/*
* 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.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
namespace QuantConnect.Securities.Index
{
///
/// INDEX Security Object Implementation for INDEX Assets
///
///
public class Index : Security
{
private bool _isTradable;
///
/// Gets or sets whether or not this security should be considered tradable
///
public override bool IsTradable {
get => _isTradable;
set
{
if (value) ManualSetIsTradable = true;
_isTradable = value;
}
}
///
/// Field to check if the user has manually set IsTradable field to true
///
internal bool ManualSetIsTradable { get; set; }
///
/// Constructor for the INDEX security
///
/// Defines the hours this exchange is open
/// The cash object that represent the quote 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 Index(SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
SubscriptionDataConfig config,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes)
: base(config,
quoteCurrency,
symbolProperties,
new IndexExchange(exchangeHours),
new IndexCache(),
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new ConstantFeeModel(0),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new IndexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
IsTradable = false; //Index are non tradable by default
Holdings = new IndexHolding(this, currencyConverter);
}
///
/// Constructor for the INDEX security
///
/// The security's symbol
/// Defines the hours this exchange is open
/// The cash object that represent the quote 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 security information
public Index(Symbol symbol,
SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes,
SecurityCache securityCache)
: base(symbol,
quoteCurrency,
symbolProperties,
new IndexExchange(exchangeHours),
securityCache,
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new ConstantFeeModel(0),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new SecurityMarginModel(50m),
new IndexDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
Securities.MarginInterestRateModel.Null
)
{
IsTradable = false; //Index are non tradable by default
Holdings = new IndexHolding(this, currencyConverter);
}
///
/// Resets the security to its initial state by marking it as uninitialized and non-tradable
/// and clearing the subscriptions.
///
public override void Reset()
{
base.Reset();
ManualSetIsTradable = false;
}
}
}