wehub-resource-sync
101 lines
3.7 KiB
C#
101 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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*/
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using QuantConnect.Data;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Securities.IndexOption
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{
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/// <summary>
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/// Index Option Symbol Properties
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/// </summary>
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public class IndexOptionSymbolProperties : OptionSymbolProperties
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{
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private BaseData _lastData;
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/// <summary>
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/// Minimum price variation, subject to variability due to contract price
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/// </summary>
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public override decimal MinimumPriceVariation => MinimumPriceVariationForPrice(_lastData?.Symbol, _lastData?.Price);
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/// <summary>
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/// Creates an instance of index symbol properties
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/// </summary>
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/// <param name="description">Description of the Symbol</param>
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/// <param name="quoteCurrency">Currency the price is quoted in</param>
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/// <param name="contractMultiplier">Contract multiplier of the index option</param>
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/// <param name="pipSize">Minimum price variation</param>
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/// <param name="lotSize">Minimum order lot size</param>
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public IndexOptionSymbolProperties(
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string description,
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string quoteCurrency,
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decimal contractMultiplier,
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decimal pipSize,
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decimal lotSize
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)
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: base(description, quoteCurrency, contractMultiplier, pipSize, lotSize)
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{
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}
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/// <summary>
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/// Creates instance of index symbol properties
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/// </summary>
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/// <param name="properties"></param>
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public IndexOptionSymbolProperties(SymbolProperties properties)
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: base(properties)
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{
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}
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/// <summary>
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/// Updates the last data received, required for calculating some
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/// index options contracts that have a variable step size for their premium's quotes
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/// </summary>
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/// <param name="marketData">Data to update with</param>
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internal void UpdateMarketPrice(BaseData marketData)
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{
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_lastData = marketData;
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}
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/// <summary>
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/// Minimum price variation, subject to variability due to contract price
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/// </summary>
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/// <remarks>https://www.cboe.com/tradable_products/vix/vix_options/specifications/
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/// https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/
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/// https://www.nasdaq.com/docs/2022/08/24/1926-Q22_NDX%20Fact%20Sheet_NAM_v3.pdf</remarks>
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public static decimal MinimumPriceVariationForPrice(Symbol symbol, decimal? referencePrice)
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{
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if(symbol == null || !referencePrice.HasValue)
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{
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return 0.05m;
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}
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var aboveThree = 0.1m;
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var belowThree = 0.05m;
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if(symbol.ID.Symbol == "VIXW")
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{
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aboveThree = belowThree = 0.01m;
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}
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else if (symbol.ID.Symbol == "VIX")
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{
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belowThree = 0.01m;
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aboveThree = 0.05m;
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}
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return referencePrice.HasValue && referencePrice >= 3m ? aboveThree : belowThree;
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}
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}
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}
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