/*
* 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}");
}
}
}
}