public void TestSP500EMiniExpiryDateFunction()
{
var june2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.USA, new DateTime(2017, 6, 15));
var june2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(june2017.ID.Symbol);
Assert.AreEqual(june2017Func(june2017.ID.Date), new DateTime(2017, 6, 16, 9, 30, 0));
var september2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.USA, new DateTime(2017, 9, 1));
var september2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(september2017.ID.Symbol);
Assert.AreEqual(september2017Func(september2017.ID.Date), new DateTime(2017, 9, 15, 9, 30, 0));
var december2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.USA, new DateTime(2017, 12, 31));
var december2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(december2017.ID.Symbol);
Assert.AreEqual(december2017Func(december2017.ID.Date), new DateTime(2017, 12, 15, 9, 30, 0));
var march2018 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.USA, new DateTime(2018, 3, 31));
var march2018Func = FuturesExpiryFunctions.FuturesExpiryFunction(march2018.ID.Symbol);
Assert.AreEqual(march2018Func(march2018.ID.Date), new DateTime(2018, 3, 16, 9, 30, 0));
var june2018 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.USA, new DateTime(2018, 3, 31));
var june2018Func = FuturesExpiryFunctions.FuturesExpiryFunction(june2018.ID.Symbol);
Assert.AreEqual(june2018Func(june2018.ID.Date), new DateTime(2018, 3, 16, 9, 30, 0));
}
public void HongKongFutureFee(bool canonical)
{
var symbol = Symbols.CreateFutureSymbol(Futures.Indices.HangSeng, SecurityIdentifier.DefaultDate);
if (!canonical)
{
symbol = Symbols.CreateFutureSymbol(Futures.Indices.HangSeng,
FuturesExpiryFunctions.FuturesExpiryFunction(symbol)(new DateTime(2021, 12, 1)));
}
var entry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);
var properties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol, symbol.SecurityType, null);
var security = new Future(symbol, entry.ExchangeHours,
new Cash(properties.QuoteCurrency, 0, 0),
properties,
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var fee = _feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1000, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.HKD, fee.Value.Currency);
Assert.AreEqual(1000 * 40m, fee.Value.Amount);
}
public void TestGoldExpiryDateFunction()
{
var april2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2017, 4, 1));
var april2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(april2017.ID.Symbol);
Assert.AreEqual(april2017Func(april2017.ID.Date), new DateTime(2017, 4, 26));
var may2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2017, 5, 31));
var may2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(may2017.ID.Symbol);
Assert.AreEqual(may2017Func(may2017.ID.Date), new DateTime(2017, 5, 26));
var june2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2017, 6, 15));
var june2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(june2017.ID.Symbol);
Assert.AreEqual(june2017Func(june2017.ID.Date), new DateTime(2017, 6, 28));
var july2017 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2017, 7, 15));
var july2017Func = FuturesExpiryFunctions.FuturesExpiryFunction(july2017.ID.Symbol);
Assert.AreEqual(july2017Func(july2017.ID.Date), new DateTime(2017, 7, 27));
var october2018 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2018, 10, 15));
var october2018Func = FuturesExpiryFunctions.FuturesExpiryFunction(october2018.ID.Symbol);
Assert.AreEqual(october2018Func(october2018.ID.Date), new DateTime(2018, 10, 29));
var december2021 = Symbol.CreateFuture(QuantConnect.Securities.Futures.Metals.Gold, Market.USA, new DateTime(2021, 12, 15));
var december2021Func = FuturesExpiryFunctions.FuturesExpiryFunction(december2021.ID.Symbol);
Assert.AreEqual(december2021Func(december2021.ID.Date), new DateTime(2021, 12, 29));
}
/// <summary>
/// Gets the FOP's underlying Future. The underlying Future's contract month might not match
/// the contract month of the Future Option when providing CBOT or COMEX based FOPs contracts to this method.
/// </summary>
/// <param name="futureOptionTicker">Future option ticker</param>
/// <param name="market">Market of the Future Option</param>
/// <param name="futureOptionExpiration">Expiration date of the future option</param>
/// <param name="date">Date to search the future chain provider with. Optional, but required for CBOT based contracts</param>
/// <returns>Symbol if there is an underlying for the FOP, null if there's no underlying found for the Future Option</returns>
public static Symbol GetUnderlyingFutureFromFutureOption(string futureOptionTicker, string market, DateTime futureOptionExpiration, DateTime?date = null)
{
var futureTicker = FuturesOptionsSymbolMappings.MapFromOption(futureOptionTicker);
var canonicalFuture = Symbol.Create(futureTicker, SecurityType.Future, market);
// Get the contract month of the FOP to use when searching for the underlying.
