wehub-resource-sync
123 lines
4.0 KiB
C#
123 lines
4.0 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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*/
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using System;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Data.UniverseSelection;
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/// <summary>
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/// Represents derivative market data including trade and open interest information.
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/// </summary>
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public class DerivativeUniverseData
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{
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private readonly Symbol _symbol;
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private decimal _open;
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private decimal _high;
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private decimal _low;
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private decimal _close;
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private decimal _volume;
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private decimal? _openInterest;
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/// <summary>
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/// Initializes a new instance of <see cref="DerivativeUniverseData"/> using open interest data.
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/// </summary>
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/// <param name="openInterest">The open interest data.</param>
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public DerivativeUniverseData(OpenInterest openInterest)
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{
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_symbol = openInterest.Symbol;
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_openInterest = openInterest.Value;
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}
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/// <summary>
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/// Initializes a new instance of <see cref="DerivativeUniverseData"/> using trade bar data.
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/// </summary>
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/// <param name="tradeBar">The trade bar data.</param>
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public DerivativeUniverseData(TradeBar tradeBar)
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{
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_symbol = tradeBar.Symbol;
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_open = tradeBar.Open;
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_high = tradeBar.High;
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_low = tradeBar.Low;
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_close = tradeBar.Close;
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_volume = tradeBar.Volume;
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}
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/// <summary>
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/// Initializes a new instance of <see cref="DerivativeUniverseData"/> using quote bar data.
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/// </summary>
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/// <param name="quoteBar">The quote bar data.</param>
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public DerivativeUniverseData(QuoteBar quoteBar)
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{
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_symbol = quoteBar.Symbol;
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_open = quoteBar.Open;
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_high = quoteBar.High;
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_low = quoteBar.Low;
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_close = quoteBar.Close;
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}
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/// <summary>
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/// Updates the instance with new trade bar data.
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/// </summary>
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/// <param name="tradeBar">The new trade bar data.</param>
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/// <exception cref="ArgumentNullException">Thrown when tradeBar is null.</exception>
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public void UpdateByTradeBar(TradeBar tradeBar)
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{
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// If price data has already been initialized (likely from a QuoteBar)
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if (_open != 0 || _high != 0 || _low != 0 || _close != 0)
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{
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_volume = tradeBar.Volume;
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return;
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}
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_open = tradeBar.Open;
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_high = tradeBar.High;
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_low = tradeBar.Low;
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_close = tradeBar.Close;
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}
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/// <summary>
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/// Updates the instance with new quote bar data.
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/// </summary>
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/// <param name="quoteBar">The new quote bar data.</param>
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public void UpdateByQuoteBar(QuoteBar quoteBar)
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{
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_open = quoteBar.Open;
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_high = quoteBar.High;
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_low = quoteBar.Low;
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_close = quoteBar.Close;
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}
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/// <summary>
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/// Updates the instance with new open interest data.
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/// </summary>
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/// <param name="openInterest">The new open interest data.</param>
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/// <exception cref="ArgumentNullException">Thrown when openInterest is null.</exception>
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public void UpdateByOpenInterest(OpenInterest openInterest)
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{
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_openInterest = openInterest.Value;
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}
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/// <summary>
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/// Converts the current data to a CSV format string.
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/// </summary>
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/// <returns>A CSV formatted string representing the data.</returns>
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public string ToCsv()
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{
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return OptionUniverse.ToCsv(_symbol, _open, _high, _low, _close, _volume, _openInterest, null, NullGreeks.Instance);
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}
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}
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