Futures Security Object Implementation for Futures Assets More...

Inheritance diagram for QuantConnect.Securities.Future.Future:

Public Member Functions
	Future (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes)
	Constructor for the Future security More...

	Future (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCache securityCache, Security underlying=null)
	Constructor for the Future security More...

override void	SetLocalTimeKeeper (LocalTimeKeeper localTimeKeeper)
	Sets the LocalTimeKeeper to be used for this Security. This is the source of this instance's time. More...

void	SetFilter (TimeSpan minExpiry, TimeSpan maxExpiry)
	Sets the ContractFilter to a new instance of the filter using the specified expiration range values More...

void	SetFilter (int minExpiryDays, int maxExpiryDays)
	Sets the ContractFilter to a new instance of the filter using the specified expiration range values More...

void	SetFilter (Func< FutureFilterUniverse, FutureFilterUniverse > universeFunc)
	Sets the ContractFilter to a new universe selection function More...

void	SetFilter (PyObject universeFunc)
	Sets the ContractFilter to a new universe selection function More...

Public Member Functions inherited from QuantConnect.Securities.Security
	Security (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache)
	Construct a new security vehicle based on the user options. More...

	Security (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache)
	Construct a new security vehicle based on the user options. More...

BaseData	GetLastData ()
	Get the last price update set to the security if any else null More...

void	SetMarketPrice (BaseData data)
	Update any security properties based on the latest market data and time More...

void	Update (IReadOnlyList< BaseData > data, Type dataType, bool? containsFillForwardData=null)
	Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache More...

bool	IsCustomData ()
	Returns true if the security contains at least one subscription that represents custom data More...

void	SetLeverage (decimal leverage)
	Set the leverage parameter for this security More...

virtual void	SetDataNormalizationMode (DataNormalizationMode mode)
	Sets the data normalization mode to be used by this security More...

void	RefreshDataNormalizationModeProperty ()
	This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property More...

void	SetFeeModel (IFeeModel feelModel)
	Sets the fee model More...

void	SetFeeModel (PyObject feelModel)
	Sets the fee model More...

void	SetFillModel (IFillModel fillModel)
	Sets the fill model More...

void	SetFillModel (PyObject fillModel)
	Sets the fill model More...

void	SetSettlementModel (ISettlementModel settlementModel)
	Sets the settlement model More...

void	SetSettlementModel (PyObject settlementModel)
	Sets the settlement model More...

void	SetSlippageModel (ISlippageModel slippageModel)
	Sets the slippage model More...

void	SetSlippageModel (PyObject slippageModel)
	Sets the slippage model More...

void	SetVolatilityModel (IVolatilityModel volatilityModel)
	Sets the volatility model More...

void	SetVolatilityModel (PyObject volatilityModel)
	Sets the volatility model More...

void	SetBuyingPowerModel (IBuyingPowerModel buyingPowerModel)
	Sets the buying power model More...

void	SetBuyingPowerModel (PyObject pyObject)
	Sets the buying power model More...

void	SetMarginInterestRateModel (IMarginInterestRateModel marginInterestRateModel)
	Sets the margin interests rate model More...

void	SetMarginInterestRateModel (PyObject pyObject)
	Sets the margin interests rate model More...

void	SetMarginModel (IBuyingPowerModel marginModel)
	Sets the margin model More...

void	SetMarginModel (PyObject pyObject)
	Sets the margin model More...

void	SetShortableProvider (PyObject pyObject)
	Set Python Shortable Provider for this Security More...

void	SetShortableProvider (IShortableProvider shortableProvider)
	Set Shortable Provider for this Security More...

void	SetDataFilter (PyObject pyObject)
	Set Security Data Filter More...

void	SetDataFilter (ISecurityDataFilter dataFilter)
	Set Security Data Filter More...

override bool	TryGetMember (GetMemberBinder binder, out object result)
	This is a DynamicObject override. Not meant for external use. More...

override bool	TrySetMember (SetMemberBinder binder, object value)
	This is a DynamicObject override. Not meant for external use. More...

override bool	TryInvokeMember (InvokeMemberBinder binder, object[] args, out object result)
	This is a DynamicObject override. Not meant for external use. More...

void	Add (string key, object value)
	Adds the specified custom property. This allows us to use the security object as a dynamic object for quick storage. More...

bool	TryGet< T > (string key, out T value)
	Gets the specified custom property More...

T	Get< T > (string key)
	Gets the specified custom property More...

bool	Remove (string key)
	Removes a custom property. More...

bool	Remove< T > (string key, out T value)
	Removes a custom property. More...

void	Clear ()
	Removes every custom property that had been set. More...

override string	ToString ()
	Returns a string that represents the current object. More...

