quantconnect--lean/Common/SecurityIdentifier.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 System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Linq;
using System.Numerics;
using Newtonsoft.Json;
using ProtoBuf;
using QuantConnect.Configuration;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Logging;
using QuantConnect.Securities.Future;
using QuantConnect.Util;
using static QuantConnect.StringExtensions;

namespace QuantConnect
{
    /// <summary>
    /// Defines a unique identifier for securities
    /// </summary>
    /// <remarks>
    /// The SecurityIdentifier contains information about a specific security.
    /// This includes the symbol and other data specific to the SecurityType.
    /// The symbol is limited to 12 characters
    /// </remarks>
    [JsonConverter(typeof(SecurityIdentifierJsonConverter))]
    [ProtoContract(SkipConstructor = true)]
    public class SecurityIdentifier : IEquatable<SecurityIdentifier>, IComparable<SecurityIdentifier>, IComparable
    {
        #region Empty, DefaultDate Fields

        private static readonly ConcurrentDictionary<string, SecurityIdentifier> SecurityIdentifierCache
            = new ConcurrentDictionary<string, SecurityIdentifier>();
        private static readonly string MapFileProviderTypeName = Config.Get("map-file-provider", "LocalDiskMapFileProvider");
        private static readonly char[] InvalidCharacters = {'|', ' '};
        private static readonly Lazy<IMapFileProvider> MapFileProvider = new Lazy<IMapFileProvider>(
            () => Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(MapFileProviderTypeName)
        );

        /// <summary>
        /// Gets an instance of <see cref="SecurityIdentifier"/> that is empty, that is, one with no symbol specified
        /// </summary>
        public static readonly SecurityIdentifier Empty = new SecurityIdentifier(string.Empty, 0);

        /// <summary>
        /// Gets an instance of <see cref="SecurityIdentifier"/> that is explicitly no symbol
        /// </summary>
        public static readonly SecurityIdentifier None = new SecurityIdentifier("NONE", 0);

        /// <summary>
        /// Gets the date to be used when it does not apply.
        /// </summary>
        public static readonly DateTime DefaultDate = DateTime.FromOADate(0);

        /// <summary>
        /// Gets the set of invalids symbol characters
        /// </summary>
        public static readonly HashSet<char> InvalidSymbolCharacters = new HashSet<char>(InvalidCharacters);

        #endregion

        #region Scales, Widths and Market Maps

        // these values define the structure of the 'otherData'
        // the constant width fields are used via modulus, so the width is the number of zeros specified,
        // {put/call:1}{oa-date:5}{style:1}{strike:6}{strike-scale:2}{market:3}{security-type:2}

        private const ulong SecurityTypeWidth = 100;
        private const ulong SecurityTypeOffset = 1;

        private const ulong MarketWidth = 1000;
        private const ulong MarketOffset = SecurityTypeOffset * SecurityTypeWidth;

        private const int StrikeDefaultScale = 4;
        private static readonly ulong StrikeDefaultScaleExpanded = Pow(10, StrikeDefaultScale);

        private const ulong StrikeScaleWidth = 100;
        private const ulong StrikeScaleOffset = MarketOffset * MarketWidth;

        private const ulong StrikeWidth = 1000000;
        private const ulong StrikeOffset = StrikeScaleOffset * StrikeScaleWidth;

        private const ulong OptionStyleWidth = 10;
        private const ulong OptionStyleOffset = StrikeOffset * StrikeWidth;

        private const ulong DaysWidth = 100000;
        private const ulong DaysOffset = OptionStyleOffset * OptionStyleWidth;

        private const ulong PutCallOffset = DaysOffset * DaysWidth;
        private const ulong PutCallWidth = 10;

        #endregion

        #region Member variables

        [ProtoMember(1)]
        private string _symbol;
        [ProtoMember(2)]
        private ulong _properties;
        [ProtoMember(3)]
        private SecurityIdentifier _underlying;
        private bool _hashCodeSet;
        private int _hashCode;
        private decimal? _strikePrice;
        private OptionStyle? _optionStyle;
        private OptionRight? _optionRight;
        private DateTime? _date;
        private string _stringRep;
        private string _market;

        #endregion

        #region Properties

        /// <summary>
        /// Gets whether or not this <see cref="SecurityIdentifier"/> is a derivative,
        /// that is, it has a valid <see cref="Underlying"/> property
        /// </summary>
        public bool HasUnderlying
        {
            get { return _underlying != null; }
        }

