wehub-resource-sync
80 lines
3.0 KiB
C#
80 lines
3.0 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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using System;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Option exercise order type definition
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/// </summary>
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public class OptionExerciseOrder : Order
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{
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/// <summary>
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/// Added a default constructor for JSON Deserialization:
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/// </summary>
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public OptionExerciseOrder()
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{
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}
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/// <summary>
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/// New option exercise order constructor. We model option exercising as an underlying asset long/short order with strike equal to limit price.
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/// This means that by exercising a call we get into long asset position, by exercising a put we get into short asset position.
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/// </summary>
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/// <param name="symbol">Option symbol we're seeking to exercise</param>
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/// <param name="quantity">Quantity of the option we're seeking to exercise. Must be a positive value.</param>
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/// <param name="time">Time the order was placed</param>
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/// <param name="tag">User defined data tag for this order</param>
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/// <param name="properties">The order properties for this order</param>
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public OptionExerciseOrder(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
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: base(symbol, quantity, time, tag, properties)
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{
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}
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/// <summary>
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/// Option Exercise Order Type
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/// </summary>
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public override OrderType Type
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{
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get { return OrderType.OptionExercise; }
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}
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/// <summary>
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/// Gets the order value in option contracts quoted in options's currency
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/// </summary>
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/// <param name="security">The security matching this order's symbol</param>
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protected override decimal GetValueImpl(Security security)
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{
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var option = (Option)security;
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return option.GetExerciseQuantity(Quantity) * Price / option.SymbolProperties.ContractMultiplier;
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}
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/// <summary>
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/// Creates a deep-copy clone of this order
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/// </summary>
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/// <returns>A copy of this order</returns>
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public override Order Clone()
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{
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var order = new OptionExerciseOrder();
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CopyTo(order);
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return order;
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}
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}
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}
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