/*
* 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 System;
namespace QuantConnect.Securities
{
///
/// Represents common properties for a specific security, uniquely identified by market, symbol and security type
///
public class SymbolProperties
{
///
/// DTO used to hold the properties of the symbol
///
///
/// A DTO is used to handle updates to the symbol properties. Since some properties are decimals,
/// which is not thread-safe, we get around it by creating a new instance of the DTO and assigning to this property
///
private SymbolPropertiesHolder _properties;
///
/// The description of the security
///
public string Description => _properties.Description;
///
/// The quote currency of the security
///
public string QuoteCurrency => _properties.QuoteCurrency;
///
/// The contract multiplier for the security
///
public virtual decimal ContractMultiplier
{
get => _properties.ContractMultiplier;
internal set => _properties.ContractMultiplier = value;
}
///
/// The minimum price variation (tick size) for the security
///
public virtual decimal MinimumPriceVariation => _properties.MinimumPriceVariation;
///
/// The lot size (lot size of the order) for the security
///
public decimal LotSize => _properties.LotSize;
///
/// The market ticker
///
public string MarketTicker => _properties.MarketTicker;
///
/// The minimum order size allowed
/// For crypto/forex pairs it's expected to be expressed in base or quote currency
/// i.e For BTC/USD the minimum order size allowed with Coinbase is 0.0001 BTC
/// while on Binance the minimum order size allowed is 10 USD
///
public decimal? MinimumOrderSize => _properties.MinimumOrderSize;
///
/// Allows normalizing live asset prices to US Dollars for Lean consumption. In some exchanges,
/// for some securities, data is expressed in cents like for example for corn futures ('ZC').
///
/// Default value is 1 but for some futures in cents it's 100
public decimal PriceMagnifier => _properties.PriceMagnifier;
///
/// Scale factor for option's strike price. For some options, such as NQX, the strike price
/// is based on a fraction of the underlying, thus this paramater scales the strike price so
/// that it can be used in comparation with the underlying such as
/// in
///
public decimal StrikeMultiplier => _properties.StrikeMultiplier;
///
/// Creates an instance of the class
///
protected SymbolProperties(SymbolProperties properties)
{
_properties = properties._properties;
}
///
/// Creates an instance of the class
///
public SymbolProperties(string description, string quoteCurrency, decimal contractMultiplier,
decimal minimumPriceVariation, decimal lotSize, string marketTicker,
decimal? minimumOrderSize = null, decimal priceMagnifier = 1, decimal strikeMultiplier = 1)
{
_properties = new SymbolPropertiesHolder(description, quoteCurrency, contractMultiplier,
minimumPriceVariation, lotSize, marketTicker, minimumOrderSize, priceMagnifier, strikeMultiplier);
}
///
/// The string representation of these symbol properties
///
public override string ToString()
{
return Messages.SymbolProperties.ToString(this);
}
///
/// Gets a default instance of the class for the specified
///
/// The quote currency of the symbol
/// A default instance of the class
public static SymbolProperties GetDefault(string quoteCurrency)
{
return new SymbolProperties(string.Empty, quoteCurrency.LazyToUpper(), 1, 0.01m, 1, string.Empty);
}
///
/// Updates the symbol properties with the values from the specified
///
/// The symbol properties to take values from
internal virtual void Update(SymbolProperties other)
{
_properties = other._properties;
}
///
/// DTO used to hold the properties of the symbol
///
private class SymbolPropertiesHolder
{
public string Description { get; }
public string QuoteCurrency { get; }
public decimal ContractMultiplier { get; set; }
public decimal MinimumPriceVariation { get; }
public decimal LotSize { get; }
public string MarketTicker { get; }
public decimal? MinimumOrderSize { get; }
public decimal PriceMagnifier { get; }
public decimal StrikeMultiplier { get; }
///
/// Creates an instance of the class
///
public SymbolPropertiesHolder(string description, string quoteCurrency, decimal contractMultiplier, decimal minimumPriceVariation, decimal lotSize, string marketTicker, decimal? minimumOrderSize, decimal priceMagnifier, decimal strikeMultiplier)
{
Description = description;
QuoteCurrency = quoteCurrency;
ContractMultiplier = contractMultiplier;
MinimumPriceVariation = minimumPriceVariation;
LotSize = lotSize;
if (LotSize <= 0)
{
throw new ArgumentException(Messages.SymbolProperties.InvalidLotSize);
}
MarketTicker = marketTicker;
MinimumOrderSize = minimumOrderSize;
PriceMagnifier = priceMagnifier;
if (PriceMagnifier <= 0)
{
throw new ArgumentException(Messages.SymbolProperties.InvalidPriceMagnifier);
}
StrikeMultiplier = strikeMultiplier;
if (strikeMultiplier <= 0)
{
throw new ArgumentException(Messages.SymbolProperties.InvalidStrikeMultiplier);
}
}
}
}
}