Lean  $LEAN_TAG$
Cfd.cs
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3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
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12  * See the License for the specific language governing permissions and
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14 */
15 
16 using System;
17 using QuantConnect.Data;
18 using QuantConnect.Orders.Fees;
19 using QuantConnect.Orders.Fills;
20 using QuantConnect.Orders.Slippage;
21 
22 namespace QuantConnect.Securities.Cfd
23 {
24  /// <summary>
25  /// CFD Security Object Implementation for CFD Assets
26  /// </summary>
27  /// <seealso cref="Security"/>
28  public class Cfd : Security
29  {
30  /// <summary>
31  /// Constructor for the CFD security
32  /// </summary>
33  /// <param name="exchangeHours">Defines the hours this exchange is open</param>
34  /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
35  /// <param name="config">The subscription configuration for this security</param>
36  /// <param name="symbolProperties">The symbol properties for this security</param>
37  /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
38  /// instances into units of the account currency</param>
39  /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
40  public Cfd(SecurityExchangeHours exchangeHours,
41  Cash quoteCurrency,
42  SubscriptionDataConfig config,
43  SymbolProperties symbolProperties,
44  ICurrencyConverter currencyConverter,
45  IRegisteredSecurityDataTypesProvider registeredTypes)
46  : base(config,
47  quoteCurrency,
48  symbolProperties,
49  new CfdExchange(exchangeHours),
50  new CfdCache(),
51  new SecurityPortfolioModel(),
52  new ImmediateFillModel(),
53  new ConstantFeeModel(0),
54  NullSlippageModel.Instance,
55  new ImmediateSettlementModel(),
56  Securities.VolatilityModel.Null,
57  new SecurityMarginModel(50m),
58  new CfdDataFilter(),
59  new SecurityPriceVariationModel(),
60  currencyConverter,
61  registeredTypes,
62  Securities.MarginInterestRateModel.Null
63  )
64  {
65  Holdings = new CfdHolding(this, currencyConverter);
66  }
67 
68  /// <summary>
69  /// Constructor for the CFD security
70  /// </summary>
71  /// <param name="symbol">The security's symbol</param>
72  /// <param name="exchangeHours">Defines the hours this exchange is open</param>
73  /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
74  /// <param name="symbolProperties">The symbol properties for this security</param>
75  /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
76  /// instances into units of the account currency</param>
77  /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
78  /// <param name="securityCache">Cache for storing Security data</param>
79  public Cfd(Symbol symbol,
80  SecurityExchangeHours exchangeHours,
81  Cash quoteCurrency,
82  SymbolProperties symbolProperties,
83  ICurrencyConverter currencyConverter,
84  IRegisteredSecurityDataTypesProvider registeredTypes,
85  SecurityCache securityCache)
86  : base(symbol,
87  quoteCurrency,
88  symbolProperties,
89  new CfdExchange(exchangeHours),
90  securityCache,
91  new SecurityPortfolioModel(),
92  new ImmediateFillModel(),
93  new ConstantFeeModel(0),
94  NullSlippageModel.Instance,
95  new ImmediateSettlementModel(),
96  Securities.VolatilityModel.Null,
97  new SecurityMarginModel(50m),
98  new CfdDataFilter(),
99  new SecurityPriceVariationModel(),
100  currencyConverter,
101  registeredTypes,
102  Securities.MarginInterestRateModel.Null
103  )
104  {
105  Holdings = new CfdHolding(this, currencyConverter);
106  }
107 
108  /// <summary>
109  /// Gets the contract multiplier for this CFD security
110  /// </summary>
111  public decimal ContractMultiplier
112  {
113  get { return SymbolProperties.ContractMultiplier; }
114  }
115 
116  /// <summary>
117  /// Gets the minimum price variation for this CFD security
118  /// </summary>
119  public decimal MinimumPriceVariation
120  {
121  get { return SymbolProperties.MinimumPriceVariation; }
122  }
123 
124  /// <summary>
125  /// Decomposes the specified currency pair into a base and quote currency provided as out parameters
126  /// </summary>
127  /// <param name="symbol">The input symbol to be decomposed</param>
128  /// <param name="symbolProperties">The symbol properties for this security</param>
129  /// <param name="baseCurrency">The output base currency</param>
130  /// <param name="quoteCurrency">The output quote currency</param>
131  public static void DecomposeCurrencyPair(Symbol symbol, SymbolProperties symbolProperties, out string baseCurrency, out string quoteCurrency)
132  {
133  quoteCurrency = symbolProperties.QuoteCurrency;
134  if (symbol.Value.EndsWith(quoteCurrency))
135  {
136  baseCurrency = symbol.Value.RemoveFromEnd(quoteCurrency);
137  }
138  else
139  {
140  throw new InvalidOperationException($"Symbol doesn't end with {quoteCurrency}");
141  }
142  }
143  }
144 }