        /// <summary>
        /// Gets the underlying security identifier for this security identifier. When there is
        /// no underlying, this property will return a value of <see cref="Empty"/>.
        /// </summary>
        public SecurityIdentifier Underlying
        {
            get
            {
                if (_underlying == null)
                {
                    throw new InvalidOperationException("No underlying specified for this identifier. Check that HasUnderlying is true before accessing the Underlying property.");
                }
                return _underlying;
            }
        }

        /// <summary>
        /// Gets the date component of this identifier. For equities this
        /// is the first date the security traded. Technically speaking,
        /// in LEAN, this is the first date mentioned in the map_files.
        /// For futures and options this is the expiry date of the contract.
        /// For other asset classes, this property will throw an
        /// exception as the field is not specified.
        /// </summary>
        public DateTime Date
        {
            get
            {
                try
                {
                    return _date.Value;
                }
                catch (InvalidOperationException)
                {
                    switch (SecurityType)
                    {
                        case SecurityType.Base:
                        case SecurityType.Equity:
                        case SecurityType.Option:
                        case SecurityType.Future:
                        case SecurityType.Index:
                        case SecurityType.FutureOption:
                        case SecurityType.IndexOption:
                            var oadate = ExtractFromProperties(DaysOffset, DaysWidth);
                            _date = DateTime.FromOADate(oadate);
                            return _date.Value;
                        default:
                            throw new InvalidOperationException("Date is only defined for SecurityType.Equity, SecurityType.Option, SecurityType.Future, SecurityType.FutureOption, SecurityType.IndexOption, and SecurityType.Base");
                    }
                }
            }
        }

        /// <summary>
        /// Gets the original symbol used to generate this security identifier.
        /// For equities, by convention this is the first ticker symbol for which
        /// the security traded
        /// </summary>
        public string Symbol
        {
            get { return _symbol; }
        }

        /// <summary>
        /// Gets the market component of this security identifier. If located in the
        /// internal mappings, the full string is returned. If the value is unknown,
        /// the integer value is returned as a string.
        /// </summary>
        public string Market
        {
            get
            {
                if (_market == null)
                {
                    var marketCode = ExtractFromProperties(MarketOffset, MarketWidth);
                    var market = QuantConnect.Market.Decode((int)marketCode);
                    // if we couldn't find it, send back the numeric representation
                    _market = market ?? marketCode.ToStringInvariant();
                }
                return _market;
            }
        }

        /// <summary>
        /// Gets the security type component of this security identifier.
        /// </summary>
        [ProtoMember(4)]
        public SecurityType SecurityType { get; }

        /// <summary>
        /// Gets the option strike price. This only applies to SecurityType.Option
        /// and will thrown anexception if accessed otherwse.
        /// </summary>
        public decimal StrikePrice
        {
            get
            {
                try
                {
                    // will throw 'InvalidOperationException' if not set
                    return _strikePrice.Value;
                }
                catch (InvalidOperationException)
                {
                    if (!SecurityType.IsOption())
                    {
                        throw new InvalidOperationException("StrikePrice is only defined for SecurityType.Option, SecurityType.FutureOption, and SecurityType.IndexOption");
                    }

                    // performance: lets calculate strike price once
                    var scale = ExtractFromProperties(StrikeScaleOffset, StrikeScaleWidth);
                    var unscaled = ExtractFromProperties(StrikeOffset, StrikeWidth);
                    var pow = Math.Pow(10, (int)scale - StrikeDefaultScale);
                    // If the 20th bit is set to 1, we have a negative strike price.
                    // Let's normalize the strike and explicitly make it negative
                    if (((unscaled >> 19) & 1) == 1)
                    {
                        _strikePrice = -((unscaled ^ 1 << 19) * (decimal)pow);
                    }
                    else
                    {
                        _strikePrice = unscaled * (decimal)pow;
                    }

                    return _strikePrice.Value;
                }
            }
        }

        /// <summary>
        /// Gets the option type component of this security identifier. This
        /// only applies to SecurityType.Open and will throw an exception if
        /// accessed otherwise.
        /// </summary>
        public OptionRight OptionRight
        {
            get
            {
                try
                {
                    // will throw 'InvalidOperationException' if not set
                    return _optionRight.Value;
                }
                catch (InvalidOperationException)
                {
                    if (!SecurityType.IsOption())
                    {
                        throw new InvalidOperationException("OptionRight is only defined for SecurityType.Option, SecurityType.FutureOption, and SecurityType.IndexOption");
                    }
                    _optionRight = (OptionRight)ExtractFromProperties(PutCallOffset, PutCallWidth);
                    return _optionRight.Value;
                }
            }
        }