// If the FOP and Future share the same contract month, this is reused as the future's
// contract month so that we can resolve the Future's expiry.
var contractMonth = GetFutureContractMonthNoRulesApplied(canonicalFuture, futureOptionExpiration);
if (_underlyingFuturesOptionsRules.ContainsKey(futureTicker))
{
// The provided ticker follows some sort of rule. Let's figure out the underlying's contract month.
var newFutureContractMonth = _underlyingFuturesOptionsRules[futureTicker](contractMonth, date);
if (newFutureContractMonth == null)
{
// This will only happen when we search the Futures chain for a given contract and no
// closest match could be made, i.e. there are no futures in the chain that come after the FOP's
// contract month.
return(null);
}
contractMonth = newFutureContractMonth.Value;
}
var futureExpiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture)(contractMonth);
return(Symbol.CreateFuture(futureTicker, market, futureExpiry));
}
public void FuturesExpiryFunction_MissingSymbol_ShouldThrowArgumentException()
{
const string badSymbol = "AAAAA";
Assert.Throws <ArgumentException>(() => { FuturesExpiryFunctions.FuturesExpiryFunction(badSymbol); },
$"Expiry function not implemented for {badSymbol} in FuturesExpiryFunctions.FuturesExpiryDictionary");
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (IsWarmingUp)
{
// warm up data
_warmedUp = true;
if (!_continuousContract.HasData)
{
throw new Exception($"ContinuousContract did not get any data during warmup!");
}
var backMonthExpiration = data.Keys.Single().Underlying.ID.Date;
var frontMonthExpiration = FuturesExpiryFunctions.FuturesExpiryFunction(_continuousContract.Symbol)(Time.AddMonths(1));
if (backMonthExpiration <= frontMonthExpiration.Date)
{
throw new Exception($"Unexpected current mapped contract expiration {backMonthExpiration}" +
$" @ {Time} it should be AFTER front month expiration {frontMonthExpiration}");
}
}
if (data.Keys.Count != 1)
{
throw new Exception($"We are getting data for more than one symbols! {string.Join(",", data.Keys.Select(symbol => symbol))}");
}
if (!Portfolio.Invested)
{
Buy(_continuousContract.Symbol, 1);
}
}
/// <summary>
/// Parses a contract for future with malformed data.
/// Malformed data usually manifests itself by having "0" assigned to some values
/// we expect, like the contract's expiry date. The contract is returned by IB
/// like this, usually due to a high amount of data subscriptions that are active
/// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
///
/// We are provided a string in the Symbol in malformed contracts that can be
/// parsed to construct the clean contract, which is done by this method.
/// </summary>
/// <param name="malformedContract">Malformed contract (for futures), i.e. a contract with invalid values ("0") in some of its fields</param>
/// <param name="symbolPropertiesDatabase">The symbol properties database to use</param>
/// <returns>Clean Contract for the future</returns>
/// <remarks>
/// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>: ES MAR2021
/// </remarks>
public Contract ParseMalformedContractFutureSymbol(Contract malformedContract, SymbolPropertiesDatabase symbolPropertiesDatabase)
{
Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractFutureSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
// capture any character except spaces, match spaces, capture any char except digits, capture digits
var matches = Regex.Matches(malformedContract.Symbol, @"^(\S*)\s*(\D*)(\d*)");
var match = matches[0].Groups;
var contractSymbol = match[1].Value;
var contractMonthExpiration = DateTime.ParseExact(match[2].Value, "MMM", CultureInfo.CurrentCulture).Month;
var contractYearExpiration = match[3].Value;
var leanSymbol = GetLeanRootSymbol(contractSymbol);
string market;
if (!symbolPropertiesDatabase.TryGetMarket(leanSymbol, SecurityType.Future, out market))
{
market = InteractiveBrokersBrokerageModel.DefaultMarketMap[SecurityType.Future];
}
var canonicalSymbol = Symbol.Create(leanSymbol, SecurityType.Future, market);
var contractMonthYear = new DateTime(int.Parse(contractYearExpiration, CultureInfo.InvariantCulture), contractMonthExpiration, 1);