Public Attributes
bool	IsFutureChain => Symbol.IsCanonical()
	Returns true if this is the future chain security, false if it is a specific future contract More...

bool	IsFutureContract => !Symbol.IsCanonical()
	Returns true if this is a specific future contract security, false if it is the future chain security More...

Public Attributes inherited from QuantConnect.Securities.Security
SecurityType	Type => Symbol.ID.SecurityType
	Type of the security. More...

bool	HasData => GetLastData() != null
	There has been at least one datapoint since our algorithm started running for us to determine price. More...

virtual bool	HoldStock => Holdings.HoldStock
	Read only property that checks if we currently own stock in the company. More...

virtual bool	Invested => HoldStock
	Alias for HoldStock - Do we have any of this security More...

virtual decimal	Price => Cache.Price
	Get the current value of the security. More...

virtual decimal	Leverage => Holdings.Leverage
	Leverage for this Security. More...

virtual decimal	High => Cache.High == 0 ? Price : Cache.High
	If this uses tradebar data, return the most recent high. More...

virtual decimal	Low => Cache.Low == 0 ? Price : Cache.Low
	If this uses tradebar data, return the most recent low. More...

virtual decimal	Close => Cache.Close == 0 ? Price : Cache.Close
	If this uses tradebar data, return the most recent close. More...

virtual decimal	Open => Cache.Open == 0 ? Price : Cache.Open
	If this uses tradebar data, return the most recent open. More...

virtual decimal	Volume => Cache.Volume
	Access to the volume of the equity today More...

virtual decimal	BidPrice => Cache.BidPrice == 0 ? Price : Cache.BidPrice
	Gets the most recent bid price if available More...

virtual decimal	BidSize => Cache.BidSize
	Gets the most recent bid size if available More...

virtual decimal	AskPrice => Cache.AskPrice == 0 ? Price : Cache.AskPrice
	Gets the most recent ask price if available More...

virtual decimal	AskSize => Cache.AskSize
	Gets the most recent ask size if available More...

virtual long	OpenInterest => Cache.OpenInterest
	Access to the open interest of the security today More...

Static Public Attributes
const int	DefaultSettlementDays = 1
	The default number of days required to settle a futures sale More...

static readonly TimeSpan	DefaultSettlementTime = new TimeSpan(8, 0, 0)
	The default time of day for settlement More...

Static Public Attributes inherited from QuantConnect.Securities.Security
const decimal	NullLeverage = 0
	A null security leverage value More...

Properties
override bool	IsTradable `[get, set]`
	Gets or sets whether or not this security should be considered tradable More...

DateTime	Expiry `[get]`
	Gets the expiration date More...

SettlementType	SettlementType `[get, set]`
	Specifies if futures contract has physical or cash settlement on settlement More...

Security	Underlying `[get, set]`
	Gets or sets the underlying security object. More...

Symbol	Mapped `[get, set]`
	Gets or sets the currently mapped symbol for the security More...

IDerivativeSecurityFilter	ContractFilter `[get, set]`
	Gets or sets the contract filter More...

Properties inherited from QuantConnect.Securities.Security
IShortableProvider	ShortableProvider `[get]`
	This securities IShortableProvider More...

IEnumerable< SubscriptionDataConfig >	Subscriptions `[get]`
	Gets all the subscriptions for this security More...

Symbol	Symbol `[get]`
	Symbol for the asset. More...

Cash	QuoteCurrency `[get]`
	Gets the Cash object used for converting the quote currency to the account currency More...

SymbolProperties	SymbolProperties `[get]`
	Gets the symbol properties for this security More...

Resolution	Resolution `[get]`
	Resolution of data requested for this security. More...

bool	IsFillDataForward `[get]`
	Indicates the data will use previous bars when there was no trading in this time period. This was a configurable datastream setting set in initialization. More...

bool	IsExtendedMarketHours `[get]`
	Indicates the security will continue feeding data after the primary market hours have closed. This was a configurable setting set in initialization. More...

DataNormalizationMode	DataNormalizationMode `[get]`
	Gets the data normalization mode used for this security More...

SubscriptionDataConfig	SubscriptionDataConfig `[get]`
	Gets the subscription configuration for this security More...

virtual bool	IsTradable `[get, set]`
	Gets or sets whether or not this security should be considered tradable More...

bool	IsDelisted `[get, set]`
	True if the security has been delisted from exchanges and is no longer tradable More...

SecurityCache	Cache `[get, set]`
	Data cache for the security to store previous price information. More...

SecurityHolding	Holdings `[get, set]`
	Holdings class contains the portfolio, cash and processes order fills. More...

SecurityExchange	Exchange `[get, set]`
	Exchange class contains the market opening hours, along with pre-post market hours. More...