        /// <summary>
        /// Gets the option style component of this security identifier. This
        /// only applies to SecurityType.Open and will throw an exception if
        /// accessed otherwise.
        /// </summary>
        public OptionStyle OptionStyle
        {
            get
            {
                try
                {
                    // will throw 'InvalidOperationException' if not set
                    return _optionStyle.Value;
                }
                catch (InvalidOperationException)
                {
                    if (!SecurityType.IsOption())
                    {
                        throw new InvalidOperationException("OptionStyle is only defined for SecurityType.Option, SecurityType.FutureOption, and SecurityType.IndexOption");
                    }

                    _optionStyle = (OptionStyle)(ExtractFromProperties(OptionStyleOffset, OptionStyleWidth));
                    return _optionStyle.Value;
                }
            }
        }

        #endregion

        #region Constructors

        /// <summary>
        /// Initializes a new instance of the <see cref="SecurityIdentifier"/> class
        /// </summary>
        /// <param name="symbol">The base36 string encoded as a long using alpha [0-9A-Z]</param>
        /// <param name="properties">Other data defining properties of the symbol including market,
        /// security type, listing or expiry date, strike/call/put/style for options, ect...</param>
        public SecurityIdentifier(string symbol, ulong properties)
        {
            if (symbol == null)
            {
                throw new ArgumentNullException(nameof(symbol), "SecurityIdentifier requires a non-null string 'symbol'");
            }
            if (symbol.IndexOfAny(InvalidCharacters) != -1)
            {
                throw new ArgumentException("symbol must not contain the characters '|' or ' '.", nameof(symbol));
            }
            _symbol = symbol;
            _properties = properties;
            _underlying = null;
            _strikePrice = null;
            _optionStyle = null;
            _optionRight = null;
            _date = null;
            SecurityType = (SecurityType)ExtractFromProperties(SecurityTypeOffset, SecurityTypeWidth, properties);
            if (!SecurityType.IsValid())
            {
                throw new ArgumentException($"The provided properties do not match with a valid {nameof(SecurityType)}", "properties");
            }
            _hashCode = unchecked (symbol.GetHashCode() * 397) ^ properties.GetHashCode();
            _hashCodeSet = true;
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="SecurityIdentifier"/> class
        /// </summary>
        /// <param name="symbol">The base36 string encoded as a long using alpha [0-9A-Z]</param>
        /// <param name="properties">Other data defining properties of the symbol including market,
        /// security type, listing or expiry date, strike/call/put/style for options, ect...</param>
        /// <param name="underlying">Specifies a <see cref="SecurityIdentifier"/> that represents the underlying security</param>
        public SecurityIdentifier(string symbol, ulong properties, SecurityIdentifier underlying)
            : this(symbol, properties)
        {
            if (symbol == null)
            {
                throw new ArgumentNullException(nameof(symbol), "SecurityIdentifier requires a non-null string 'symbol'");
            }
            _symbol = symbol;
            _properties = properties;
            // performance: directly call Equals(SecurityIdentifier other), shortcuts Equals(object other)
            if (!underlying.Equals(Empty))
            {
                _underlying = underlying;
            }
        }

        #endregion

        #region AddMarket, GetMarketCode, and Generate

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for an option
        /// </summary>
        /// <param name="expiry">The date the option expires</param>
        /// <param name="underlying">The underlying security's symbol</param>
        /// <param name="market">The market</param>
        /// <param name="strike">The strike price</param>
        /// <param name="optionRight">The option type, call or put</param>
        /// <param name="optionStyle">The option style, American or European</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified option security</returns>
        public static SecurityIdentifier GenerateOption(DateTime expiry,
            SecurityIdentifier underlying,
            string market,
            decimal strike,
            OptionRight optionRight,
            OptionStyle optionStyle)
        {
            return Generate(expiry, underlying.Symbol, QuantConnect.Symbol.GetOptionTypeFromUnderlying(underlying.SecurityType), market, strike, optionRight, optionStyle, underlying);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a future
        /// </summary>
        /// <param name="expiry">The date the future expires</param>
        /// <param name="symbol">The security's symbol</param>
        /// <param name="market">The market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified futures security</returns>
        public static SecurityIdentifier GenerateFuture(DateTime expiry,
            string symbol,
            string market)
        {
            return Generate(expiry, symbol, SecurityType.Future, market);
        }