// we get the expiration date using the FuturesExpiryFunctions
var contractExpirationDate = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalSymbol)(contractMonthYear);
return(new Contract
{
Symbol = contractSymbol,
Multiplier = malformedContract.Multiplier,
LastTradeDateOrContractMonth = $"{contractExpirationDate:yyyyMMdd}",
Exchange = malformedContract.Exchange,
SecType = malformedContract.SecType,
IncludeExpired = false,
Currency = malformedContract.Currency
});
}
/// <summary>
/// Helper method to parse and generate a future symbol from a given user friendly representation
/// </summary>
/// <param name="ticker">The future ticker, for example 'ESZ1'</param>
/// <param name="futureYear">Clarifies the year for the current future</param>
/// <returns>The future symbol or null if failed</returns>
public static Symbol ParseFutureSymbol(string ticker, int?futureYear = null)
{
var disambiguatedFutureYear = futureYear ?? TodayUtc.Year;
var parsed = ParseFutureTicker(ticker);
if (parsed == null)
{
return(null);
}
var underlying = parsed.Underlying;
var expirationYearShort = parsed.ExpirationYearShort;
var expirationMonth = parsed.ExpirationMonth;
var expirationYear = GetExpirationYear(expirationYearShort, disambiguatedFutureYear);
if (!SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(underlying, SecurityType.Future, out var market))
{
Log.Debug($"SymbolRepresentation.ParseFutureSymbol(): Failed to get market for future '{ticker}' and underlying '{underlying}'");
return(null);
}
var expiryFunc = FuturesExpiryFunctions.FuturesExpiryFunction(Symbol.Create(underlying, SecurityType.Future, market));
var expiryDate = expiryFunc(new DateTime(expirationYear, expirationMonth, 1));
return(Symbol.CreateFuture(underlying, market, expiryDate));
}
public void LiveOptionChainProviderReturnsFutureOptionData()
{
var now = DateTime.Now;
var december = new DateTime(now.Year, 12, 1);
var canonicalFuture = Symbol.Create("ES", SecurityType.Future, Market.CME);
var expiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture)(december);
// When the current year's december contract expires, the test starts failing.
// This will happen around the last 10 days of December, but will start working
// once we've crossed into the new year.
// Let's try the next listed contract, which is in March of the next year if this is the case.
if (now >= expiry)
{
expiry = now.AddMonths(-now.Month).AddYears(1).AddMonths(3);
}
var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, expiry);
var provider = new LiveOptionChainProvider();
var result = provider.GetOptionContractList(underlyingFuture, now).ToList();
Assert.AreNotEqual(0, result.Count);
foreach (var symbol in result)
{
Assert.IsTrue(symbol.HasUnderlying);
Assert.AreEqual(Market.CME, symbol.ID.Market);
Assert.AreEqual(OptionStyle.American, symbol.ID.OptionStyle);
Assert.GreaterOrEqual(symbol.ID.StrikePrice, 100m);
Assert.Less(symbol.ID.StrikePrice, 30000m);
}
}
/// <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}.");
}
}
/// <summary>
/// Creates a symbol from the specified zip entry name
/// </summary>
/// <param name="symbol">The root symbol of the output symbol</param>
/// <param name="resolution">The resolution of the data source producing the zip entry name</param>
/// <param name="zipEntryName">The zip entry name to be parsed</param>
/// <returns>A new symbol representing the zip entry name</returns>
public static Symbol ReadSymbolFromZipEntry(Symbol symbol, Resolution resolution, string zipEntryName)
{
var isHourlyOrDaily = resolution == Resolution.Hour || resolution == Resolution.Daily;
var parts = zipEntryName.Replace(".csv", string.Empty).Split('_');
switch (symbol.ID.SecurityType)
{
case SecurityType.Option:
case SecurityType.FutureOption:
case SecurityType.IndexOption:
if (isHourlyOrDaily)
{
var style = (OptionStyle)Enum.Parse(typeof(OptionStyle), parts[2], true);
var right = (OptionRight)Enum.Parse(typeof(OptionRight), parts[3], true);
var strike = Parse.Decimal(parts[4]) / 10000m;
var expiry = Parse.DateTimeExact(parts[5], DateFormat.EightCharacter);
return(Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, style, right, strike, expiry));
