/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
marginModel,
dataFilter
)
{
SubscriptionsBag.Add(config);
}
/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
buyingPowerModel,
dataFilter,
priceVariationModel
)
{
SubscriptionsBag.Add(config);
UpdateSubscriptionProperties();
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypesProvider
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException(nameof(symbolProperties), "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
this._currencyConverter = currencyConverter;
Symbol = symbol;
SubscriptionsBag = new ConcurrentBag <SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
BuyingPowerModel = buyingPowerModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this, currencyConverter);
Data = new DynamicSecurityData(registeredTypesProvider);
Cache.DataStored += (sender, args) => Data.StoreData(args.DataType, args.Data);
UpdateSubscriptionProperties();
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
Symbol = symbol;
SubscriptionsBag = new ConcurrentBag <SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
BuyingPowerModel = buyingPowerModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
UpdateSubscriptionProperties();
}
/// <summary>
/// Creates instance of the Option class.
/// </summary>
/// <remarks>
/// Allows for the forwarding of the security configuration to the
/// base Security constructor
/// </remarks>
protected Option(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypesProvider,
Security underlying
) : base(
symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
buyingPowerModel,
dataFilter,
priceVariationModel,
currencyConverter,
registeredTypesProvider
)
{
ExerciseSettlement = SettlementType.PhysicalDelivery;
SetDataNormalizationMode(DataNormalizationMode.Raw);
OptionExerciseModel = new DefaultExerciseModel();
PriceModel = new CurrentPriceOptionPriceModel();
Holdings = new OptionHolding(this, currencyConverter);
_symbolProperties = (OptionSymbolProperties)symbolProperties;
SetFilter(-1, 1, TimeSpan.Zero, TimeSpan.FromDays(35));
Underlying = underlying;
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_config = config;
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = !config.IsInternalFeed;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
_config = config;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Sets the slippage model
/// </summary>
/// <param name="slippageModel">Model that represents a slippage model</param>
public void SetSlippageModel(ISlippageModel slippageModel)
{
SlippageModel = slippageModel;
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_config = config;
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Initializes a new instance of the <see cref="SecurityTransactionManager"/> class
/// </summary>
/// <param name="fillModel">The fill model to use</param>
/// <param name="feeModel">The order fee model to use</param>
/// <param name="slippageModel">The slippage model to use</param>
public SecurityTransactionModel(IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel)
{
_fillModel = fillModel;
_feeModel = feeModel;
_slippageModel = slippageModel;
}
/// <summary>
/// Initializes a new default instance of the <see cref="SecurityTransactionModel"/> class.
/// This will use default slippage and fill models.
/// </summary>
public SecurityTransactionModel()
{
_slippageModel = new SpreadSlippageModel();
_fillModel = new ImmediateFillModel();
_feeModel = new ConstantFeeModel(0);
}
/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
marginModel,
dataFilter
)
{
SubscriptionsBag.Add(config);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_symbol = symbol;
SubscriptionsBag = new ConcurrentBag<SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
_config = config;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Initializes a new instance of the <see cref="SecurityTransactionManager"/> class
/// </summary>
/// <param name="fillModel">The fill model to use</param>
/// <param name="feeModel">The order fee model to use</param>
/// <param name="slippageModel">The slippage model to use</param>
public SecurityTransactionModel(IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel)
{
_fillModel = fillModel;
_feeModel = feeModel;
_slippageModel = slippageModel;
}
/// <summary>
/// Initializes a new default instance of the <see cref="SecurityTransactionModel"/> class.
/// This will use default slippage and fill models.
/// </summary>
public SecurityTransactionModel()
{
_slippageModel = new SpreadSlippageModel();
_fillModel = new ImmediateFillModel();
_feeModel = new ConstantFeeModel(0);
}
