wehub-resource-sync
106 lines
4.3 KiB
C#
106 lines
4.3 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 System.Globalization;
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using QuantConnect.Logging;
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namespace QuantConnect.Securities.Future
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{
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/// <summary>
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/// POCO class for modeling margin requirements at given date
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/// </summary>
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public class MarginRequirementsEntry
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{
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/// <summary>
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/// Date of margin requirements change
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/// </summary>
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public DateTime Date { get; init; }
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/// <summary>
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/// Initial overnight margin for the contract effective from the date of change
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/// </summary>
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public decimal InitialOvernight { get; init; }
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/// <summary>
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/// Maintenance overnight margin for the contract effective from the date of change
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/// </summary>
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public decimal MaintenanceOvernight { get; init; }
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/// <summary>
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/// Initial intraday margin for the contract effective from the date of change
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/// </summary>
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public decimal InitialIntraday { get; init; }
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/// <summary>
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/// Maintenance intraday margin for the contract effective from the date of change
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/// </summary>
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public decimal MaintenanceIntraday { get; init; }
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/// <summary>
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/// Creates a new instance of <see cref="MarginRequirementsEntry"/> from the specified csv line
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/// </summary>
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/// <param name="csvLine">The csv line to be parsed</param>
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/// <returns>A new <see cref="MarginRequirementsEntry"/> for the specified csv line</returns>
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public static MarginRequirementsEntry Create(string csvLine)
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{
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var line = csvLine.Split(',');
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DateTime date;
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if (!DateTime.TryParseExact(line[0], DateFormat.EightCharacter, CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
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{
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Log.Trace($"Couldn't parse date/time while reading future margin requirement file. Line: {csvLine}");
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}
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decimal initialOvernight;
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if (!decimal.TryParse(line[1], out initialOvernight))
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{
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Log.Trace($"Couldn't parse Initial Overnight margin requirements while reading future margin requirement file. Line: {csvLine}");
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}
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decimal maintenanceOvernight;
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if (!decimal.TryParse(line[2], out maintenanceOvernight))
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{
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Log.Trace($"Couldn't parse Maintenance Overnight margin requirements while reading future margin requirement file. Line: {csvLine}");
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}
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// default value, if present in file we try to parse
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decimal initialIntraday = initialOvernight * 0.4m;
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if (line.Length >= 4
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&& !decimal.TryParse(line[3], out initialIntraday))
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{
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Log.Trace($"Couldn't parse Initial Intraday margin requirements while reading future margin requirement file. Line: {csvLine}");
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}
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// default value, if present in file we try to parse
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decimal maintenanceIntraday = maintenanceOvernight * 0.4m;
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if (line.Length >= 5
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&& !decimal.TryParse(line[4], out maintenanceIntraday))
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{
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Log.Trace($"Couldn't parse Maintenance Intraday margin requirements while reading future margin requirement file. Line: {csvLine}");
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}
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return new MarginRequirementsEntry
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{
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Date = date,
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InitialOvernight = initialOvernight,
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MaintenanceOvernight = maintenanceOvernight,
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InitialIntraday = initialIntraday,
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MaintenanceIntraday = maintenanceIntraday
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};
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}
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}
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}
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