wehub-resource-sync
76 lines
3.0 KiB
C#
76 lines
3.0 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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using QuantConnect.Securities.Option;
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namespace QuantConnect.Securities.FutureOption
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{
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/// <summary>
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/// Futures Options security
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/// </summary>
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public class FutureOption : Option.Option
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{
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/// <summary>
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/// Constructor for the future option security
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/// </summary>
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/// <param name="symbol">Symbol of the future option</param>
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/// <param name="exchangeHours">Exchange hours of the future option</param>
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/// <param name="quoteCurrency">Quoted currency of the future option</param>
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/// <param name="symbolProperties">Symbol properties of the future option</param>
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/// <param name="currencyConverter">Currency converter</param>
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/// <param name="registeredTypes">Provides all data types registered to the algorithm</param>
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/// <param name="securityCache">Cache of security objects</param>
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/// <param name="underlying">Future underlying security</param>
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public FutureOption(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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OptionSymbolProperties symbolProperties,
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ICurrencyConverter currencyConverter,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCache securityCache,
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Security underlying)
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: base(symbol,
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quoteCurrency,
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symbolProperties,
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new OptionExchange(exchangeHours),
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securityCache,
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new OptionPortfolioModel(),
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new FutureOptionFillModel(),
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new InteractiveBrokersFeeModel(),
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NullSlippageModel.Instance,
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new ImmediateSettlementModel(),
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Securities.VolatilityModel.Null,
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null,
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new OptionDataFilter(),
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new SecurityPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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underlying,
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null
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)
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{
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BuyingPowerModel = new FuturesOptionsMarginModel(0, this);
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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(FutureOption security) => security.Symbol;
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}
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}
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