/* * 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 QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Securities.Forex; using System; namespace QuantConnect.Securities.Crypto { /// /// Crypto Security Object Implementation for Crypto Assets /// /// public class Crypto : Security, IBaseCurrencySymbol { /// /// Gets the currency acquired by going long this currency pair /// /// /// For example, the EUR/USD has a base currency of the euro, and as a result /// of going long the EUR/USD a trader is acquiring euros in exchange for US dollars /// public Cash BaseCurrency { get; protected set; } /// /// Constructor for the Crypto security /// /// Defines the hours this exchange is open /// The cash object that represent the quote currency /// The cash object that represent the base currency /// The subscription configuration for this security /// The symbol properties for this security /// Currency converter used to convert /// instances into units of the account currency /// Provides all data types registered in the algorithm public Crypto(SecurityExchangeHours exchangeHours, Cash quoteCurrency, Cash baseCurrency, SubscriptionDataConfig config, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes) : base(config, quoteCurrency, symbolProperties, new CryptoExchange(exchangeHours), new ForexCache(), new SecurityPortfolioModel(), new ImmediateFillModel(), new GDAXFeeModel(), NullSlippageModel.Instance, new ImmediateSettlementModel(), Securities.VolatilityModel.Null, new CashBuyingPowerModel(), new ForexDataFilter(), new SecurityPriceVariationModel(), currencyConverter, registeredTypes, Securities.MarginInterestRateModel.Null ) { BaseCurrency = baseCurrency; Holdings = new CryptoHolding(this, currencyConverter); } /// /// Constructor for the Crypto security /// /// The security's symbol /// Defines the hours this exchange is open /// The cash object that represent the quote currency /// The cash object that represent the base currency /// The symbol properties for this security /// Currency converter used to convert /// instances into units of the account currency /// Provides all data types registered in the algorithm /// Cache to store data public Crypto(Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, Cash baseCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCache securityCache) : base(symbol, quoteCurrency, symbolProperties, new CryptoExchange(exchangeHours), securityCache, new SecurityPortfolioModel(), new ImmediateFillModel(), new GDAXFeeModel(), NullSlippageModel.Instance, new ImmediateSettlementModel(), Securities.VolatilityModel.Null, new CashBuyingPowerModel(), new ForexDataFilter(), new SecurityPriceVariationModel(), currencyConverter, registeredTypes, Securities.MarginInterestRateModel.Null ) { BaseCurrency = baseCurrency; Holdings = new CryptoHolding(this, currencyConverter); } /// /// Get the current value of the security. /// public override decimal Price => Cache.GetData()?.Close ?? Cache.Price; /// /// Decomposes the specified currency pair into a base and quote currency provided as out parameters /// /// The input symbol to be decomposed /// The symbol properties for this security /// The output base currency /// The output quote currency public static void DecomposeCurrencyPair(Symbol symbol, SymbolProperties symbolProperties, out string baseCurrency, out string quoteCurrency) { quoteCurrency = symbolProperties.QuoteCurrency; if (symbol.Value.EndsWith(quoteCurrency)) { baseCurrency = symbol.Value.RemoveFromEnd(quoteCurrency); } else { throw new InvalidOperationException($"symbol doesn't end with {quoteCurrency}"); } } } }