        /// <summary>
        /// Helper overload that will search the mapfiles to resolve the first date. This implementation
        /// uses the configured <see cref="IMapFileProvider"/> via the <see cref="Composer.Instance"/>
        /// </summary>
        /// <param name="symbol">The symbol as it is known today</param>
        /// <param name="market">The market</param>
        /// <param name="mapSymbol">Specifies if symbol should be mapped using map file provider</param>
        /// <param name="mapFileProvider">Specifies the IMapFileProvider to use for resolving symbols, specify null to load from Composer</param>
        /// <param name="mappingResolveDate">The date to use to resolve the map file. Default value is <see cref="DateTime.Today"/></param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified symbol today</returns>
        public static SecurityIdentifier GenerateEquity(string symbol, string market, bool mapSymbol = true, IMapFileProvider mapFileProvider = null, DateTime? mappingResolveDate = null)
        {
            var firstDate = DefaultDate;
            if (mapSymbol)
            {
                var firstTickerDate = GetFirstTickerAndDate(mapFileProvider ?? MapFileProvider.Value, symbol, market, mappingResolveDate: mappingResolveDate);
                firstDate = firstTickerDate.Item2;
                symbol = firstTickerDate.Item1;
            }

            return GenerateEquity(firstDate, symbol, market);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for an equity
        /// </summary>
        /// <param name="date">The first date this security traded (in LEAN this is the first date in the map_file</param>
        /// <param name="symbol">The ticker symbol this security traded under on the <paramref name="date"/></param>
        /// <param name="market">The security's market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified equity security</returns>
        public static SecurityIdentifier GenerateEquity(DateTime date, string symbol, string market)
        {
            return Generate(date, symbol, SecurityType.Equity, market);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a <see cref="ConstituentsUniverseData"/>.
        /// Note that the symbol ticker is case sensitive here.
        /// </summary>
        /// <param name="symbol">The ticker to use for this constituent identifier</param>
        /// <param name="securityType">The security type of this constituent universe</param>
        /// <param name="market">The security's market</param>
        /// <remarks>This method is special in the sense that it does not force the Symbol to be upper
        /// which is required to determine the source file of the constituent
        /// <see cref="ConstituentsUniverseData.GetSource(Data.SubscriptionDataConfig,DateTime,bool)"/></remarks>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified constituent universe</returns>
        public static SecurityIdentifier GenerateConstituentIdentifier(string symbol, SecurityType securityType, string market)
        {
            return Generate(DefaultDate, symbol, securityType, market, forceSymbolToUpper: false);
        }

        /// <summary>
        /// Generates the <see cref="Symbol"/> property for <see cref="QuantConnect.SecurityType.Base"/> security identifiers
        /// </summary>
        /// <param name="dataType">The base data custom data type if namespacing is required, null otherwise</param>
        /// <param name="symbol">The ticker symbol</param>
        /// <returns>The value used for the security identifier's <see cref="Symbol"/></returns>
        public static string GenerateBaseSymbol(Type dataType, string symbol)
        {
            if (dataType == null)
            {
                return symbol;
            }

            return $"{symbol.ToUpperInvariant()}.{dataType.Name}";
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a custom security with the option of providing the first date
        /// </summary>
        /// <param name="dataType">The custom data type</param>
        /// <param name="symbol">The ticker symbol of this security</param>
        /// <param name="market">The security's market</param>
        /// <param name="mapSymbol">Whether or not we should map this symbol</param>
        /// <param name="date">First date that the security traded on</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified base security</returns>
        public static SecurityIdentifier GenerateBase(Type dataType, string symbol, string market, bool mapSymbol = false, DateTime? date = null)
        {
            var firstDate = date ?? DefaultDate;

