/// <summary>
/// Converts an InteractiveBrokers symbol to a Lean symbol instance
/// </summary>
/// <param name="brokerageSymbol">The InteractiveBrokers symbol</param>
/// <param name="securityType">The security type</param>
/// <param name="market">The market</param>
/// <param name="expirationDate">Expiration date of the security(if applicable)</param>
/// <param name="strike">The strike of the security (if applicable)</param>
/// <param name="optionRight">The option right of the security (if applicable)</param>
/// <returns>A new Lean Symbol instance</returns>
public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market, DateTime expirationDate = default(DateTime), decimal strike = 0, OptionRight optionRight = 0)
{
if (string.IsNullOrWhiteSpace(brokerageSymbol))
{
throw new ArgumentException("Invalid symbol: " + brokerageSymbol);
}
if (securityType != SecurityType.Forex &&
securityType != SecurityType.Equity &&
securityType != SecurityType.Option &&
securityType != SecurityType.Future &&
securityType != SecurityType.FutureOption)
{
throw new ArgumentException("Invalid security type: " + securityType);
}
try
{
switch (securityType)
{
case SecurityType.Future:
return(Symbol.CreateFuture(GetLeanRootSymbol(brokerageSymbol), market, expirationDate));
case SecurityType.Option:
return(Symbol.CreateOption(brokerageSymbol, market, OptionStyle.American, optionRight, strike, expirationDate));
case SecurityType.FutureOption:
var canonicalFutureSymbol = Symbol.Create(GetLeanRootSymbol(brokerageSymbol), SecurityType.Future, market);
var futureContractMonth = FuturesOptionsExpiryFunctions.GetFutureContractMonth(canonicalFutureSymbol, expirationDate);
var futureExpiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFutureSymbol)(futureContractMonth);
return(Symbol.CreateOption(
Symbol.CreateFuture(
brokerageSymbol,
market,
futureExpiry),
market,
OptionStyle.American,
optionRight,
strike,
expirationDate));
case SecurityType.Equity:
brokerageSymbol = brokerageSymbol.Replace(" ", ".");
break;
}
return(Symbol.Create(brokerageSymbol, securityType, market));
}
catch (Exception)
{
throw new ArgumentException($"Invalid symbol: {brokerageSymbol}, security type: {securityType}, market: {market}.");
}
}
public void FutureContractMonthDelta(string futureTicker, string market, int expiryMonth, int expectedDelta)
{
var contractMonth = new DateTime(2020, 12, 1);
var future = Symbol.Create(futureTicker, SecurityType.Future, market);
var option = Symbol.CreateOption(
future,
market,
default(OptionStyle),
default(OptionRight),
default(decimal),
SecurityIdentifier.DefaultDate);
var futureOptionExpiry = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(option, contractMonth);
Assert.AreEqual(expectedDelta, contractMonth.Month - futureOptionExpiry.Month);
Assert.AreEqual(new DateTime(2020, 12, 1), FuturesOptionsExpiryFunctions.GetFutureContractMonth(future, new DateTime(2020, expiryMonth, 1)));
}