wehub-resource-sync
47 lines
1.8 KiB
C#
47 lines
1.8 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.Collections.Generic;
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namespace QuantConnect.Securities.FutureOption
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{
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/// <summary>
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/// Provides a means to get the scaling factor for CME's quotes API
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/// </summary>
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public class CMEStrikePriceScalingFactors
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{
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/// <summary>
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/// CME's option chain quotes strike price scaling factor
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/// </summary>
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private static readonly IReadOnlyDictionary<string, decimal> _scalingFactors = new Dictionary<string, decimal>
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{
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{ "SI", 0.1m },
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{ "NG", 5m }
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};
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/// <summary>
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/// Gets the option chain strike price scaling factor for the quote response from CME
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/// </summary>
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/// <param name="underlyingFuture">Underlying future Symbol to normalize</param>
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/// <returns>Scaling factor for the strike price</returns>
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public static decimal GetScaleFactor(Symbol underlyingFuture)
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{
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return _scalingFactors.ContainsKey(underlyingFuture.ID.Symbol)
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? _scalingFactors[underlyingFuture.ID.Symbol]
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: 1m;
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}
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}
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}
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