wehub-resource-sync
105 lines
4.6 KiB
C#
105 lines
4.6 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 QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Orders.Slippage;
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namespace QuantConnect.Securities.CryptoFuture
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{
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/// <summary>
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/// Crypto Future Security Object Implementation for Crypto Future Assets
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/// </summary>
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public class CryptoFuture : Security, IBaseCurrencySymbol
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{
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/// <summary>
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/// Gets the currency acquired by going long this currency pair
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/// </summary>
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/// <remarks>
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/// For example, the EUR/USD has a base currency of the euro, and as a result
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/// of going long the EUR/USD a trader is acquiring euros in exchange for US dollars
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/// </remarks>
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public Cash BaseCurrency { get; protected set; }
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/// <summary>
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/// Constructor for the Crypto Future security
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <param name="exchangeHours">Defines the hours this exchange is open</param>
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/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
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/// <param name="baseCurrency">The cash object that represent the base currency</param>
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/// <param name="symbolProperties">The symbol properties for this security</param>
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/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
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/// instances into units of the account currency</param>
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/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
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/// <param name="cache">The security cache</param>
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public CryptoFuture(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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Cash baseCurrency,
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SymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache cache)
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: base(symbol,
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quoteCurrency,
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symbolProperties,
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new CryptoFutureExchange(exchangeHours),
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cache,
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new SecurityPortfolioModel(),
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new ImmediateFillModel(),
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IsCryptoCoinFuture(quoteCurrency.Symbol) ? new BinanceCoinFuturesFeeModel() : new BinanceFuturesFeeModel(),
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NullSlippageModel.Instance,
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new ImmediateSettlementModel(),
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Securities.VolatilityModel.Null,
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new CryptoFutureMarginModel(),
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new SecurityDataFilter(),
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new SecurityPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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// only applies for perpetual futures
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symbol.ID.Date == SecurityIdentifier.DefaultDate ? new BinanceFutureMarginInterestRateModel() : Securities.MarginInterestRateModel.Null
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)
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{
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BaseCurrency = baseCurrency;
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Holdings = new CryptoFutureHolding(this, currencyConverter);
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}
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/// <summary>
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/// Checks whether the security is a crypto coin future
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/// </summary>
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/// <returns>True if the security is a crypto coin future</returns>
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public bool IsCryptoCoinFuture()
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{
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return IsCryptoCoinFuture(QuoteCurrency.Symbol);
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}
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/// <summary>
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/// Checks whether the security is a crypto coin future
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/// </summary>
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/// <param name="quoteCurrency">The security quote currency</param>
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/// <returns>True if the security is a crypto coin future</returns>
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private static bool IsCryptoCoinFuture(string quoteCurrency)
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{
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return quoteCurrency != "USDT" && quoteCurrency != "BUSD" && quoteCurrency != "USDC";
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}
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/// <summary>
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/// Returns the securities symbol
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/// </summary>
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public static implicit operator Symbol(CryptoFuture security) => security.Symbol;
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}
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}
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