/// <summary>
/// Constructor for the Future security
/// </summary>
/// <param name="symbol">The subscription security symbol</param>
/// <param name="exchangeHours">Defines the hours this exchange is open</param>
/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
/// <param name="symbolProperties">The symbol properties for this security</param>
/// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
/// instances into units of the account currency</param>
/// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
public Future(Symbol symbol,
SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
SymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes,
SecurityCache securityCache
)
: base(symbol,
quoteCurrency,
symbolProperties,
new FutureExchange(exchangeHours),
securityCache,
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new InteractiveBrokersFeeModel(),
new ConstantSlippageModel(0),
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new FutureMarginModel(),
new SecurityDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes
)
{
// for now all futures are cash settled as we don't allow underlying (Live Cattle?) to be posted on the account
SettlementType = SettlementType.Cash;
Holdings = new FutureHolding(this, currencyConverter);
_symbolProperties = symbolProperties;
SetFilter(TimeSpan.Zero, TimeSpan.FromDays(35));
}
/// <summary>
/// Constructor for the Future security
/// </summary>
/// <param name="exchangeHours">Defines the hours this exchange is open</param>
/// <param name="quoteCurrency">The cash object that represent the quote currency</param>
/// <param name="config">The subscription configuration for this security</param>
/// <param name="symbolProperties">The symbol properties for this security</param>
public Future(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties)
: base(config,
quoteCurrency,
symbolProperties,
new FutureExchange(exchangeHours),
new FutureCache(),
new SecurityPortfolioModel(),
new ImmediateFillModel(),
new InteractiveBrokersFeeModel(),
new ConstantSlippageModel(0),
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
new FutureMarginModel(),
new SecurityDataFilter(),
new SecurityPriceVariationModel()
)
{
// for now all futures are cash settled as we don't allow underlying (Live Cattle?) to be posted on the account
SettlementType = SettlementType.Cash;
Holdings = new FutureHolding(this);
_symbolProperties = symbolProperties;
SetFilter(TimeSpan.Zero, TimeSpan.FromDays(35));
}
