = symbol;
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Quantity = quantity;
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}
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/// <summary>
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/// Creates a new <see cref="OptionPosition"/> instance with negative <see cref="Quantity"/>
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/// </summary>
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public OptionPosition Negate()
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{
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return new OptionPosition(Symbol, -Quantity);
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}
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/// <summary>
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/// Creates a new <see cref="OptionPosition"/> with this position's <see cref="Symbol"/>
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/// and the provided <paramref name="quantity"/>
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/// </summary>
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public OptionPosition WithQuantity(int quantity)
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{
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return new OptionPosition(Symbol, quantity);
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}
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/// <summary>Indicates whether the current object is equal to another object of the same type.</summary>
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/// <param name="other">An object to compare with this object.</param>
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/// <returns>true if the current object is equal to the <paramref name="other" /> parameter; otherwise, false.</returns>
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public bool Equals(OptionPosition other)
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{
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return Equals(Symbol, other.Symbol) && Quantity == other.Quantity;
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}
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/// <summary>Indicates whether this instance and a specified object are equal.</summary>
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/// <param name="obj">The object to compare with the current instance. </param>
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/// <returns>true if <paramref name="obj" /> and this instance are the same type and represent the same value; otherwise, false. </returns>
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public override bool Equals(object obj)
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{
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if (ReferenceEquals(null, obj))
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{
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return false;
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}
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if (obj.GetType() != GetType())
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{
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return false;
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}
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return Equals((OptionPosition) obj);
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}
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/// <summary>Returns the hash code for this instance.</summary>
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/// <returns>A 32-bit signed integer that is the hash code for this instance.</returns>
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public override int GetHashCode()
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{
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unchecked
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{
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return ((Symbol != null ? Symbol.GetHashCode() : 0) * 397) ^ Quantity;
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}
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}
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/// <summary>Returns the fully qualified type name of this instance.</summary>
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/// <returns>The fully qualified type name.</returns>
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public override string ToString()
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{
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var s = Quantity == 1 ? "" : "s";
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if (Symbol.HasUnderlying)
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{
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return $"{Quantity} {Right.ToLower()}{s} on {Symbol.Underlying.Value} at ${Strike} expiring on {Expiration:yyyy-MM-dd}";
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}
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return $"{Quantity} share{s} of {Symbol.Value}";
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}
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/// <summary>
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/// OptionPosition * Operator, will multiple quantity by given factor
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/// </summary>
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/// <param name="left">OptionPosition to operate on</param>
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/// <param name="factor">Factor to multiply by</param>
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/// <returns>Resulting OptionPosition</returns>
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public static OptionPosition operator *(OptionPosition left, int factor)
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{
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return new OptionPosition(left.Symbol, factor * left.Quantity);
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}
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/// <summary>
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/// OptionPosition * Operator, will multiple quantity by given factor
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/// </summary>
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/// <param name="right">OptionPosition to operate on</param>
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/// <param name="factor">Factor to multiply by</param>
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/// <returns>Resulting OptionPosition</returns>
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public static OptionPosition operator *(int factor, OptionPosition right)
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{
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return new OptionPosition(right.Symbol, factor * right.Quantity);
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}
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/// <summary>
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/// OptionPosition + Operator, will add quantities together if they are for the same symbol.
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/// </summary>
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/// <returns>Resulting OptionPosition</returns>
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public static OptionPosition operator +(OptionPosition left, OptionPosition right)
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{
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if (!Equals(left.Symbol, right.Symbol))
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{
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if (left == default(OptionPosition))
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{
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return right;
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}
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if (right == default(OptionPosition))
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{
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return left;
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}
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throw new InvalidOperationException("Unable to add OptionPosition instances with different symbols");
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}
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return new OptionPosition(left.Symbol, left.Quantity + right.Quantity);
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}
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/// <summary>
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/// OptionPosition - Operator, will subtract left - right quantities if they are for the same symbol.
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/// </summary>
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/// <returns>Resulting OptionPosition</returns>
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public static OptionPosition operator -(OptionPosition left, OptionPosition right)
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{
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if (!Equals(left.Symbol, right.Symbol))
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{
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if (left == default(OptionPosition))
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{
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// 0 - right
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return right.Negate();
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}
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if (right == default(OptionPosition))
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{
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// left - 0
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return left;
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}
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throw new InvalidOperationException("Unable to subtract OptionPosition instances with different symbols");
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}
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return new OptionPosition(left.Symbol, left.Quantity - right.Quantity);
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}
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/// <summary>
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/// Option Position == Operator
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/// </summary>
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/// <returns>True if they are the same</returns>
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public static bool operator ==(OptionPosition left, OptionPosition right)
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{
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return Equals(left, right);
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}
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/// <summary>
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/// Option Position != Operator
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/// </summary>
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/// <returns>True if they are not the same</returns>
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public static bool operator !=(OptionPosition left, OptionPosition right)
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{
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return !Equals(left, right);
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}
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}
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}
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