/* * 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.Logging; namespace QuantConnect.Securities.Future { /// /// Static class contains common utility methods specific to symbols representing the future contracts /// public static class FutureSymbol { /// /// Determine if a given Futures contract is a standard contract. /// /// Future symbol /// True if symbol expiration matches standard expiration public static bool IsStandard(Symbol symbol) { var contractExpirationDate = symbol.ID.Date.Date; try { // Use our FutureExpiryFunctions to determine standard contracts dates. var expiryFunction = FuturesExpiryFunctions.FuturesExpiryFunction(symbol); var monthsToAdd = FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(symbol.ID.Symbol, contractExpirationDate); var contractMonth = contractExpirationDate.AddDays(-(contractExpirationDate.Day - 1)) .AddMonths(monthsToAdd); var standardExpirationDate = expiryFunction(contractMonth); // Return true if the dates match return contractExpirationDate == standardExpirationDate.Date; } catch { Log.Error($"FutureSymbol.IsStandard(): Could not find standard date for {symbol}, will be classified as standard"); return true; } } /// /// Returns true if the future contract is a weekly contract /// /// Future symbol /// True if symbol is non-standard contract public static bool IsWeekly(Symbol symbol) { return !IsStandard(symbol); } } }