wehub-resource-sync
101 lines
4.9 KiB
C#
101 lines
4.9 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 QuantConnect.Securities.Option.StrategyMatcher;
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namespace QuantConnect.Tests.Common.Securities.Options.StrategyMatcher
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{
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/// <summary>
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/// Provides array-indexer calling conventions for easily creating option contract symbols.
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/// I suspect I'll update this later to fulfill the original vision of being a full option
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/// chain, where indexing is successively applied, such as Puts[100m] would return a dictionary
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/// keyed by expiration of all puts@100. To pull a specific one, Puts[100m][expiration] or Puts[100m][1]
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/// using the weeks notation used in the indexers in this class.
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/// </summary>
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public static class Option
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{
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public static readonly Symbol Underlying = Symbols.SPY;
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public static readonly DateTime ReferenceDate = new DateTime(2020, 10, 16);
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public const decimal ContractMultiplier = 100m;
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public static Factory Contract { get; } = new Factory();
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public static FactoryRight Put { get; } = new FactoryRight(OptionRight.Put);
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public static FactoryRight Call { get; } = new FactoryRight(OptionRight.Call);
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public class Factory
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{
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public Symbol this[Symbol underlying, OptionRight right, decimal strike, DateTime expiration]
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=> Symbol.CreateOption(underlying, underlying.ID.Market, OptionStyle.American, right, strike, expiration);
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public Symbol this[OptionRight right, decimal strike, DateTime expiration]
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=> Symbol.CreateOption(Underlying, Market.USA, OptionStyle.American, right, strike, expiration);
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public Symbol this[Symbol underlying, OptionRight right, decimal strike, int weeks = 0]
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=> Symbol.CreateOption(underlying, underlying.ID.Market, OptionStyle.American, right, strike, ReferenceDate.AddDays(7 * weeks));
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public Symbol this[OptionRight right, decimal strike, int weeks = 0]
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=> Symbol.CreateOption(Underlying, Market.USA, OptionStyle.American, right, strike, ReferenceDate.AddDays(7 * weeks));
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}
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public class FactoryRight
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{
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private readonly OptionRight right;
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public FactoryRight(OptionRight right)
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{
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this.right = right;
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}
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public Symbol this[Symbol underlying, decimal strike, DateTime expiration]
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=> Symbol.CreateOption(underlying, underlying.ID.Market, OptionStyle.American, right, strike, expiration);
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public Symbol this[decimal strike, DateTime expiration]
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=> Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, right, strike, expiration);
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public Symbol this[Symbol underlying, decimal strike, int weeks = 0]
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=> Symbol.CreateOption(underlying, underlying.ID.Market, OptionStyle.American, right, strike, ReferenceDate.AddDays(7 * weeks));
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public Symbol this[decimal strike, int weeks = 0]
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=> Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, right, strike, ReferenceDate.AddDays(7 * weeks));
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}
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public static Symbol WithStrike(this Symbol symbol, decimal strike)
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{
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return Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, symbol.ID.OptionStyle, symbol.ID.OptionRight, strike, symbol.ID.Date);
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}
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public static Symbol WithExpiration(this Symbol symbol, DateTime expiration)
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{
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return Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, symbol.ID.OptionStyle, symbol.ID.OptionRight, symbol.ID.StrikePrice, expiration);
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}
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public static Symbol WithRight(this Symbol symbol, OptionRight right)
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{
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return Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, symbol.ID.OptionStyle, right, symbol.ID.StrikePrice, symbol.ID.Date);
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}
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public static Symbol WithUnderlying(this Symbol symbol, Symbol underlying)
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{
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return Symbol.CreateOption(underlying, symbol.ID.Market, symbol.ID.OptionStyle, symbol.ID.OptionRight, symbol.ID.StrikePrice, symbol.ID.Date);
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}
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public static OptionPosition Position(Symbol symbol, int quantity = +1)
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{
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return new OptionPosition(symbol, quantity);
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}
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}
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}
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