wehub-resource-sync
461 lines
19 KiB
C#
461 lines
19 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.Linq;
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using Newtonsoft.Json;
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using System.Collections.Generic;
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namespace QuantConnect
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{
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/// <summary>
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/// Lean exchange definition
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/// </summary>
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public class Exchange
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{
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/// <summary>
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/// Unknown exchange value
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/// </summary>
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public static Exchange UNKNOWN { get; } = new(string.Empty, string.Empty, "UNKNOWN", string.Empty);
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/// <summary>
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/// The Members Exchange (MEMX) is an independently owned, technology-driven stock exchange
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/// </summary>
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public static Exchange MEMX { get; }
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= new("MEMX", "MM", "The Members Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Long-Term Stock Exchange
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/// </summary>
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public static Exchange LTSE { get; }
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= new("LTSE", "L", "The Long-Term Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// National Association of Securities Dealers Automated Quotation.
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/// </summary>
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public static Exchange NASDAQ { get; }
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= new("NASDAQ", "Q", "National Association of Securities Dealers Automated Quotation", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// NASDAQ Small Cap
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/// </summary>
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public static Exchange NASDAQ_SC { get; }
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= new("NASDAQ_SC", "S", "NASDAQ Small Cap", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The NASDAQ options market
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/// </summary>
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public static Exchange NASDAQ_Options { get; }
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= new("XNDQ", "XNDQ", "NASDAQ options market", QuantConnect.Market.USA, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// Bats Global Markets, Better Alternative Trading System
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/// </summary>
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public static Exchange BATS { get; }
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= new("BATS", "Z", "Bats Global Markets, Better Alternative Trading System", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// New York Stock Archipelago Exchange
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/// </summary>
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public static Exchange ARCA { get; }
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= new("ARCA", "P", "New York Stock Archipelago Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// New York Stock Archipelago Exchange
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/// </summary>
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public static Exchange ARCA_Options { get; }
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= new("ARCX", "ARCX", "NYSE Arca Options", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// New York Stock Exchange
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/// </summary>
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public static Exchange NYSE { get; }
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= new("NYSE", "N", "New York Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Smart Exchange
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/// </summary>
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/// <remarks>Brokerage will route to smart exchange</remarks>
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public static Exchange SMART { get; }
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= new("SMART", "SMART", "SMART Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Over The Counter Exchange
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/// </summary>
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public static Exchange OTCX { get; }
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= new("OTCX", "OTCX", "Over the Counter Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Investors Exchange
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/// </summary>
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public static Exchange IEX { get; }
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= new("IEX", "IEX", "Investors Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// National Stock Exchange
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/// </summary>
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/// <remarks>Is now known as the NYSE National</remarks>
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public static Exchange NSX { get; }
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= new("NSE", "C", "National Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Financial Industry Regulatory Authority
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/// </summary>
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public static Exchange FINRA { get; }
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= new("FINRA", "D", "The Financial Industry Regulatory Authority", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Nasdaq International Securities Exchange
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/// </summary>
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public static Exchange ISE { get; }
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= new("ISE", "I", "Nasdaq International Securities Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Chicago Stock Exchange
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/// </summary>
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public static Exchange CSE { get; }
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= new("CSE", "M", "Chicago Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Chicago Board Options Exchange
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/// </summary>
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public static Exchange CBOE { get; }
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= new("CBOE", "W", "The Chicago Board Options Exchange", QuantConnect.Market.USA, SecurityType.Equity, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// CBOE Options Exchange
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/// </summary>
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public static Exchange C2 { get; }
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= new("C2", "W", "CBOE Options Exchange", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// The American Options Exchange
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/// </summary>
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public static Exchange NASDAQ_BX { get; }
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= new("NASDAQ_BX", "B", "National Association of Securities Dealers Automated Quotation BX", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Securities Industry Automation Corporation
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/// </summary>
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public static Exchange SIAC { get; }
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= new("SIAC", "SIAC", "The Securities Industry Automation Corporation", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// CBOE EDGA U.S. equities Exchange
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/// </summary>
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public static Exchange EDGA { get; }
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= new("EDGA", "J", "CBOE EDGA U.S. equities Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// CBOE EDGX U.S. equities Exchange
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/// </summary>
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public static Exchange EDGX { get; }
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= new("EDGX", "K", "CBOE EDGX U.S. equities Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// CBOE EDGO U.S. option Exchange
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/// </summary>
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public static Exchange EDGO { get; }
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= new("EDGO", "EDGO", "CBOE EDGX OPTIONS EXCHANGE.", QuantConnect.Market.USA, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// National Association of Securities Dealers Automated Quotation PSX
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/// </summary>
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public static Exchange NASDAQ_PSX { get; }
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= new("NASDAQ_PSX", "X", "National Association of Securities Dealers Automated Quotation PSX", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// National Association of Securities Dealers Automated Quotation PSX
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/// </summary>