            if (mapSymbol)
            {
                var firstTickerDate = GetFirstTickerAndDate(MapFileProvider.Value, symbol, market);
                firstDate = firstTickerDate.Item2;
                symbol = firstTickerDate.Item1;
            }

            return Generate(
                firstDate,
                GenerateBaseSymbol(dataType, symbol),
                SecurityType.Base,
                market,
                forceSymbolToUpper: false
            );
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a forex pair
        /// </summary>
        /// <param name="symbol">The currency pair in the format similar to: 'EURUSD'</param>
        /// <param name="market">The security's market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified forex pair</returns>
        public static SecurityIdentifier GenerateForex(string symbol, string market)
        {
            return Generate(DefaultDate, symbol, SecurityType.Forex, market);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a Crypto pair
        /// </summary>
        /// <param name="symbol">The currency pair in the format similar to: 'EURUSD'</param>
        /// <param name="market">The security's market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified Crypto pair</returns>
        public static SecurityIdentifier GenerateCrypto(string symbol, string market)
        {
            return Generate(DefaultDate, symbol, SecurityType.Crypto, market);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a CFD security
        /// </summary>
        /// <param name="symbol">The CFD contract symbol</param>
        /// <param name="market">The security's market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified CFD security</returns>
        public static SecurityIdentifier GenerateCfd(string symbol, string market)
        {
            return Generate(DefaultDate, symbol, SecurityType.Cfd, market);
        }

        /// <summary>
        /// Generates a new <see cref="SecurityIdentifier"/> for a INDEX security
        /// </summary>
        /// <param name="symbol">The Index contract symbol</param>
        /// <param name="market">The security's market</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> representing the specified INDEX security</returns>
        public static SecurityIdentifier GenerateIndex(string symbol, string market)
        {
            return Generate(DefaultDate, symbol, SecurityType.Index, market);
        }

        /// <summary>
        /// Generic generate method. This method should be used carefully as some parameters are not required and
        /// some parameters mean different things for different security types
        /// </summary>
        private static SecurityIdentifier Generate(DateTime date,
            string symbol,
            SecurityType securityType,
            string market,
            decimal strike = 0,
            OptionRight optionRight = 0,
            OptionStyle optionStyle = 0,
            SecurityIdentifier underlying = null,
            bool forceSymbolToUpper = true)
        {
            if ((ulong)securityType >= SecurityTypeWidth || securityType < 0)
            {
                throw new ArgumentOutOfRangeException(nameof(securityType), "securityType must be between 0 and 99");
            }
            if ((int)optionRight > 1 || optionRight < 0)
            {
                throw new ArgumentOutOfRangeException(nameof(optionRight), "optionType must be either 0 or 1");
            }

            // normalize input strings
            market = market.ToLowerInvariant();
            symbol = forceSymbolToUpper ? symbol.LazyToUpper() : symbol;

            if (securityType == SecurityType.FutureOption)
            {
                // Futures options tickers might not match, so we need
                // to map the provided future Symbol to the actual future option Symbol.
                symbol = FuturesOptionsSymbolMappings.Map(symbol);
            }

            var marketIdentifier = QuantConnect.Market.Encode(market);
            if (!marketIdentifier.HasValue)
            {
                throw new ArgumentOutOfRangeException(nameof(market), "The specified market wasn't found in the  markets lookup. " +
                    $"Requested: {market}. You can add markets by calling QuantConnect.Market.AddMarket(string,ushort)"
                );
            }

            var days = (ulong)date.ToOADate() * DaysOffset;
            var marketCode = (ulong)marketIdentifier * MarketOffset;

            ulong strikeScale;
            var strk = NormalizeStrike(strike, out strikeScale) * StrikeOffset;
            strikeScale *= StrikeScaleOffset;
            var style = (ulong)optionStyle * OptionStyleOffset;
            var putcall = (ulong)optionRight * PutCallOffset;

            var otherData = putcall + days + style + strk + strikeScale + marketCode + (ulong)securityType;

            var result = new SecurityIdentifier(symbol, otherData, underlying ?? Empty);

            // we already have these so lets set them
            switch (securityType)
            {
                case SecurityType.Base:
                case SecurityType.Equity:
                case SecurityType.Future:
                    result._date = date;
                    break;
                case SecurityType.Option:
                case SecurityType.FutureOption:
                    result._date = date;
                    result._strikePrice = strike;
                    result._optionRight = optionRight;
                    result._optionStyle = optionStyle;
                    break;
            }
            return result;
        }

