wehub-resource-sync
78 lines
3.0 KiB
C#
78 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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*/
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using System.Collections.Generic;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities.Option;
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using static QuantConnect.Extensions;
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namespace QuantConnect.Orders.OptionExercise
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{
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/// <summary>
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/// Represents the default option exercise model (physical, cash settlement)
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/// </summary>
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public class DefaultExerciseModel : IOptionExerciseModel
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{
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/// <summary>
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/// Default option exercise model for the basic equity/index option security class.
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/// </summary>
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/// <param name="option">Option we're trading this order</param>
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/// <param name="order">Order to update</param>
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public virtual IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
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{
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var underlying = option.Underlying;
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var utcTime = option.LocalTime.ConvertToUtc(option.Exchange.TimeZone);
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var inTheMoney = option.IsAutoExercised(underlying.Close);
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var isAssignment = inTheMoney && option.Holdings.IsShort;
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yield return new OrderEvent(
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order.Id,
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option.Symbol,
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utcTime,
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OrderStatus.Filled,
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GetOrderDirection(order.Quantity),
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0.0m,
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order.Quantity,
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OrderFee.Zero,
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Messages.DefaultExerciseModel.ContractHoldingsAdjustmentFillTag(inTheMoney, isAssignment, option)
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)
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{
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IsAssignment = isAssignment,
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IsInTheMoney = inTheMoney
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};
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// TODO : Support Manual Exercise of OTM contracts [ inTheMoney = false ]
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if (inTheMoney && option.ExerciseSettlement == SettlementType.PhysicalDelivery)
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{
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var exerciseQuantity = option.GetExerciseQuantity(order.Quantity);
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yield return new OrderEvent(
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order.Id,
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underlying.Symbol,
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utcTime,
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OrderStatus.Filled,
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GetOrderDirection(exerciseQuantity),
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option.StrikePrice,
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exerciseQuantity,
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OrderFee.Zero,
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isAssignment ? Messages.DefaultExerciseModel.OptionAssignment : Messages.DefaultExerciseModel.OptionExercise
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) { IsInTheMoney = true };
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}
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}
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}
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}
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