wehub-resource-sync
107 lines
4.5 KiB
C#
107 lines
4.5 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.Data;
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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.IndexOption
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{
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/// <summary>
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/// Index Options security
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/// </summary>
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public class IndexOption : Option.Option
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{
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/// <summary>
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/// Constructor for the index option security
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/// </summary>
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/// <param name="symbol">Symbol of the index option</param>
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/// <param name="exchangeHours">Exchange hours of the index option</param>
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/// <param name="quoteCurrency">Quoted currency of the index option</param>
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/// <param name="symbolProperties">Symbol properties of the index 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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/// <param name="settlementType">Settlement type for the index option. Most index options are cash-settled.</param>
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/// <param name="priceModelProvider">The option price model provider</param>
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public IndexOption(Symbol symbol,
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SecurityExchangeHours exchangeHours,
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Cash quoteCurrency,
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IndexOptionSymbolProperties 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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SettlementType settlementType = SettlementType.Cash,
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IOptionPriceModelProvider priceModelProvider = null)
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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 ImmediateFillModel(),
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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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new OptionMarginModel(),
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new OptionDataFilter(),
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new IndexOptionPriceVariationModel(),
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currencyConverter,
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registeredTypes,
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underlying,
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priceModelProvider
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)
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{
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ExerciseSettlement = settlementType;
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}
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/// <summary>
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/// Consumes market price data and updates the minimum price variation
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/// </summary>
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/// <param name="data">Market price data</param>
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/// <remarks>
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/// Index options have variable sized minimum price variations.
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/// For prices greater than or equal to $3.00 USD, the minimum price variation is $0.10 USD.
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/// For prices less than $3.00 USD, the minimum price variation is $0.05 USD.
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/// </remarks>
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protected override void UpdateConsumersMarketPrice(BaseData data)
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{
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base.UpdateConsumersMarketPrice(data);
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((IndexOptionSymbolProperties)SymbolProperties).UpdateMarketPrice(data);
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}
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/// <summary>
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/// Updates the symbol properties of this security
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/// </summary>
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internal override void UpdateSymbolProperties(SymbolProperties symbolProperties)
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{
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if (symbolProperties != null)
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{
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SymbolProperties = new IndexOptionSymbolProperties(symbolProperties);
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}
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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(IndexOption security) => security.Symbol;
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}
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}
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