        /// <summary>
        /// Resolves the first ticker/date of the security represented by <paramref name="tickerToday"/>
        /// </summary>
        /// <param name="mapFileProvider">The IMapFileProvider instance used for resolving map files</param>
        /// <param name="tickerToday">The security's ticker as it trades today</param>
        /// <param name="market">The market the security exists in</param>
        /// <param name="mappingResolveDate">The date to use to resolve the map file. Default value is <see cref="DateTime.Today"/></param>
        /// <returns>The security's first ticker/date if mapping data available, otherwise, the provided ticker and DefaultDate are returned</returns>
        private static Tuple<string, DateTime> GetFirstTickerAndDate(IMapFileProvider mapFileProvider, string tickerToday, string market, DateTime? mappingResolveDate = null)
        {
            var resolver = mapFileProvider.Get(market);
            var mapFile = resolver.ResolveMapFile(tickerToday, mappingResolveDate ?? DateTime.Today);

            // if we have mapping data, use the first ticker/date from there, otherwise use provided ticker and DefaultDate
            return mapFile.Any()
                ? Tuple.Create(mapFile.FirstTicker, mapFile.FirstDate)
                : Tuple.Create(tickerToday, DefaultDate);
        }

        /// <summary>
        /// Converts an upper case alpha numeric string into a long
        /// </summary>
        private static ulong DecodeBase36(string symbol)
        {
            var result = 0ul;
            var baseValue = 1ul;
            for (var i = symbol.Length - 1; i > -1; i--)
            {
                var c = symbol[i];

                // assumes alpha numeric upper case only strings
                var value = (uint)(c <= 57
                    ? c - '0'
                    : c - 'A' + 10);

                result += baseValue * value;
                baseValue *= 36;
            }

            return result;
        }

        /// <summary>
        /// Converts a long to an uppercase alpha numeric string
        /// </summary>
        private static string EncodeBase36(ulong data)
        {
            var stack = new Stack<char>(15);
            while (data != 0)
            {
                var value = data % 36;
                var c = value < 10
                    ? (char)(value + '0')
                    : (char)(value - 10 + 'A');

                stack.Push(c);
                data /= 36;
            }
            return new string(stack.ToArray());
        }

        /// <summary>
        /// The strike is normalized into deci-cents and then a scale factor
        /// is also saved to bring it back to un-normalized
        /// </summary>
        private static ulong NormalizeStrike(decimal strike, out ulong scale)
        {
            var str = strike;

            if (strike == 0)
            {
                scale = 0;
                return 0;
            }

            // convert strike to default scaling, this keeps the scale always positive
            strike *= StrikeDefaultScaleExpanded;

            scale = 0;
            while (strike % 10 == 0)
            {
                strike /= 10;
                scale++;
            }

            // Since our max precision was previously capped at 999999 and it had 20 bits set,
            // we sacrifice a single bit from the strike price to allow for negative strike prices.
            // 475711 is the maximum value that can be represented when setting the negative bit because
            // any number greater than that will cause an overflow in the strike price width and increase
            // its width to 7 digits.
            // The idea behind this formula is to determine what number the overflow would happen at.
            // We get the max number representable in 19 bits, subtract the width to normalize the value,
            // and then get the difference between the 20 bit mask and the 19 bit normalized value to get
            // the max strike price + 1. Subtract 1 to normalize the value, and we have established an exclusive
            // upper bound.
            const ulong negativeMask = 1 << 19;
            const ulong maxStrikePrice = negativeMask - ((negativeMask ^ (negativeMask - 1)) - StrikeWidth) - 1;

            if (strike >= maxStrikePrice || strike <= -(long)maxStrikePrice)
            {
                throw new ArgumentException(Invariant($"The specified strike price\'s precision is too high: {str}"));
            }

            var encodedStrike = (long)strike;
            if (strike < 0)
            {
                // Flip the sign
                encodedStrike = -encodedStrike;

                // Sets the 20th bit equal to 1
                encodedStrike |= 1 << 19;
            }

            return (ulong)encodedStrike;
        }

        /// <summary>
        /// Accurately performs the integer exponentiation
        /// </summary>
        private static ulong Pow(uint x, int pow)
        {
            // don't use Math.Pow(double, double) due to precision issues
            return (ulong)BigInteger.Pow(x, pow);
        }

