Martin Molinero
08b72c5907
- Adding `LazyToUpper()` implementation, that will avoid the call to `ToUpper` if the string is already upper. - Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone` - `TotalPortfolioValue` will iterate over all securities once - Adding new `SecurityIdentifier` cache, significant impact for algorithms using coarse/fine data
97 lines
3.1 KiB
C#
97 lines
3.1 KiB
C#
/*
|
|
* 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 System;
|
|
|
|
namespace QuantConnect.Securities
|
|
{
|
|
/// <summary>
|
|
/// Represents common properties for a specific security, uniquely identified by market, symbol and security type
|
|
/// </summary>
|
|
public class SymbolProperties
|
|
{
|
|
/// <summary>
|
|
/// The description of the security
|
|
/// </summary>
|
|
public string Description
|
|
{
|
|
get;
|
|
private set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The quote currency of the security
|
|
/// </summary>
|
|
public string QuoteCurrency
|
|
{
|
|
get;
|
|
private set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The contract multiplier for the security
|
|
/// </summary>
|
|
public decimal ContractMultiplier
|
|
{
|
|
get;
|
|
protected set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The minimum price variation (tick size) for the security
|
|
/// </summary>
|
|
public decimal MinimumPriceVariation
|
|
{
|
|
get;
|
|
private set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The lot size (lot size of the order) for the security
|
|
/// </summary>
|
|
public decimal LotSize
|
|
{
|
|
get;
|
|
private set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates an instance of the <see cref="SymbolProperties"/> class
|
|
/// </summary>
|
|
public SymbolProperties(string description, string quoteCurrency, decimal contractMultiplier, decimal minimumPriceVariation, decimal lotSize)
|
|
{
|
|
Description = description;
|
|
QuoteCurrency = quoteCurrency;
|
|
ContractMultiplier = contractMultiplier;
|
|
MinimumPriceVariation = minimumPriceVariation;
|
|
LotSize = lotSize;
|
|
if(LotSize <= 0)
|
|
{
|
|
throw new Exception("SymbolProperties LotSize can not be less than or equal to 0");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a default instance of the <see cref="SymbolProperties"/> class for the specified <paramref name="quoteCurrency"/>
|
|
/// </summary>
|
|
/// <param name="quoteCurrency">The quote currency of the symbol</param>
|
|
/// <returns>A default instance of the<see cref="SymbolProperties"/> class</returns>
|
|
public static SymbolProperties GetDefault(string quoteCurrency)
|
|
{
|
|
return new SymbolProperties("", quoteCurrency.LazyToUpper(), 1, 0.01m, 1);
|
|
}
|
|
}
|
|
}
|