wehub-resource-sync
71 lines
2.9 KiB
C#
71 lines
2.9 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;
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using System.Collections.Generic;
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namespace QuantConnect.Securities.Option.StrategyMatcher
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{
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/// <summary>
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/// Provides an implementation of <see cref="IOptionStrategyLegPredicateReferenceValue"/> that references an option
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/// leg from the list of already matched legs by index. The property referenced is defined by <see cref="PredicateTargetValue"/>
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/// </summary>
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public class OptionStrategyLegPredicateReferenceValue : IOptionStrategyLegPredicateReferenceValue
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{
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private readonly int _index;
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/// <summary>
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/// Gets the target of this value
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/// </summary>
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public PredicateTargetValue Target { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="IOptionStrategyLegPredicateReferenceValue"/> class
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/// </summary>
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/// <param name="index">The legs list index</param>
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/// <param name="target">The property value being referenced</param>
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public OptionStrategyLegPredicateReferenceValue(int index, PredicateTargetValue target)
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{
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_index = index;
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Target = target;
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}
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/// <summary>
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/// Resolves the value of the comparand specified in an <see cref="OptionStrategyLegPredicate"/>.
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/// For example, the predicate may include ... > legs[0].Strike, and upon evaluation, we need to
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/// be able to extract leg[0].Strike for the currently contemplated set of legs adhering to a
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/// strategy's definition.
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/// </summary>
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public object Resolve(IReadOnlyList<OptionPosition> legs)
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{
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if (_index >= legs.Count)
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{
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throw new InvalidOperationException(
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$"OptionStrategyLegPredicateReferenceValue[{_index}] is unable to be resolved. Only {legs.Count} legs were provided."
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);
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}
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var leg = legs[_index];
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switch (Target)
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{
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case PredicateTargetValue.Right: return leg.Right;
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case PredicateTargetValue.Strike: return leg.Strike;
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case PredicateTargetValue.Expiration: return leg.Expiration;
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default:
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throw new ArgumentOutOfRangeException();
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}
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}
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}
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} |