}
else
{
var style = (OptionStyle)Enum.Parse(typeof(OptionStyle), parts[4], true);
var right = (OptionRight)Enum.Parse(typeof(OptionRight), parts[5], true);
var strike = Parse.Decimal(parts[6]) / 10000m;
var expiry = DateTime.ParseExact(parts[7], DateFormat.EightCharacter, CultureInfo.InvariantCulture);
return(Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, style, right, strike, expiry));
}
case SecurityType.Future:
if (isHourlyOrDaily)
{
var expiryYearMonth = Parse.DateTimeExact(parts[2], DateFormat.YearMonth);
var futureExpiryFunc = FuturesExpiryFunctions.FuturesExpiryFunction(symbol);
var futureExpiry = futureExpiryFunc(expiryYearMonth);
return(Symbol.CreateFuture(parts[0], symbol.ID.Market, futureExpiry));
}
else
{
var expiryYearMonth = Parse.DateTimeExact(parts[4], DateFormat.YearMonth);
var futureExpiryFunc = FuturesExpiryFunctions.FuturesExpiryFunction(symbol);
var futureExpiry = futureExpiryFunc(expiryYearMonth);
return(Symbol.CreateFuture(parts[1], symbol.ID.Market, futureExpiry));
}
default:
throw new NotImplementedException(Invariant(
$"ReadSymbolFromZipEntry is not implemented for {symbol.ID.SecurityType} {symbol.ID.Market} {resolution}"
));
}
}
/// <summary>
/// Gets the theoretical (i.e. intermediate/naive) future contract month if we assumed a 1-1 mapping
/// between FOPs contract months and Futures contract months, i.e. they share the same contract month.
/// </summary>
/// <param name="canonicalFutureSymbol">Canonical future Symbol</param>
/// <param name="futureOptionExpirationDate">Future Option Expiration Date</param>
/// <returns>Contract month assuming that the Future Option and Future share the same contract month</returns>
private static DateTime GetFutureContractMonthNoRulesApplied(Symbol canonicalFutureSymbol, DateTime futureOptionExpirationDate)
{
var baseOptionExpiryMonthDate = new DateTime(futureOptionExpirationDate.Year, futureOptionExpirationDate.Month, 1);
if (!_futuresOptionsExpiryDelta.ContainsKey(canonicalFutureSymbol.ID.Symbol))
{
// For contracts like CL, they have no expiry delta between the Futures and FOPs, so we hit this path.
// However, it does have a delta between its expiry and contract month, which we adjust here before
// claiming that `baseOptionExpiryMonthDate` is the future's contract month.
var futuresExpiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFutureSymbol)(baseOptionExpiryMonthDate);
var futuresDelta = FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(canonicalFutureSymbol.ID.Symbol, futuresExpiry);
return(baseOptionExpiryMonthDate.AddMonths(futuresDelta));
}
return(baseOptionExpiryMonthDate.AddMonths(_futuresOptionsExpiryDelta[canonicalFutureSymbol.ID.Symbol]));
}
public void SoftsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol)
{
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
foreach (var date in _data[symbol])
{
//Arrange
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
//Act
var actual = func(futureSymbol.ID.Date);
var expected = date.LastTrade;
//Assert
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
}
}
public void DairyExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
{
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
foreach (var date in _data[symbol])
{
// Arrange
var security = Symbol.CreateFuture(symbol, "usa", date.ContractMonth);
var func = FuturesExpiryFunctions.FuturesExpiryFunction(security.ID.Symbol);
// Act
var actual = func(security.ID.Date);
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
// Assert
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
}
}
public void GrainsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol)
{
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
foreach (var date in _data[symbol])
{
//Arrange
var security = Symbol.CreateFuture(symbol, Market.USA, date.ContractMonth);
var func = FuturesExpiryFunctions.FuturesExpiryFunction(security.ID.Symbol);
//Act
var calculated = func(security.ID.Date);
var actual = date.LastTrade;
//Assert
Assert.AreEqual(calculated, actual, "Failed for symbol: " + symbol);
}
}
/// <summary>
/// Gets the Futures Options' expiry for the given contract month.
