Juan José D'Ambrosio
84e0074350
Move delisting date estimation to the constructor Using `MarketHoursDatabase` for option delisting date estimation instead USHolidays Adding file header. Regression algorithm added. Use of `ExchangeHours.IsDateOpen` instead `ExchangeHours.IsDateOpen.Holidays`. Extract values from `symbol.ID` into a local variable. Improved Regression test
68 lines
2.5 KiB
C#
68 lines
2.5 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Static class contains common utility methods specific to symbols representing the option contracts
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/// </summary>
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public static class OptionSymbol
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{
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/// <summary>
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/// Returns true is the option is a standard contract that expire 3rd Friday of the month
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static bool IsStandardContract(Symbol symbol)
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{
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var date = symbol.ID.Date;
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// first we find out the day of week of the first day in the month
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var firstDayOfMonth = new DateTime(date.Year, date.Month, 1).DayOfWeek;
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// find out the day of first Friday in this month
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var firstFriday = firstDayOfMonth == DayOfWeek.Saturday ? 7 : 6 - (int)firstDayOfMonth;
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// check if the expiration date is within the week containing 3rd Friday
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// we exclude monday, wednesday, and friday weeklys
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return firstFriday + 7 + 5 /*sat -> wed */ < date.Day && date.Day < firstFriday + 2 * 7 + 2 /* sat, sun*/;
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}
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/// <summary>
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/// Returns lat trading date for the option contract
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static DateTime GetLastDayOfTrading(Symbol symbol)
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{
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// The OCC proposed rule change: starting from 1 Feb 2015 standard monthly contracts
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// expire on 3rd Friday, not Saturday following 3rd Friday as it was before.
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// More details: https://www.sec.gov/rules/sro/occ/2013/34-69480.pdf
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int daysBefore = 0;
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var symbolDateTime = symbol.ID.Date;
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if (IsStandardContract(symbol) &&
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symbolDateTime.DayOfWeek == DayOfWeek.Saturday &&
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symbolDateTime < new DateTime(2015, 2, 1))
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{
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daysBefore--;
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}
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var exchangeHours = MarketHoursDatabase.FromDataFolder()
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.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType)
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.ExchangeHours;
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while (!exchangeHours.IsDateOpen(symbolDateTime.AddDays(daysBefore)))
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{
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daysBefore--;
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}
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return symbolDateTime.AddDays(daysBefore).Date;
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}
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}
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}
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