IFeeModel	FeeModel `[get, set]`
	Fee model used to compute order fees for this security More...

IFillModel	FillModel `[get, set]`
	Fill model used to produce fill events for this security More...

ISlippageModel	SlippageModel `[get, set]`
	Slippage model use to compute slippage of market orders More...

ISecurityPortfolioModel	PortfolioModel `[get, set]`
	Gets the portfolio model used by this security More...

IBuyingPowerModel	BuyingPowerModel `[get, set]`
	Gets the buying power model used for this security More...

IBuyingPowerModel	MarginModel `[get, set]`
	Gets the buying power model used for this security, an alias for BuyingPowerModel More...

IMarginInterestRateModel	MarginInterestRateModel `[get, set]`
	Gets or sets the margin interest rate model More...

ISettlementModel	SettlementModel `[get, set]`
	Gets the settlement model used for this security More...

IVolatilityModel	VolatilityModel `[get, set]`
	Gets the volatility model used for this security More...

ISecurityDataFilter	DataFilter `[get, set]`
	Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms. More...

IPriceVariationModel	PriceVariationModel `[get, set]`
	Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database. More...

dynamic	Data `[get]`
	Provides dynamic access to data in the cache More...

virtual DateTime	LocalTime `[get]`
	Local time for this market More...

Fundamental	Fundamentals `[get]`
	Gets the fundamental data associated with the security if there is any, otherwise null. More...

object	this[string key] `[get, set]`
	Gets or sets the specified custom property through the indexer. This is a wrapper around the Get<T>(string) and Add(string,object) methods. More...

Properties inherited from QuantConnect.Interfaces.ISecurityPrice
decimal	Price `[get]`
	Get the current value of the security. More...

decimal	Close `[get]`
	If this uses trade bar data, return the most recent close. More...

decimal	Volume `[get]`
	Access to the volume of the equity today More...

decimal	BidPrice `[get]`
	Gets the most recent bid price if available More...

decimal	BidSize `[get]`
	Gets the most recent bid size if available More...

decimal	AskPrice `[get]`
	Gets the most recent ask price if available More...

decimal	AskSize `[get]`
	Gets the most recent ask size if available More...

long	OpenInterest `[get]`
	Access to the open interest of the security today More...

Symbol	Symbol `[get]`
	Symbol for the asset. More...

SymbolProperties	SymbolProperties `[get]`
	SymbolProperties of the symbol More...

Properties inherited from QuantConnect.Securities.IDerivativeSecurity
Security	Underlying `[get, set]`
	Gets or sets the underlying security for the derivative More...

Properties inherited from QuantConnect.Securities.IContinuousSecurity
Symbol	Mapped `[get, set]`
	Gets or sets the currently mapped symbol for the security More...

Additional Inherited Members
Protected Member Functions inherited from QuantConnect.Securities.Security
	Security (Symbol symbol, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel)
	Construct a new security vehicle based on the user options. More...

	Security (SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel)
	Temporary convenience constructor More...

virtual void	UpdateConsumersMarketPrice (BaseData data)
	Update market price of this Security More...

Detailed Description

Futures Security Object Implementation for Futures Assets

See also: Security

Definition at line 30 of file Future.cs.

Constructor & Destructor Documentation

◆ Future() [1/2]

QuantConnect.Securities.Future.Future.Future	(	SecurityExchangeHours	exchangeHours,
		SubscriptionDataConfig	config,
		Cash	quoteCurrency,
		SymbolProperties	symbolProperties,
		ICurrencyConverter	currencyConverter,
		IRegisteredSecurityDataTypesProvider	registeredTypes
	)

Constructor for the Future security

Parameters

exchangeHours	Defines the hours this exchange is open
quoteCurrency	The cash object that represent the quote currency
config	The subscription configuration for this security
symbolProperties	The symbol properties for this security
currencyConverter	Currency converter used to convert CashAmount instances into units of the account currency
registeredTypes	Provides all data types registered in the algorithm

Definition at line 71 of file Future.cs.

◆ Future() [2/2]

QuantConnect.Securities.Future.Future.Future	(	Symbol	symbol,
		SecurityExchangeHours	exchangeHours,
		Cash	quoteCurrency,
		SymbolProperties	symbolProperties,
		ICurrencyConverter	currencyConverter,
		IRegisteredSecurityDataTypesProvider	registeredTypes,
		SecurityCache	securityCache,
		Security	underlying = `null`
	)

Constructor for the Future security

Parameters

symbol	The subscription security symbol
exchangeHours	Defines the hours this exchange is open
quoteCurrency	The cash object that represent the quote currency
symbolProperties	The symbol properties for this security
currencyConverter	Currency converter used to convert CashAmount instances into units of the account currency
registeredTypes	Provides all data types registered in the algorithm
securityCache	Cache to store security information
underlying	Future underlying security

Definition at line 116 of file Future.cs.