        #endregion

        #region Parsing routines

        /// <summary>
        /// Parses the specified string into a <see cref="SecurityIdentifier"/>
        /// The string must be a 40 digit number. The first 20 digits must be parseable
        /// to a 64 bit unsigned integer and contain ancillary data about the security.
        /// The second 20 digits must also be parseable as a 64 bit unsigned integer and
        /// contain the symbol encoded from base36, this provides for 12 alpha numeric case
        /// insensitive characters.
        /// </summary>
        /// <param name="value">The string value to be parsed</param>
        /// <returns>A new <see cref="SecurityIdentifier"/> instance if the <paramref name="value"/> is able to be parsed.</returns>
        /// <exception cref="FormatException">This exception is thrown if the string's length is not exactly 40 characters, or
        /// if the components are unable to be parsed as 64 bit unsigned integers</exception>
        public static SecurityIdentifier Parse(string value)
        {
            Exception exception;
            SecurityIdentifier identifier;
            if (!TryParse(value, out identifier, out exception))
            {
                throw exception;
            }

            return identifier;
        }

        /// <summary>
        /// Attempts to parse the specified <see paramref="value"/> as a <see cref="SecurityIdentifier"/>.
        /// </summary>
        /// <param name="value">The string value to be parsed</param>
        /// <param name="identifier">The result of parsing, when this function returns true, <paramref name="identifier"/>
        /// was properly created and reflects the input string, when this function returns false <paramref name="identifier"/>
        /// will equal default(SecurityIdentifier)</param>
        /// <returns>True on success, otherwise false</returns>
        public static bool TryParse(string value, out SecurityIdentifier identifier)
        {
            Exception exception;
            return TryParse(value, out identifier, out exception);
        }

        /// <summary>
        /// Helper method impl to be used by parse and tryparse
        /// </summary>
        private static bool TryParse(string value, out SecurityIdentifier identifier, out Exception exception)
        {
            if (!TryParseProperties(value, out exception, out identifier))
            {
                return false;
            }

            return true;
        }

        private static readonly char[] SplitSpace = {' '};

        /// <summary>
        /// Parses the string into its component ulong pieces
        /// </summary>
        private static bool TryParseProperties(string value, out Exception exception, out SecurityIdentifier identifier)
        {
            exception = null;

            if (string.IsNullOrWhiteSpace(value) || value == " 0")
            {
                identifier = Empty;
                return true;
            }

            // for performance, we first verify if we already have parsed this SecurityIdentifier
            if (SecurityIdentifierCache.TryGetValue(value, out identifier))
            {
                return true;
            }
            // after calling TryGetValue because if it failed it will set identifier to default
            identifier = Empty;

            try
            {
                var sids = value.Split('|');
                for (var i = sids.Length - 1; i > -1; i--)
                {
                    var current = sids[i];
                    var parts = current.Split(SplitSpace, StringSplitOptions.RemoveEmptyEntries);
                    if (parts.Length != 2)
                    {
                        exception = new FormatException("The string must be splittable on space into two parts.");
                        return false;
                    }

                    var symbol = parts[0];
                    var otherData = parts[1];
                    var props = DecodeBase36(otherData);

                    // toss the previous in as the underlying, if Empty, ignored by ctor
                    identifier = new SecurityIdentifier(symbol, props, identifier);
                }
            }
            catch (Exception error)
            {
                exception = error;
                Log.Error($"SecurityIdentifier.TryParseProperties(): Error parsing SecurityIdentifier: '{value}', Exception: {exception}");
                return false;
            }

            SecurityIdentifierCache.TryAdd(value, identifier);
            return true;
        }

        /// <summary>
        /// Extracts the embedded value from _otherData
        /// </summary>
        private ulong ExtractFromProperties(ulong offset, ulong width)
        {
            return ExtractFromProperties(offset, width, _properties);
        }

        /// <summary>
        /// Extracts the embedded value from _otherData
        /// </summary>
        /// <remarks>Static so it can be used in <see cref="SecurityIdentifier"/> initialization</remarks>
        private static ulong ExtractFromProperties(ulong offset, ulong width, ulong properties)
        {
            return (properties / offset) % width;
        }

