wehub-resource-sync
367 lines
13 KiB
C#
367 lines
13 KiB
C#
/*
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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.Collections.Generic;
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using System.Linq;
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using System.Globalization;
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using System.Text.RegularExpressions;
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namespace QuantConnect
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{
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/// <summary>
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/// Provides commonly used currency pairs and symbols
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/// </summary>
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public static class Currencies
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{
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/// <summary>
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/// USD (United States Dollar) currency string
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/// </summary>
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public const string USD = "USD";
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/// <summary>
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/// EUR (Euro) currency string
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/// </summary>
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public const string EUR = "EUR";
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/// <summary>
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/// GBP (British pound sterling) currency string
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/// </summary>
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public const string GBP = "GBP";
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/// <summary>
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/// INR (Indian rupee) currency string
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/// </summary>
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public const string INR = "INR";
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/// <summary>
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/// IDR (Indonesian rupiah) currency string
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/// </summary>
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public const string IDR = "IDR";
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/// <summary>
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/// CNH (Chinese Yuan Renminbi) currency string
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/// </summary>
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public const string CNH = "CNH";
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/// <summary>
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/// CHF (Swiss Franc) currency string
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/// </summary>
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public const string CHF = "CHF";
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/// <summary>
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/// HKD (Hong Kong dollar) currency string
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/// </summary>
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public const string HKD = "HKD";
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/// <summary>
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/// JPY (Japanese yen) currency string
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/// </summary>
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public const string JPY = "JPY";
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/// <summary>
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/// Null currency used when a real one is not required
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/// </summary>
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public const string NullCurrency = "QCC";
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/// <summary>
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/// A mapping of currency codes to their display symbols
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/// </summary>
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/// <remarks>
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/// Now used by Forex and CFD, should probably be moved out into its own class
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/// </remarks>
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public static readonly IReadOnlyDictionary<string, string> CurrencySymbols = new Dictionary<string, string>
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{
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{USD, "$"},
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{GBP, "₤"},
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{JPY, "¥"},
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{EUR, "€"},
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{"NZD", "$"},
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{"AUD", "$"},
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{"CAD", "$"},
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{CHF, "Fr"},
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{HKD, "$"},
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{"SGD", "$"},
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{"XAG", "Ag"},
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{"XAU", "Au"},
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{CNH, "¥"},
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{"CNY", "¥"},
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{"CZK", "Kč"},
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{"DKK", "kr"},
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{"HUF", "Ft"},
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{"INR", "₹"},
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{"MXN", "$"},
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{"NOK", "kr"},
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{"PLN", "zł"},
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{"SAR", "﷼"},
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{"SEK", "kr"},
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{"THB", "฿"},
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{"TRY", "₺"},
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{"TWD", "NT$"},
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{"ZAR", "R"},
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{"RUB", "₽"},
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{"BRL", "R$"},
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{"GNF", "Fr"},
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{IDR, "Rp"},
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{"BTC", "₿"},
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{"BCH", "Ƀ"},
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{"BSV", "Ɓ"},
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{"LTC", "Ł"},
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{"ETH", "Ξ"},
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{"EOS", "ε"},
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{"XRP", "✕"},
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{"XLM", "*"},
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{"ETC", "ξ"},
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{"ZRX", "ZRX"},
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{"USDT", "₮"},
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{"ADA", "₳"},
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{"SOL", "◎"},
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{"DOT", "●"},
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{"DOGE", "Ð"},
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{"DAI", "◈"},
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{"ALGO", "Ⱥ"},
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{"ICP", "∞"},
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{"XMR", "ɱ"},
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{"XTZ", "ꜩ"},
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{"IOTA", "ɨ"},
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{"MIOTA", "ɨ"},
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{"MKR", "Μ"},
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{"ZEC", "ⓩ"},
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{"DASH", "Đ"},
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{"XNO", "Ӿ"},
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{"REP", "Ɍ"},
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{"STEEM", "ȿ"},
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{"THETA", "ϑ"},
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{"FIL", "⨎"},
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{"BAT", "⟁"},
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{"LSK", "Ⱡ"},
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{"NAV", "Ꞥ"}
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};
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/// <summary>
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/// Stable pairs in GDAX. We defined them because they have different fees in GDAX market
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/// </summary>
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[Obsolete("StablePairsGDAX is deprecated. Use StablePairsCoinbase instead.")]
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public static readonly HashSet<string> StablePairsGDAX = StablePairsCoinbase;
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/// <summary>
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/// Stable pairs in Coinbase. We defined them because they have different fees in Coinbase market
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/// </summary>
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public static readonly HashSet<string> StablePairsCoinbase = new()
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{
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"DAIUSDC",
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"DAIUSD",
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"GYENUSD",
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"PAXUSD",
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"PAXUSDT",
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"MUSDUSD",
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"USDCEUR",
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"USDCGBP",
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"USDTEUR",
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"USDTGBP",
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"USDTUSD",
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"USDTUSDC",
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"USTEUR",
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"USTUSD",
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"USTUSDT",
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"WBTCBTC"
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};
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/// <summary>
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/// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Coinbase market
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/// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
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///
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/// We use this to allow setting cash amounts for these stablecoins without needing a conversion
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/// security.
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/// </summary>
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private static readonly HashSet<string> _stableCoinsWithoutPairsCoinbase = new HashSet<string>
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{
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"USDCUSD"
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};
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/// <summary>
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/// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Binance market
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/// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
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///
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/// We use this to allow setting cash amounts for these stablecoins without needing a conversion
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/// security.
