/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using QuantConnect.Data.Market;
namespace QuantConnect.Data.UniverseSelection;
///
/// Represents derivative market data including trade and open interest information.
///
public class DerivativeUniverseData
{
private readonly Symbol _symbol;
private decimal _open;
private decimal _high;
private decimal _low;
private decimal _close;
private decimal _volume;
private decimal? _openInterest;
///
/// Initializes a new instance of using open interest data.
///
/// The open interest data.
public DerivativeUniverseData(OpenInterest openInterest)
{
_symbol = openInterest.Symbol;
_openInterest = openInterest.Value;
}
///
/// Initializes a new instance of using trade bar data.
///
/// The trade bar data.
public DerivativeUniverseData(TradeBar tradeBar)
{
_symbol = tradeBar.Symbol;
_open = tradeBar.Open;
_high = tradeBar.High;
_low = tradeBar.Low;
_close = tradeBar.Close;
_volume = tradeBar.Volume;
}
///
/// Initializes a new instance of using quote bar data.
///
/// The quote bar data.
public DerivativeUniverseData(QuoteBar quoteBar)
{
_symbol = quoteBar.Symbol;
_open = quoteBar.Open;
_high = quoteBar.High;
_low = quoteBar.Low;
_close = quoteBar.Close;
}
///
/// Updates the instance with new trade bar data.
///
/// The new trade bar data.
/// Thrown when tradeBar is null.
public void UpdateByTradeBar(TradeBar tradeBar)
{
// If price data has already been initialized (likely from a QuoteBar)
if (_open != 0 || _high != 0 || _low != 0 || _close != 0)
{
_volume = tradeBar.Volume;
return;
}
_open = tradeBar.Open;
_high = tradeBar.High;
_low = tradeBar.Low;
_close = tradeBar.Close;
}
///
/// Updates the instance with new quote bar data.
///
/// The new quote bar data.
public void UpdateByQuoteBar(QuoteBar quoteBar)
{
_open = quoteBar.Open;
_high = quoteBar.High;
_low = quoteBar.Low;
_close = quoteBar.Close;
}
///
/// Updates the instance with new open interest data.
///
/// The new open interest data.
/// Thrown when openInterest is null.
public void UpdateByOpenInterest(OpenInterest openInterest)
{
_openInterest = openInterest.Value;
}
///
/// Converts the current data to a CSV format string.
///
/// A CSV formatted string representing the data.
public string ToCsv()
{
return OptionUniverse.ToCsv(_symbol, _open, _high, _low, _close, _volume, _openInterest, null, NullGreeks.Instance);
}
}