quantconnect--lean/Common/Securities/Option/OptionStrategy.cs

/*
 * 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.Interfaces;
using QuantConnect.Orders;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;

namespace QuantConnect.Securities.Option
{
    /// <summary>
    /// Option strategy specification class. Describes option strategy and its parameters for trading.
    /// </summary>
    public class OptionStrategy
    {
        /// <summary>
        /// Option strategy name
        /// </summary>
        public string Name { get; set; }

        /// <summary>
        /// Underlying symbol of the strategy
        /// </summary>
        public Symbol Underlying { get; set; }

        /// <summary>
        /// Option strategy legs 
        /// </summary>
        public List<OptionLegData> OptionLegs { get; set; }

        /// <summary>
        /// Option strategy underlying legs (usually 0 or 1 legs)
        /// </summary>
        public List<UnderlyingLegData> UnderlyingLegs { get; set; }

        /// <summary>
        /// This class is a POCO containing basic data for the option legs of the strategy
        /// </summary>
        public class OptionLegData
        {
            /// <summary>
            /// Option right (type) of the option leg
            /// </summary>
            public OptionRight Right { get; set; }

            /// <summary>
            /// Quantity multiplier used to specify proper scale (and direction) of the leg within the strategy
            /// </summary>
            public int Quantity { get; set; }

            /// <summary>
            /// Expiration date of the leg
            /// </summary>
            public DateTime Expiration { get; set; }

            /// <summary>
            /// Strike price of the leg
            /// </summary>
            public decimal Strike { get; set; }

            /// <summary>
            /// Type of order that is to be sent to the market on strategy execution
            /// </summary>
            public OrderType OrderType { get; set; }

            /// <summary>
            /// Order limit price of the leg in case limit order is sent to the market on strategy execution
            /// </summary>
            public decimal OrderPrice { get; set; }
        }

        /// <summary>
        /// This class is a POCO containing basic data for the underlying leg of the strategy
        /// </summary>
        public class UnderlyingLegData
        {
            /// <summary>
            /// Quantity multiplier used to specify proper scale (and direction) of the leg within the strategy
            /// </summary>
            public int Quantity { get; set; }

            /// <summary>
            /// Type of order that is to be sent to the market on strategy execution
            /// </summary>
            public OrderType OrderType { get; set; }

            /// <summary>
            /// Order limit price of the leg in case limit order is sent to the market on strategy execution
            /// </summary>
            public decimal OrderPrice { get; set; }
        }
    }
}