AlexCatarino
82d81108ad
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero Adds unit test
50 lines
2.0 KiB
C#
50 lines
2.0 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;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides an implementation of <see cref="IPriceVariationModel"/>
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/// for use in defining the minimum price variation for a given equity
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/// under Regulation NMS – Rule 612 (a.k.a – the “sub-penny rule”)
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/// </summary>
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public class EquityPriceVariationModel : SecurityPriceVariationModel
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{
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/// <summary>
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/// Get the minimum price variation from a security
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/// </summary>
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/// <param name="security">Security which we want the minimum price variation from</param>
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/// <returns>Decimal minimum price variation of a given security</returns>
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public override decimal GetMinimumPriceVariation(Security security)
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{
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if (security.Type != SecurityType.Equity)
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{
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throw new ArgumentException("EquityPriceVariationModel.GetMinimumPriceVariation(): Invalid SecurityType " + security.Type);
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}
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// If the quotation is priced less than $1.00 per share, the minimum pricing increment is $0.0001.
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// Source: https://www.law.cornell.edu/cfr/text/17/242.612
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if (security.Price < 1m)
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{
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return 0.0001m;
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}
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return base.GetMinimumPriceVariation(security);
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}
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}
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} |