Member Function Documentation

◆ SetLocalTimeKeeper()

override void QuantConnect.Securities.Future.Future.SetLocalTimeKeeper ( LocalTimeKeeper localTimeKeeper )

virtual

Sets the LocalTimeKeeper to be used for this Security. This is the source of this instance's time.

Parameters

localTimeKeeper The source of this Security's time.

Reimplemented from QuantConnect.Securities.Security.

Definition at line 207 of file Future.cs.

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◆ SetFilter() [1/4]

void QuantConnect.Securities.Future.Future.SetFilter	(	TimeSpan	minExpiry,
		TimeSpan	maxExpiry
	)

Sets the ContractFilter to a new instance of the filter using the specified expiration range values

Parameters

minExpiry	The minimum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in less than 10 days
maxExpiry	The maximum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in more than 10 days

Definition at line 226 of file Future.cs.

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◆ SetFilter() [2/4]

void QuantConnect.Securities.Future.Future.SetFilter	(	int	minExpiryDays,
		int	maxExpiryDays
	)

Sets the ContractFilter to a new instance of the filter using the specified expiration range values

Parameters

minExpiryDays	The minimum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in less than 10 days
maxExpiryDays	The maximum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in more than 10 days

Definition at line 239 of file Future.cs.

◆ SetFilter() [3/4]

void QuantConnect.Securities.Future.Future.SetFilter ( Func< FutureFilterUniverse, FutureFilterUniverse > universeFunc )

Sets the ContractFilter to a new universe selection function

Parameters

universeFunc new universe selection function

Definition at line 248 of file Future.cs.

◆ SetFilter() [4/4]

void QuantConnect.Securities.Future.Future.SetFilter ( PyObject universeFunc )

Sets the ContractFilter to a new universe selection function

Parameters

universeFunc new universe selection function

Definition at line 258 of file Future.cs.

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Member Data Documentation

◆ DefaultSettlementDays

const int QuantConnect.Securities.Future.Future.DefaultSettlementDays = 1

static

The default number of days required to settle a futures sale

Definition at line 54 of file Future.cs.

◆ DefaultSettlementTime

readonly TimeSpan QuantConnect.Securities.Future.Future.DefaultSettlementTime = new TimeSpan(8, 0, 0)

static

The default time of day for settlement

Definition at line 59 of file Future.cs.

◆ IsFutureChain

bool QuantConnect.Securities.Future.Future.IsFutureChain => Symbol.IsCanonical()

Returns true if this is the future chain security, false if it is a specific future contract

Definition at line 155 of file Future.cs.

◆ IsFutureContract

bool QuantConnect.Securities.Future.Future.IsFutureContract => !Symbol.IsCanonical()

Returns true if this is a specific future contract security, false if it is the future chain security

Definition at line 160 of file Future.cs.

Property Documentation

◆ IsTradable

override bool QuantConnect.Securities.Future.Future.IsTradable

getset

Gets or sets whether or not this security should be considered tradable

Canonical futures are not tradable

Definition at line 39 of file Future.cs.

◆ Expiry

DateTime QuantConnect.Securities.Future.Future.Expiry

get

Gets the expiration date

Definition at line 166 of file Future.cs.

◆ SettlementType

SettlementType QuantConnect.Securities.Future.Future.SettlementType

getset

Specifies if futures contract has physical or cash settlement on settlement

Definition at line 174 of file Future.cs.

◆ Underlying

Security QuantConnect.Securities.Future.Future.Underlying

getset

Gets or sets the underlying security object.

Definition at line 182 of file Future.cs.

◆ Mapped

Symbol QuantConnect.Securities.Future.Future.Mapped

getset

Gets or sets the currently mapped symbol for the security

Definition at line 190 of file Future.cs.

◆ ContractFilter

IDerivativeSecurityFilter QuantConnect.Securities.Future.Future.ContractFilter

getset

Gets or sets the contract filter

Definition at line 198 of file Future.cs.

The documentation for this class was generated from the following file:

Common/Securities/Future/Future.cs

Public Member Functions

Public Attributes

Static Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Future() [1/2]

◆ Future() [2/2]

Member Function Documentation

◆ SetLocalTimeKeeper()

◆ SetFilter() [1/4]

◆ SetFilter() [2/4]

◆ SetFilter() [3/4]

◆ SetFilter() [4/4]

Member Data Documentation

◆ DefaultSettlementDays

◆ DefaultSettlementTime

◆ IsFutureChain

◆ IsFutureContract

Property Documentation

◆ IsTradable

◆ Expiry

◆ SettlementType

◆ Underlying

◆ Mapped

◆ ContractFilter