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public static Exchange BATS_Y { get; }
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= new("BATS_Y", "Y", "Bats Global Markets, Better Alternative Trading System", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Boston Stock Exchange
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/// </summary>
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/// <remarks>Now NASDAQ OMX BX</remarks>
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public static Exchange BOSTON { get; }
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= new("BOSTON", "BB", "The Boston Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// The Boston Option Exchange
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/// </summary>
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public static Exchange BOX { get; }
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= new("BOX", "B", "The Boston Option Exchange", QuantConnect.Market.USA, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// The American Stock Exchange
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/// </summary>
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/// <remarks>Now NYSE MKT</remarks>
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public static Exchange AMEX { get; }
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= new("AMEX", "A", "The American Stock Exchange", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Bombay Stock Exchange
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/// </summary>
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public static Exchange BSE { get; }
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= new("BSE", "BSE", "Bombay Stock Exchange", QuantConnect.Market.India, SecurityType.Equity);
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/// <summary>
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/// National Stock Exchange of India
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/// </summary>
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public static Exchange NSE { get; }
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= new("NSE", "NSE", "National Stock Exchange of India", QuantConnect.Market.India, SecurityType.Equity);
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/// <summary>
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/// The American Options Exchange
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/// </summary>
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/// <remarks>Now NYSE Amex Options</remarks>
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public static Exchange AMEX_Options { get; }
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= new("AMEX", "A", "The American Options Exchange", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// The Options Price Reporting Authority
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/// </summary>
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public static Exchange OPRA { get; }
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= new("OPRA", "O", "The Options Price Reporting Authority", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// Miami International Securities Options Exchange
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/// </summary>
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public static Exchange MIAX { get; }
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= new("MIAX", "M", "Miami International Securities Options Exchange", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// MIAX Pearl Option and Equity exchange. Offers a Price-Time allocation and Maker-Taker fee structure
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/// </summary>
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public static Exchange MIAX_PEARL { get; }
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= new("MIAX_PEARL", "MP", "MIAX PEARL", QuantConnect.Market.USA, SecurityType.Option, SecurityType.Equity);
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/// <summary>
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/// Serves as a counterpart to MIAX Options and MIAX Pearl by providing Pro-Rata allocation like MIAX Options and a Maker-Taker fee structure like MIAX Pearl
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/// </summary>
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public static Exchange MIAX_EMERALD { get; }
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= new("MIAX_EMERALD", "ME", "MIAX EMERALD", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// MIAX Sapphire: Electronic and floor trading for derivatives.
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/// </summary>
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public static Exchange MIAX_SAPPHIRE { get; }
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= new("MIAX_SAPPHIRE", "SPHR", "Miax Sapphire, LLC", QuantConnect.Market.USA, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// International Securities Options Exchange GEMINI
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/// </summary>
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public static Exchange ISE_GEMINI { get; }
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= new("ISE_GEMINI", "H", "International Securities Options Exchange GEMINI", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// International Securities Options Exchange MERCURY
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/// </summary>
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public static Exchange ISE_MERCURY { get; }
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= new("ISE_MERCURY", "J", "International Securities Options Exchange MERCURY", QuantConnect.Market.USA, SecurityType.Option);
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/// <summary>
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/// The Chicago Mercantile Exchange (CME), is an organized exchange for the trading of futures and options.
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/// </summary>
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public static Exchange CME { get; }
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= new("CME", "CME", "Futures and Options Chicago Mercantile Exchange", QuantConnect.Market.CME, SecurityType.Future, SecurityType.FutureOption);
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/// <summary>
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/// The European Derivatives Exchange (EUREX)
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/// </summary>
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public static Exchange EUREX { get; }
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= new("EUREX", "EUREX", "European Derivatives Exchange", QuantConnect.Market.EUREX, SecurityType.Future, SecurityType.Index);
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/// <summary>
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/// <summary>
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/// The Chicago Board of Trade (CBOT) is a commodity exchange
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/// </summary>
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public static Exchange CBOT { get; }
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= new("CBOT", "CBOT", " Chicago Board of Trade Commodity Exchange", QuantConnect.Market.CBOT, SecurityType.Future, SecurityType.FutureOption);
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/// <summary>
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/// Cboe Futures Exchange
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/// </summary>
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public static Exchange CFE { get; }
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= new("CFE", "CFE", "CFE Futures Exchange", QuantConnect.Market.CFE, SecurityType.Future);
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/// <summary>
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/// COMEX Commodity Exchange
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/// </summary>
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public static Exchange COMEX { get; }
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= new("COMEX", "COMEX", "COMEX Futures Exchange", QuantConnect.Market.COMEX, SecurityType.Future);
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/// <summary>
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/// The Intercontinental Exchange
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/// </summary>
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public static Exchange ICE { get; }
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= new("ICE", "ICE", "The Intercontinental Exchange", QuantConnect.Market.ICE, SecurityType.Future);
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/// <summary>
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/// New York Mercantile Exchange
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/// </summary>
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public static Exchange NYMEX { get; }
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= new("NYMEX", "NYMEX", "New York Mercantile Exchange", QuantConnect.Market.NYMEX, SecurityType.Future, SecurityType.FutureOption);
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/// <summary>
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/// London International Financial Futures and Options Exchange
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/// </summary>
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public static Exchange NYSELIFFE { get; }
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= new("NYSELIFFE", "NYSELIFFE", "London International Financial Futures and Options Exchange", QuantConnect.Market.NYSELIFFE, SecurityType.Future, SecurityType.FutureOption);
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/// <summary>
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/// Credit Suisse First Boston (also known as CSFB and CS First Boston) is the investment banking affiliate of Credit Suisse headquartered in New York.
