wehub-resource-sync
108 lines
3.7 KiB
C#
108 lines
3.7 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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using System.Linq;
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namespace QuantConnect.Securities.Future
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{
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/// <summary>
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/// Provides conversions from a GLOBEX Futures ticker to a GLOBEX Futures Options ticker
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/// </summary>
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public static class FuturesOptionsSymbolMappings
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{
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/// <summary>
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/// Defines Futures GLOBEX Ticker -> Futures Options GLOBEX Ticker
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/// </summary>
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private static Dictionary<string, string> _futureToFutureOptionsGLOBEX = new Dictionary<string, string>
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{
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{ "EH", "OEH" },
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{ "KE", "OKE" },
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{ "TN", "OTN" },
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{ "UB", "OUB" },
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{ "YM", "OYM" },
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{ "ZB", "OZB" },
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{ "ZC", "OZC" },
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{ "ZF", "OZF" },
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{ "ZL", "OZL" },
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{ "ZM", "OZM" },
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{ "ZN", "OZN" },
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{ "ZO", "OZO" },
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{ "ZS", "OZS" },
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{ "ZT", "OZT" },
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{ "ZW", "OZW" },
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{ "RTY", "RTO" },
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{ "GC", "OG" },
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{ "HG", "HXE" },
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{ "SI", "SO" },
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{ "CL", "LO" },
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{ "HCL", "HCO" },
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{ "HO", "OH" },
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{ "NG", "ON" },
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{ "PA", "PAO" },
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{ "PL", "PO" },
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{ "RB", "OB" },
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{ "YG", "OYG" },
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{ "ZG", "OZG" },
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{ "ZI", "OZI" },
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{ "6A", "ADU" },
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{ "6B", "GBU" },
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{ "6C", "CAU" },
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{ "6E", "EUU" },
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{ "6J", "JPU" },
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{ "6S", "CHU" }
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};
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private static Dictionary<string, string> _futureOptionsToFutureGLOBEX = _futureToFutureOptionsGLOBEX
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.ToDictionary(kvp => kvp.Value, kvp => kvp.Key);
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/// <summary>
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/// Returns the futures options ticker for the given futures ticker.
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/// </summary>
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/// <param name="futureTicker">Future GLOBEX ticker to get Future Option GLOBEX ticker for</param>
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/// <returns>Future option ticker. Defaults to future ticker provided if no entry is found</returns>
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public static string Map(string futureTicker)
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{
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futureTicker = futureTicker.ToUpperInvariant();
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string result;
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if (!_futureToFutureOptionsGLOBEX.TryGetValue(futureTicker, out result))
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{
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return futureTicker;
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}
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return result;
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}
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/// <summary>
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/// Maps a futures options ticker to its underlying future's ticker
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/// </summary>
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/// <param name="futureOptionTicker">Future option ticker to map to the underlying</param>
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/// <returns>Future ticker</returns>
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public static string MapFromOption(string futureOptionTicker)
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{
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futureOptionTicker = futureOptionTicker.ToUpperInvariant();
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string result;
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if (!_futureOptionsToFutureGLOBEX.TryGetValue(futureOptionTicker, out result))
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{
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return futureOptionTicker;
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}
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return result;
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}
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}
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}
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