quantconnect--lean/Common/Securities/Cfd/Cfd.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using QuantConnect.Data;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;

namespace QuantConnect.Securities.Cfd
{
    /// <summary>
    /// CFD Security Object Implementation for CFD Assets
    /// </summary>
    /// <seealso cref="Security"/>
    public class Cfd : Security
    {
        private readonly ContractSymbolProperties _symbolProperties;

        /// <summary>
        /// Constructor for the CFD security
        /// </summary>
        /// <param name="exchangeHours">Defines the hours this exchange is open</param>
        /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
        /// <param name="config">The subscription configuration for this security</param>
        /// <param name="symbolProperties">The symbol properties for this security</param>
        /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
        /// instances into units of the account currency</param>
        /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
        public Cfd(SecurityExchangeHours exchangeHours,
            Cash quoteCurrency,
            SubscriptionDataConfig config,
            SymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes)
            : this(exchangeHours, quoteCurrency, config, new ContractSymbolProperties(symbolProperties), currencyConverter, registeredTypes)
        {
        }

        /// <summary>
        /// Constructor for the CFD security
        /// </summary>
        /// <param name="exchangeHours">Defines the hours this exchange is open</param>
        /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
        /// <param name="config">The subscription configuration for this security</param>
        /// <param name="symbolProperties">The symbol properties for this security</param>
        /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
        /// instances into units of the account currency</param>
        /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
        public Cfd(SecurityExchangeHours exchangeHours,
            Cash quoteCurrency,
            SubscriptionDataConfig config,
            ContractSymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes)
            : base(config,
                quoteCurrency,
                symbolProperties,
                new CfdExchange(exchangeHours),
                new CfdCache(),
                new SecurityPortfolioModel(),
                new ImmediateFillModel(),
                new ConstantFeeModel(0),
                NullSlippageModel.Instance,
                new ImmediateSettlementModel(),
                Securities.VolatilityModel.Null,
                new SecurityMarginModel(50m),
                new CfdDataFilter(),
                new SecurityPriceVariationModel(),
                currencyConverter,
                registeredTypes,
                Securities.MarginInterestRateModel.Null
                )
        {
            Holdings = new CfdHolding(this, currencyConverter);
            _symbolProperties = symbolProperties;
        }

        /// <summary>
        /// Constructor for the CFD security
        /// </summary>
        /// <param name="symbol">The security's symbol</param>
        /// <param name="exchangeHours">Defines the hours this exchange is open</param>
        /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
        /// <param name="symbolProperties">The symbol properties for this security</param>
        /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
        /// instances into units of the account currency</param>
        /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
        /// <param name="securityCache">Cache for storing Security data</param>
        public Cfd(Symbol symbol,
            SecurityExchangeHours exchangeHours,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes,
            SecurityCache securityCache)
            : this(symbol, exchangeHours, quoteCurrency, new ContractSymbolProperties(symbolProperties), currencyConverter, registeredTypes, securityCache)
        {
        }

        /// <summary>
        /// Constructor for the CFD security
        /// </summary>
        /// <param name="symbol">The security's symbol</param>
        /// <param name="exchangeHours">Defines the hours this exchange is open</param>
        /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
        /// <param name="symbolProperties">The symbol properties for this security</param>
        /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
        /// instances into units of the account currency</param>
        /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
        /// <param name="securityCache">Cache for storing Security data</param>
        public Cfd(Symbol symbol,
            SecurityExchangeHours exchangeHours,
            Cash quoteCurrency,
            ContractSymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes,
            SecurityCache securityCache)
            : base(symbol,
                quoteCurrency,
                symbolProperties,
                new CfdExchange(exchangeHours),
                securityCache,
                new SecurityPortfolioModel(),
                new ImmediateFillModel(),
                new ConstantFeeModel(0),
                NullSlippageModel.Instance,
                new ImmediateSettlementModel(),
                Securities.VolatilityModel.Null,
                new SecurityMarginModel(50m),
                new CfdDataFilter(),
                new SecurityPriceVariationModel(),
                currencyConverter,
                registeredTypes,
                Securities.MarginInterestRateModel.Null
                )
        {
            Holdings = new CfdHolding(this, currencyConverter);
            _symbolProperties = symbolProperties;
        }

        /// <summary>
        /// Gets or sets the contract multiplier for this CFD security
        /// </summary>
        public decimal ContractMultiplier
        {
            get { return _symbolProperties.ContractMultiplier; }
            set { _symbolProperties.SetContractMultiplier(value); }
        }

        /// <summary>
        /// Gets the minimum price variation for this CFD security
        /// </summary>
        public decimal MinimumPriceVariation
        {
            get { return SymbolProperties.MinimumPriceVariation; }
        }

        /// <summary>
        /// Decomposes the specified currency pair into a base and quote currency provided as out parameters
        /// </summary>
        /// <param name="symbol">The input symbol to be decomposed</param>
        /// <param name="symbolProperties">The symbol properties for this security</param>
        /// <param name="baseCurrency">The output base currency</param>
        /// <param name="quoteCurrency">The output quote currency</param>
        public static void DecomposeCurrencyPair(Symbol symbol, SymbolProperties symbolProperties, out string baseCurrency, out string quoteCurrency)
        {
            quoteCurrency = symbolProperties.QuoteCurrency;
            if (symbol.Value.EndsWith(quoteCurrency))
            {
                baseCurrency = symbol.Value.RemoveFromEnd(quoteCurrency);
            }
            else
            {
                throw new InvalidOperationException($"Symbol doesn't end with {quoteCurrency}");
            }
        }

        /// <summary>
        /// Returns the securities symbol
        /// </summary>
        public static implicit operator Symbol(Cfd security) => security.Symbol;
    }
}