/// <summary>
/// Get the Lean <see cref = "Symbol"/> object given its ticker, security type and market.
/// </summary>
/// <param name="ticker">The asset symbol name</param>
/// <param name="type">The asset security type</param>
/// <param name="market">The asset market</param>
/// <returns><see cref = "Symbol"/> object wrapped in a <see cref = "PyObject"/></returns>
public PyObject GetSymbol(string ticker, string type = "Equity", string market = null)
{
var securityType = (SecurityType)Enum.Parse(typeof(SecurityType), type, true);
SecurityIdentifier sid;
if (securityType == SecurityType.Cfd)
{
sid = SecurityIdentifier.GenerateCfd(ticker, market ?? Market.Oanda);
}
else if (securityType == SecurityType.Equity)
{
sid = SecurityIdentifier.GenerateEquity(ticker, market ?? Market.USA);
}
else if (securityType == SecurityType.Forex)
{
sid = SecurityIdentifier.GenerateForex(ticker, market ?? Market.FXCM);
}
else
{
return("Invalid security type. Use Equity, Forex or Cfd.".ToPython());
}
// Add symbol to cache
SymbolCache.Set(ticker, new Symbol(sid, ticker));
return(SymbolCache.GetSymbol(ticker).ToPython());
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = string.Format("qc-universe-userdefined-{0}-{1}", market.ToLower(), securityType);
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, ticker, market, 0, 0, 0);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Commodity:
case SecurityType.Future:
default:
throw new NotImplementedException("The specified security type is not implemented yet: " + securityType);
}
return(new Symbol(sid, ticker));
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = $"qc-universe-userdefined-{market.ToLowerInvariant()}-{securityType}";
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(null, ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
var underlying = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying, market, 0, 0, 0);
break;
case SecurityType.FutureOption:
var underlyingFuture = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingFuture, market, 0, 0, 0);
break;
case SecurityType.IndexOption:
var underlyingIndex = SecurityIdentifier.GenerateIndex(ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingIndex, market, 0, 0, OptionStyle.European);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Index:
sid = SecurityIdentifier.GenerateIndex(ticker, market);
break;
case SecurityType.Future:
sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Crypto:
sid = SecurityIdentifier.GenerateCrypto(ticker, market);
break;
case SecurityType.Commodity:
default:
throw new NotImplementedException($"The specified security type is not implemented yet: {securityType}");
}
return(new Symbol(sid, ticker));
}
private static Symbol ConvertSymbol(string instrument, SecurityType securityType)
{
if (securityType == SecurityType.Forex)
{
return(new Symbol(SecurityIdentifier.GenerateForex(instrument, Market.Oanda), instrument));
}
if (securityType == SecurityType.Cfd)
{
return(new Symbol(SecurityIdentifier.GenerateCfd(instrument, Market.Oanda), instrument));
}
throw new NotImplementedException("The specfied security type has not been implemented yet: " + securityType);
}
static SecurityIdentifier GetSid(string symbol, SecurityType securityType)
{
if (securityType == SecurityType.Forex)
{
return(SecurityIdentifier.GenerateForex(symbol, Market.Dukascopy));
}
if (securityType == SecurityType.Cfd)
{
return(SecurityIdentifier.GenerateCfd(symbol, Market.Dukascopy));
}
throw new NotImplementedException("The specfied security type has not been implemented yet: " + securityType);
}
/// <summary>
/// Converts an FXCM symbol to a QuantConnect symbol
/// </summary>
private static Symbol ConvertSymbol(Instrument instrument)
{
var symbol = instrument.getSymbol().Replace("/", "");
var securityType = GetSecurityType(instrument);
switch (securityType)
{
case SecurityType.Forex:
return(new Symbol(SecurityIdentifier.GenerateForex(symbol, Market.FXCM), symbol));
case SecurityType.Cfd:
return(new Symbol(SecurityIdentifier.GenerateCfd(symbol, Market.FXCM), symbol));
}
throw new ArgumentException("The specified security type is not supported: " + securityType);
}