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/// </summary>
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private static readonly HashSet<string> _stableCoinsWithoutPairsBinance = new HashSet<string>
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{
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"USDCUSD",
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"USDTUSD",
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"USDPUSD",
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"SUSDUSD",
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"BUSDUSD",
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"USTUSD",
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"TUSDUSD",
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"FDUSDUSD",
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"DAIUSD",
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"IDRTIDR",
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"BNFCRUSD"
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};
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/// <summary>
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/// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Bitfinex market
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/// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
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///
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/// We use this to allow setting cash amounts for these stablecoins without needing a conversion
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/// security.
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/// </summary>
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private static readonly HashSet<string> _stableCoinsWithoutPairsBitfinex = new HashSet<string>
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{
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"EURSEUR",
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"XCHFCHF"
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};
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/// <summary>
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/// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Bybit market
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/// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
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///
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/// We use this to allow setting cash amounts for these stablecoins without needing a conversion
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/// security.
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/// </summary>
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private static readonly HashSet<string> _stableCoinsWithoutPairsBybit = new HashSet<string>
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{
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"USDCUSD",
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"USDTUSD",
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"USDPUSD",
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"SUSDUSD",
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"BUSDUSD",
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"USTUSD",
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"TUSDUSD",
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"DAIUSD"
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};
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/// <summary>
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/// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in dYdX market
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/// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
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///
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/// We use this to allow setting cash amounts for these stablecoins without needing a conversion
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/// security.
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/// </summary>
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private static readonly HashSet<string> _stableCoinsWithoutPairsdYdX = new HashSet<string>
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{
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"USDCUSD"
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};
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/// <summary>
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/// Dictionary to save StableCoins in different Markets
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/// </summary>
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private static readonly Dictionary<string, HashSet<string>> _stableCoinsWithoutPairsMarkets = new Dictionary<string, HashSet<string>>
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{
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{ Market.Binance , _stableCoinsWithoutPairsBinance},
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{ Market.Bitfinex , _stableCoinsWithoutPairsBitfinex},
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{ Market.Coinbase, _stableCoinsWithoutPairsCoinbase},
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{ Market.Bybit , _stableCoinsWithoutPairsBybit},
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{ Market.DYDX , _stableCoinsWithoutPairsdYdX}
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};
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private static readonly HashSet<string> _dollarStablePairs = ["USDT", "USDC", USD];
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/// <summary>
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/// Checks whether or not certain symbol is a StableCoin without pair in a given market
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/// </summary>
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/// <param name="accountCurrency">The account currency</param>
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/// <param name="cashSymbol">The target cash symbol</param>
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/// <param name="market">The market in which we want to search for that StableCoin</param>
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/// <returns>True if the given symbol is a StableCoin without pair in the given market</returns>
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public static bool IsStableCoinWithoutPair(string accountCurrency, string cashSymbol, string market)
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{
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IEnumerable<string> _targets;
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if (_dollarStablePairs.Contains(accountCurrency))
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{
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// let's be polite and handle USDT/USDC/USD, this is internal
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_targets = _dollarStablePairs.Where(x => x != cashSymbol).SelectMany(x => new[] { x + cashSymbol, cashSymbol + x }).ToArray();
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}
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else
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{
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_targets = [accountCurrency + cashSymbol, cashSymbol + accountCurrency];
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}
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foreach (var target in _targets)
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{
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if (IsStableCoinWithoutPair(target, market))
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{
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return true;
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}
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}
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return false;
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}
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/// <summary>
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/// Checks whether or not certain symbol is a StableCoin without pair in a given market
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/// </summary>
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/// <param name="symbol">The Symbol from wich we want to know if it's a StableCoin without pair</param>
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/// <param name="market">The market in which we want to search for that StableCoin</param>
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/// <returns>True if the given symbol is a StableCoin without pair in the given market</returns>
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public static bool IsStableCoinWithoutPair(string symbol, string market)
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{
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if (_stableCoinsWithoutPairsMarkets.TryGetValue(market, out var stableCoins) && stableCoins.Contains(symbol))
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{
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return true;
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}
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return false;
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}
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/// <summary>
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/// Gets the currency symbol for the specified currency code
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/// </summary>
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/// <param name="currency">The currency code</param>
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/// <returns>The currency symbol</returns>
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public static string GetCurrencySymbol(string currency)
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{
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if (string.IsNullOrEmpty(currency))
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{
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return string.Empty;
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}
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return CurrencySymbols.TryGetValue(currency, out var currencySymbol) ? currencySymbol : currency;
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}
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/// <summary>
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/// Converts the string representation of number with currency in the format {currency}{value} to its decimal equivalent.
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/// It throws if the value cannot be converted to a decimal number.
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/// </summary>
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/// <param name="value">The value with currency</param>
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/// <returns>The decimal equivalent to the value</returns>
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public static decimal Parse(string value)
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{
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decimal parsedValue;
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if (!TryParse(value, out parsedValue))
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{
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throw new ArgumentException(Messages.Currencies.FailedConversionToDecimal(value));
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}
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return parsedValue;
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}
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/// <summary>
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/// Converts the string representation of number with currency in the format {currency}{value} to its decimal equivalent.
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/// </summary>
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/// <param name="value">The value with currency</param>
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/// <param name="parsedValue">The decimal equivalent to the string value after conversion</param>
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/// <returns>True if the value was succesfuly converted</returns>
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public static bool TryParse(string value, out decimal parsedValue)
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{
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// Strip out the currency (any character before the first number) ignoring blank spaces since they are not supposed to be in numbers with currency
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value = Regex.Replace(value, @"^[^\d\s-+]+", string.Empty);
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return decimal.TryParse(value, NumberStyles.Any, CultureInfo.InvariantCulture, out parsedValue);
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}
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}
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}
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