wehub-resource-sync
270 lines
11 KiB
C#
270 lines
11 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.Data;
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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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using Python.Runtime;
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using QuantConnect.Util;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Securities.Future
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{
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/// <summary>
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/// Futures Security Object Implementation for Futures Assets
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/// </summary>
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/// <seealso cref="Security"/>
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public class Future : Security, IContinuousSecurity
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{
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private bool _isTradable;
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/// <summary>
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/// Gets or sets whether or not this security should be considered tradable
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/// </summary>
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/// <remarks>Canonical futures are not tradable</remarks>
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public override bool IsTradable
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{
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get
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{
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// once a future is removed it is no longer tradable
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return _isTradable && !Symbol.IsCanonical();
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}
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set
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{
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_isTradable = value;
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}
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}
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/// <summary>
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/// The default number of days required to settle a futures sale
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/// </summary>
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public const int DefaultSettlementDays = 1;
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/// <summary>
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/// The default time of day for settlement
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/// </summary>
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public static readonly TimeSpan DefaultSettlementTime = new TimeSpan(6, 0, 0);
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/// <summary>
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/// Constructor for the Future security
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/// </summary>
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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="config">The subscription configuration for this security</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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public Future(SecurityExchangeHours exchangeHours,
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SubscriptionDataConfig config,
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Cash quoteCurrency,
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SymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes
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)
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: base(config,
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quoteCurrency,
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symbolProperties,
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new FutureExchange(exchangeHours),
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new FutureCache(),
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new SecurityPortfolioModel(),
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new FutureFillModel(),
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new InteractiveBrokersFeeModel(),
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NullSlippageModel.Instance,
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new FutureSettlementModel(),
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Securities.VolatilityModel.Null,
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null,
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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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Securities.MarginInterestRateModel.Null
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)
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{
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BuyingPowerModel = new FutureMarginModel(0, this);
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// for now all futures are cash settled as we don't allow underlying (Live Cattle?) to be posted on the account
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SettlementType = SettlementType.Cash;
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Holdings = new FutureHolding(this, currencyConverter);
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ContractFilter = new EmptyContractFilter<FutureUniverse>();
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}
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/// <summary>
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/// Constructor for the Future security
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/// </summary>
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/// <param name="symbol">The subscription security 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="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="securityCache">Cache to store security information</param>
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public Future(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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SymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache securityCache)
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: base(symbol,
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quoteCurrency,
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symbolProperties,
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new FutureExchange(exchangeHours),
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securityCache,
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new SecurityPortfolioModel(),
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new FutureFillModel(),
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new InteractiveBrokersFeeModel(),
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NullSlippageModel.Instance,
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new FutureSettlementModel(),
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Securities.VolatilityModel.Null,
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null,
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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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Securities.MarginInterestRateModel.Null
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)
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{
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BuyingPowerModel = new FutureMarginModel(0, this);
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// for now all futures are cash settled as we don't allow underlying (Live Cattle?) to be posted on the account
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SettlementType = SettlementType.Cash;
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Holdings = new FutureHolding(this, currencyConverter);
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ContractFilter = new EmptyContractFilter<FutureUniverse>();
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}
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/// <summary>
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/// Returns true if this is the future chain security, false if it is a specific future contract
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/// </summary>
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public bool IsFutureChain => Symbol.IsCanonical();
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/// <summary>
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/// Returns true if this is a specific future contract security, false if it is the future chain security
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/// </summary>
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public bool IsFutureContract => !Symbol.IsCanonical();
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/// <summary>
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/// Gets the expiration date
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/// </summary>
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public DateTime Expiry
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{
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get { return Symbol.ID.Date; }
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}
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/// <summary>
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/// Specifies if futures contract has physical or cash settlement on settlement
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/// </summary>
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public SettlementType SettlementType
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{
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get; set;
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}
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/// <summary>
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/// Gets or sets the currently mapped symbol for the security
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/// </summary>
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public Symbol Mapped
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{
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get; set;
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}
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/// <summary>
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/// Gets or sets the contract filter
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/// </summary>
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public IDerivativeSecurityFilter<FutureUniverse> ContractFilter
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{
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get; set;
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}
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/// <summary>
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/// Sets the <see cref="LocalTimeKeeper"/> to be used for this <see cref="Security"/>.
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/// This is the source of this instance's time.
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/// </summary>
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/// <param name="localTimeKeeper">The source of this <see cref="Security"/>'s time.</param>
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public override void SetLocalTimeKeeper(LocalTimeKeeper localTimeKeeper)
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{
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base.SetLocalTimeKeeper(localTimeKeeper);
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var model = SettlementModel as FutureSettlementModel;
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if (model != null)
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{
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model.SetLocalDateTimeFrontier(LocalTime);
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}
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}
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/// <summary>
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/// Sets the <see cref="ContractFilter"/> to a new instance of the filter
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/// using the specified expiration range values
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/// </summary>
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/// <param name="minExpiry">The minimum time until expiry to include, for example, TimeSpan.FromDays(10)
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/// would exclude contracts expiring in less than 10 days</param>
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/// <param name="maxExpiry">The maximum time until expiry to include, for example, TimeSpan.FromDays(10)
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/// would exclude contracts expiring in more than 10 days</param>
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public void SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry)
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{
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SetFilterImp(universe => universe.Expiration(minExpiry, maxExpiry));
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}
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/// <summary>
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/// Sets the <see cref="ContractFilter"/> to a new instance of the filter
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/// using the specified expiration range values
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/// </summary>
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/// <param name="minExpiryDays">The minimum time, expressed in days, until expiry to include, for example, 10
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/// would exclude contracts expiring in less than 10 days</param>
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/// <param name="maxExpiryDays">The maximum time, expressed in days, until expiry to include, for example, 10
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/// would exclude contracts expiring in more than 10 days</param>
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public void SetFilter(int minExpiryDays, int maxExpiryDays)
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{
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SetFilterImp(universe => universe.Expiration(minExpiryDays, maxExpiryDays));
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}
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/// <summary>
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/// Sets the <see cref="ContractFilter"/> to a new universe selection function
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/// </summary>
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/// <param name="universeFunc">new universe selection function</param>
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public void SetFilter(Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc)
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{
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SetFilterImp(universeFunc);
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ContractFilter.Asynchronous = false;
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}
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/// <summary>
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/// Sets the <see cref="ContractFilter"/> to a new universe selection function
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/// </summary>
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/// <param name="universeFunc">new universe selection function</param>
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public void SetFilter(PyObject universeFunc)
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{
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var pyUniverseFunc = PythonUtil.ToFunc<FutureFilterUniverse, FutureFilterUniverse>(universeFunc);
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SetFilter(pyUniverseFunc);
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}
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private void SetFilterImp(Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc)
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{
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Func<IDerivativeSecurityFilterUniverse<FutureUniverse>, IDerivativeSecurityFilterUniverse<FutureUniverse>> func = universe =>
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{
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var futureUniverse = universe as FutureFilterUniverse;
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var result = universeFunc(futureUniverse);
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return result.ApplyTypesFilter();
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};
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ContractFilter = new FuncSecurityDerivativeFilter<FutureUniverse>(func);
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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(Future security) => security.Symbol;
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}
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}
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