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/// </summary>
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public static Exchange CSFB { get; }
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= new("CSFB", "CSFB", "Credit Suisse First Boston", QuantConnect.Market.USA, SecurityType.Equity);
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/// <summary>
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/// Philadelphia Stock Exchange (PHLX), now known as Nasdaq PHLX, is the first stock exchange established in the United States and the oldest stock exchange in the nation.
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/// </summary>
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public static Exchange PHLX { get; }
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= new("PHLX", "X", "NASDAQ OMX PHLX", QuantConnect.Market.USA, SecurityType.Option, SecurityType.IndexOption);
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/// <summary>
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/// Exchange description
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/// </summary>
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[JsonIgnore]
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public string Description { get; }
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/// <summary>
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/// The exchange short code
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/// </summary>
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public string Code { get; init; }
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/// <summary>
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/// The exchange name
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/// </summary>
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public string Name { get; init; }
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/// <summary>
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/// The associated lean market <see cref="Market"/>
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/// </summary>
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public string Market { get; init; }
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/// <summary>
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/// Security types traded in this exchange
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/// </summary>
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[JsonProperty(ReferenceLoopHandling = ReferenceLoopHandling.Ignore)]
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public IReadOnlyList<SecurityType> SecurityTypes { get; init; } = new List<SecurityType>();
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/// <summary>
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/// Creates a new empty exchange instance
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/// </summary>
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/// <remarks>For json round trip serialization</remarks>
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private Exchange()
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{
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}
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/// <summary>
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/// Creates a new exchange instance
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/// </summary>
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public Exchange(string name, string code, string description, string market, params SecurityType[] securityTypes)
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{
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Name = name;
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Market = market;
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Description = description;
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SecurityTypes = securityTypes?.ToList() ?? new List<SecurityType>();
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Code = string.IsNullOrEmpty(code) ? name : code;
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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public override string ToString()
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{
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return Name;
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}
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/// <summary>
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/// Returns the string representation of this exchange
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/// </summary>
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public static implicit operator string(Exchange exchange)
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{
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return ReferenceEquals(exchange, null) ? string.Empty : exchange.ToString();
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}
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/// <summary>
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/// Indicates whether the current object is equal to another object
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/// </summary>
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public override bool Equals(object? obj)
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{
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if (ReferenceEquals(this, obj))
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{
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return true;
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}
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var exchange = obj as Exchange;
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if (ReferenceEquals(exchange, null) || ReferenceEquals(exchange, UNKNOWN))
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{
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// other is null or UNKNOWN (equivalents)
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// so we need to know how We compare with UNKNOWN
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return ReferenceEquals(this, UNKNOWN);
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}
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return Code == exchange.Code
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&& Market == exchange.Market
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&& SecurityTypes.All(exchange.SecurityTypes.Contains)
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&& SecurityTypes.Count == exchange.SecurityTypes.Count;
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}
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/// <summary>
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/// Equals operator
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/// </summary>
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/// <param name="left">The left operand</param>
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/// <param name="right">The right operand</param>
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/// <returns>True if both symbols are equal, otherwise false</returns>
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public static bool operator ==(Exchange left, Exchange right)
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{
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if (ReferenceEquals(left, right))
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{
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return true;
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}
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if (ReferenceEquals(left, null) || left.Equals(UNKNOWN))
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{
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return ReferenceEquals(right, null) || right.Equals(UNKNOWN);
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}
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return left.Equals(right);
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}
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/// <summary>
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/// Not equals operator
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/// </summary>
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/// <param name="left">The left operand</param>
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/// <param name="right">The right operand</param>
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/// <returns>True if both symbols are not equal, otherwise false</returns>
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public static bool operator !=(Exchange left, Exchange right)
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{
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return !(left == right);
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}
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/// <summary>
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/// Serves as a hash function for a particular type.
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/// </summary>
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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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var hashCode = Code.GetHashCode();
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hashCode = (hashCode * 397) ^ Market.GetHashCode();
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for (var i = 0; i < SecurityTypes.Count; i++)
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{
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hashCode = (hashCode * 397) ^ SecurityTypes[i].GetHashCode();
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}
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return hashCode;
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}
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}
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}
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}
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