Stefano Raggi
a0653820e4
When assigning shares of the underlying equity for an option at expiration, the equity quantity was incorrectly set equal to the option quantity. Now this quantity is multiplied by option.ContractUnitOfTrade (usually 100 for US options). This bug was hidden by the option assignment tests in SecurityPortfolioManagerTests, which have also been corrected. The regression stats for OptionExerciseAssignRegressionAlgorithm have also been updated. In some cases this bug was also causing division by zero exceptions in OnOrderEvent, which seem to be fixed with this PR.
65 lines
2.5 KiB
C#
65 lines
2.5 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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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Represents common properties for a specific option contract
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/// </summary>
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public class OptionSymbolProperties : SymbolProperties
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{
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/// <summary>
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/// When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned
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/// an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands.
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/// </summary>
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public int ContractUnitOfTrade
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{
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get; protected set;
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}
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/// <summary>
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/// Creates an instance of the <see cref="OptionSymbolProperties"/> class
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/// </summary>
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public OptionSymbolProperties(string description, string quoteCurrency, decimal contractMultiplier, decimal pipSize, decimal lotSize)
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: base(description, quoteCurrency, contractMultiplier, pipSize, lotSize)
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{
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ContractUnitOfTrade = (int)contractMultiplier;
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}
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/// <summary>
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/// Creates an instance of the <see cref="OptionSymbolProperties"/> class from <see cref="SymbolProperties"/> class
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/// </summary>
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public OptionSymbolProperties(SymbolProperties properties)
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: base(properties.Description,
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properties.QuoteCurrency,
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properties.ContractMultiplier,
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properties.MinimumPriceVariation,
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properties.LotSize)
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{
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ContractUnitOfTrade = (int)properties.ContractMultiplier;
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}
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internal void SetContractUnitOfTrade(int unitOfTrade)
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{
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ContractUnitOfTrade = unitOfTrade;
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}
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internal void SetContractMultiplier(decimal multiplier)
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{
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ContractMultiplier = multiplier;
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}
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}
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}
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