/// </summary>
/// <param name="canonicalFutureOptionSymbol">Canonical Futures Options Symbol. Will be made canonical if not provided a canonical</param>
/// <param name="futureContractMonth">Contract month of the underlying Future</param>
/// <returns>Expiry date/time</returns>
public static DateTime FuturesOptionExpiry(Symbol canonicalFutureOptionSymbol, DateTime futureContractMonth)
{
if (!canonicalFutureOptionSymbol.IsCanonical() || !canonicalFutureOptionSymbol.Underlying.IsCanonical())
{
canonicalFutureOptionSymbol = Symbol.CreateOption(
Symbol.Create(canonicalFutureOptionSymbol.Underlying.ID.Symbol, SecurityType.Future, canonicalFutureOptionSymbol.Underlying.ID.Market),
canonicalFutureOptionSymbol.ID.Market,
default(OptionStyle),
default(OptionRight),
default(decimal),
SecurityIdentifier.DefaultDate);
}
Func <DateTime, DateTime> expiryFunction;
if (!_futuresOptionExpiryFunctions.TryGetValue(canonicalFutureOptionSymbol, out expiryFunction))
{
// No definition exists for this FOP. Let's default to futures expiry.
return(FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFutureOptionSymbol.Underlying)(futureContractMonth));
}
return(expiryFunction(futureContractMonth));
}
/// <summary>
/// Creates a symbol from the specified zip entry name
/// </summary>
/// <param name="symbol">The root symbol of the output symbol</param>
/// <param name="resolution">The resolution of the data source producing the zip entry name</param>
/// <param name="zipEntryName">The zip entry name to be parsed</param>
/// <returns>A new symbol representing the zip entry name</returns>
public static Symbol ReadSymbolFromZipEntry(Symbol symbol, Resolution resolution, string zipEntryName)
{
var isHourlyOrDaily = resolution == Resolution.Hour || resolution == Resolution.Daily;
var parts = zipEntryName.Replace(".csv", string.Empty).Split('_');
switch (symbol.ID.SecurityType)
{
case SecurityType.Option:
if (isHourlyOrDaily)
{
var style = (OptionStyle)Enum.Parse(typeof(OptionStyle), parts[2], true);
var right = (OptionRight)Enum.Parse(typeof(OptionRight), parts[3], true);
var strike = decimal.Parse(parts[4]) / 10000m;
var expiry = DateTime.ParseExact(parts[5], DateFormat.EightCharacter, null);
return(Symbol.CreateOption(symbol.Underlying, Market.USA, style, right, strike, expiry));
}
else
{
var style = (OptionStyle)Enum.Parse(typeof(OptionStyle), parts[4], true);
var right = (OptionRight)Enum.Parse(typeof(OptionRight), parts[5], true);
var strike = decimal.Parse(parts[6]) / 10000m;
var expiry = DateTime.ParseExact(parts[7], DateFormat.EightCharacter, null);
return(Symbol.CreateOption(symbol.Underlying, Market.USA, style, right, strike, expiry));
}
break;
case SecurityType.Future:
var expiryYearMonth = DateTime.ParseExact(parts[4], DateFormat.YearMonth, null);
var futureExpiryFunc = FuturesExpiryFunctions.FuturesExpiryFunction(parts[1]);
var futureExpiry = futureExpiryFunc(expiryYearMonth);
return(Symbol.CreateFuture(parts[1], Market.USA, futureExpiry));
default:
throw new NotImplementedException("ReadSymbolFromZipEntry is not implemented for " + symbol.ID.SecurityType + " " + resolution);
}
}
public void FuturesExpiryFunctions_AllFutures_ShouldHaveExpiryFunction()
{
var missingFutures = new List <string>();
var futuresSymbols = typeof(QuantConnect.Securities.Futures).GetNestedTypes()
.SelectMany(x => x.GetFields())
.Select(x => x.GetValue(null)) // null for obj in GetValue indicates static field
.Cast <string>();
foreach (var futuresSymbol in futuresSymbols)
{
try
{
FuturesExpiryFunctions.FuturesExpiryFunction(futuresSymbol);
}
catch (ArgumentException)
{
missingFutures.Add(futuresSymbol);
}
}
Assert.IsEmpty(missingFutures,
$"The following symbols do not have an expiry function defined in FuturesExpiryFunction.FuturesExpiryDictionary: {string.Join(", ", missingFutures)}");
}
/// <summary>
/// Creates a future option Symbol from the provided ticker
/// </summary>
/// <param name="ticker">The future option ticker, for example 'ESZ0 P3590'</param>
