Martin Molinero
0af7ba14f5
- `CashBook[NullCurrency] { get; }` will throw an exception
- Revert `Currencies.USD` changes in user facing algorithms
- Improve some documentation
- Revert some format changes
- Adding more asserts for regression test
- Adding new regression tests using a custom fee model which returns
`OrderFee.Zero`
- Adding a non-usd account currency test to the cash book tests
- Adding some unit tests for `NullCurrency` and `OrderFee.Zero`
91 lines
3.8 KiB
C#
91 lines
3.8 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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using QuantConnect.Logging;
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using QuantConnect.Orders;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Provides an implementation of <see cref="ISecurityPortfolioModel"/> for options that supports
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/// default fills as well as option exercising.
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/// </summary>
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public class OptionPortfolioModel : SecurityPortfolioModel
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{
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/// <summary>
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/// Performs application of an OrderEvent to the portfolio
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">Option security</param>
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/// <param name="fill">The order event fill object to be applied</param>
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public override void ProcessFill(SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
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{
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var order = portfolio.Transactions.GetOrderById(fill.OrderId);
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if (order == null)
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{
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Log.Error("OptionPortfolioModel.ProcessFill(): Unable to locate Order with id " + fill.OrderId);
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return;
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}
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if (order.Type == OrderType.OptionExercise)
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{
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ProcessExerciseFill(portfolio, security, order, fill);
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}
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else
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{
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// we delegate the call to the base class (default behavior)
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base.ProcessFill(portfolio, security, fill);
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}
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}
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/// <summary>
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/// Processes exercise/assignment event to the portfolio
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">Option security</param>
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/// <param name="order">The order object to be applied</param>
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/// <param name="fill">The order event fill object to be applied</param>
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public void ProcessExerciseFill(SecurityPortfolioManager portfolio, Security security, Order order, OrderEvent fill)
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{
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var exerciseOrder = (OptionExerciseOrder)order;
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var option = (Option)portfolio.Securities[exerciseOrder.Symbol];
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var underlying = option.Underlying;
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var cashQuote = option.QuoteCurrency;
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var optionQuantity = order.Quantity;
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var processSecurity = portfolio.Securities[fill.Symbol];
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// depending on option settlement terms we either add underlying to the account or add cash equivalent
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// we then remove the exercised contracts from our option position
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switch (option.ExerciseSettlement)
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{
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case SettlementType.PhysicalDelivery:
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base.ProcessFill(portfolio, processSecurity, fill);
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break;
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case SettlementType.Cash:
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var cashQuantity = option.GetIntrinsicValue(underlying.Close) * option.ContractUnitOfTrade * optionQuantity;
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// we add cash equivalent to portfolio
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option.SettlementModel.ApplyFunds(portfolio, option, fill.UtcTime, cashQuote.Symbol, cashQuantity);
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base.ProcessFill(portfolio, processSecurity, fill);
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break;
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}
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}
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}
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}
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