        #endregion

        #region Equality members and ToString

        /// <summary>Compares the current instance with another object of the same type and returns an integer that indicates whether the current instance precedes, follows, or occurs in the same position in the sort order as the other object. </summary>
        /// <param name="other">An object to compare with this instance. </param>
        /// <returns>A value that indicates the relative order of the objects being compared. The return value has these meanings: Value Meaning Less than zero This instance precedes <paramref name="other" /> in the sort order.  Zero This instance occurs in the same position in the sort order as <paramref name="other" />. Greater than zero This instance follows <paramref name="other" /> in the sort order. </returns>
        public int CompareTo(SecurityIdentifier other)
        {
            if (ReferenceEquals(this, other))
            {
                return 0;
            }

            if (ReferenceEquals(null, other))
            {
                return 1;
            }

            return string.Compare(ToString(), other.ToString(), StringComparison.Ordinal);
        }

        /// <summary>Compares the current instance with another object of the same type and returns an integer that indicates whether the current instance precedes, follows, or occurs in the same position in the sort order as the other object.</summary>
        /// <param name="obj">An object to compare with this instance. </param>
        /// <returns>A value that indicates the relative order of the objects being compared. The return value has these meanings: Value Meaning Less than zero This instance precedes <paramref name="obj" /> in the sort order. Zero This instance occurs in the same position in the sort order as <paramref name="obj" />. Greater than zero This instance follows <paramref name="obj" /> in the sort order. </returns>
        /// <exception cref="T:System.ArgumentException">
        /// <paramref name="obj" /> is not the same type as this instance. </exception>
        public int CompareTo(object obj)
        {
            if (ReferenceEquals(null, obj))
            {
                return 1;
            }

            if (ReferenceEquals(this, obj))
            {
                return 0;
            }

            if (!(obj is SecurityIdentifier))
            {
                throw new ArgumentException($"Object must be of type {nameof(SecurityIdentifier)}");
            }

            return CompareTo((SecurityIdentifier) obj);
        }

        /// <summary>
        /// Indicates whether the current object is equal to another object of the same type.
        /// </summary>
        /// <returns>
        /// true if the current object is equal to the <paramref name="other"/> parameter; otherwise, false.
        /// </returns>
        /// <param name="other">An object to compare with this object.</param>
        public bool Equals(SecurityIdentifier other)
        {
            return ReferenceEquals(this, other) || _properties == other._properties
                && _symbol == other._symbol
                && _underlying == other._underlying;
        }

        /// <summary>
        /// Determines whether the specified <see cref="T:System.Object"/> is equal to the current <see cref="T:System.Object"/>.
        /// </summary>
        /// <returns>
        /// true if the specified object  is equal to the current object; otherwise, false.
        /// </returns>
        /// <param name="obj">The object to compare with the current object. </param><filterpriority>2</filterpriority>
        public override bool Equals(object obj)
        {
            if (ReferenceEquals(null, obj)) return false;
            if (obj.GetType() != GetType()) return false;
            return Equals((SecurityIdentifier)obj);
        }

        /// <summary>
        /// Serves as a hash function for a particular type.
        /// </summary>
        /// <returns>
        /// A hash code for the current <see cref="T:System.Object"/>.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        public override int GetHashCode()
        {
            if (!_hashCodeSet)
            {
                _hashCode = unchecked(_symbol.GetHashCode() * 397) ^ _properties.GetHashCode();
                _hashCodeSet = true;
            }
            return _hashCode;
        }

        /// <summary>
        /// Override equals operator
        /// </summary>
        public static bool operator ==(SecurityIdentifier left, SecurityIdentifier right)
        {
            return Equals(left, right);
        }

        /// <summary>
        /// Override not equals operator
        /// </summary>
        public static bool operator !=(SecurityIdentifier left, SecurityIdentifier right)
        {
            return !Equals(left, right);
        }

        /// <summary>
        /// Returns a string that represents the current object.
        /// </summary>
        /// <returns>
        /// A string that represents the current object.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        public override string ToString()
        {
            if (_stringRep == null)
            {
                var props = EncodeBase36(_properties);
                props = props.Length == 0 ? "0" : props;
                _stringRep = HasUnderlying ? $"{_symbol} {props}|{_underlying}" : $"{_symbol} {props}";
            }

            return _stringRep;
        }

        #endregion
    }
}