Martin Molinero
0933da9303
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes. `ICurrencyConverter` will now provide the `AccountCurrency` - Adding new static `OrderFee.Zero` which will return a 0 order fee in `NullCurrency` - Adding static `Currencies.USD` value, replacing all "USD". - Addin new static `Currencies.NullCurrency` - Updating Bitfinex `FeeModel` so it return fees in quote currency. Adding unit tests
84 lines
3.5 KiB
C#
84 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Collections.Generic;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Orders.OptionExercise
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{
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/// <summary>
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/// Represents the default option exercise model (physical, cash settlement)
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/// </summary>
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public class DefaultExerciseModel : IOptionExerciseModel
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{
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/// <summary>
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/// Default option exercise model for the basic equity/index option security class.
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/// </summary>
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/// <param name="option">Option we're trading this order</param>
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/// <param name="order">Order to update</param>
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public IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
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{
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var utcTime = option.LocalTime.ConvertToUtc(option.Exchange.TimeZone);
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var optionQuantity = order.Quantity;
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var assignment = order.Quantity < 0;
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var underlying = option.Underlying;
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var exercisePrice = order.Price;
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var fillQuantity = option.GetExerciseQuantity(order.Quantity);
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var exerciseQuantity =
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option.Symbol.ID.OptionRight == OptionRight.Call ? fillQuantity : -fillQuantity;
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var exerciseDirection = assignment?
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(option.Symbol.ID.OptionRight == OptionRight.Call ? OrderDirection.Sell : OrderDirection.Buy):
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(option.Symbol.ID.OptionRight == OptionRight.Call ? OrderDirection.Buy : OrderDirection.Sell);
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var addUnderlyingEvent = new OrderEvent(order.Id,
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underlying.Symbol,
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utcTime,
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OrderStatus.Filled,
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exerciseDirection,
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exercisePrice,
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exerciseQuantity,
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OrderFee.Zero,
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"Option Exercise/Assignment");
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var optionRemoveEvent = new OrderEvent(order.Id,
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option.Symbol,
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utcTime,
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OrderStatus.Filled,
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assignment ? OrderDirection.Buy : OrderDirection.Sell,
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0.0m,
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-optionQuantity,
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OrderFee.Zero,
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"Adjusting(or removing) the exercised/assigned option");
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if (optionRemoveEvent.FillQuantity > 0)
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{
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optionRemoveEvent.IsAssignment = true;
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}
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if (option.ExerciseSettlement == SettlementType.PhysicalDelivery &&
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option.IsAutoExercised(underlying.Close))
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{
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return new[] { optionRemoveEvent, addUnderlyingEvent };
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}
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return new[] { optionRemoveEvent };
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}
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}
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}
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