/*
* 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);
}
}
}