/// <param name="strikeScale">Optional the future option strike scale factor</param>
public static Symbol ParseFutureOptionSymbol(string ticker, int strikeScale = 1)
{
var split = ticker.Split(' ');
if (split.Length != 2)
{
return(null);
}
var parsed = ParseFutureTicker(split[0]);
if (parsed == null)
{
return(null);
}
ticker = parsed.Underlying;
OptionRight right;
if (split[1][0] == 'P' || split[1][0] == 'p')
{
right = OptionRight.Put;
}
else if (split[1][0] == 'C' || split[1][0] == 'c')
{
right = OptionRight.Call;
}
else
{
return(null);
}
var strike = split[1].Substring(1);
if (parsed.ExpirationYearShort < 10)
{
parsed.ExpirationYearShort += 20;
}
var expirationYearParsed = 2000 + parsed.ExpirationYearShort;
var expirationDate = new DateTime(expirationYearParsed, parsed.ExpirationMonth, 1);
var strikePrice = decimal.Parse(strike, NumberStyles.Any, CultureInfo.InvariantCulture);
var futureTicker = FuturesOptionsSymbolMappings.MapFromOption(ticker);
if (!SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(futureTicker, SecurityType.Future, out var market))
{
Log.Debug($"SymbolRepresentation.ParseFutureOptionSymbol(): No market found for '{futureTicker}'");
return(null);
}
var canonicalFuture = Symbol.Create(futureTicker, SecurityType.Future, market);
var futureExpiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture)(expirationDate);
var future = Symbol.CreateFuture(futureTicker, market, futureExpiry);
var futureOptionExpiry = FuturesOptionsExpiryFunctions.GetFutureOptionExpiryFromFutureExpiry(future);
return(Symbol.CreateOption(future,
market,
OptionStyle.American,
right,
strikePrice / strikeScale,
futureOptionExpiry));
}
private IEnumerable <Symbol> GetFutureOptionContractList(Symbol futureContractSymbol, DateTime date)
{
var symbols = new List <Symbol>();
var retries = 0;
var maxRetries = 5;
while (++retries <= maxRetries)
{
try
{
_rateGate.WaitToProceed();
var productResponse = _client.GetAsync(CMEProductSlateURL.Replace(CMESymbolReplace, futureContractSymbol.ID.Symbol))
.SynchronouslyAwaitTaskResult();
productResponse.EnsureSuccessStatusCode();
var productResults = JsonConvert.DeserializeObject <CMEProductSlateV2ListResponse>(productResponse.Content
.ReadAsStringAsync()
.SynchronouslyAwaitTaskResult());
productResponse.Dispose();
// We want to gather the future product to get the future options ID
var futureProductId = productResults.Products.Where(p => p.Globex == futureContractSymbol.ID.Symbol && p.GlobexTraded && p.Cleared == "Futures")
.Select(p => p.Id)
.Single();
var optionsTradesAndExpiries = CMEOptionsTradeDateAndExpirations.Replace(CMEProductCodeReplace, futureProductId.ToStringInvariant());
_rateGate.WaitToProceed();
var optionsTradesAndExpiriesResponse = _client.GetAsync(optionsTradesAndExpiries).SynchronouslyAwaitTaskResult();
optionsTradesAndExpiriesResponse.EnsureSuccessStatusCode();
var tradesAndExpiriesResponse = JsonConvert.DeserializeObject <List <CMEOptionsTradeDatesAndExpiration> >(optionsTradesAndExpiriesResponse.Content
.ReadAsStringAsync()
.SynchronouslyAwaitTaskResult());
optionsTradesAndExpiriesResponse.Dispose();
// For now, only support American options on CME
var selectedOption = tradesAndExpiriesResponse
.FirstOrDefault(x => !x.Daily && !x.Weekly && !x.Sto && x.OptionType == "AME");
if (selectedOption == null)
{
Log.Error($"LiveOptionChainProvider.GetFutureOptionContractList(): Found no matching future options for contract {futureContractSymbol}");
yield break;
}
// Gather the month code and the year's last number to query the next API, which expects an expiration as `<MONTH_CODE><YEAR_LAST_NUMBER>`
var canonicalFuture = Symbol.Create(futureContractSymbol.ID.Symbol, SecurityType.Future, futureContractSymbol.ID.Market);
var expiryFunction = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture);
var futureContractExpiration = selectedOption.Expirations
.Select(x => new KeyValuePair <CMEOptionsExpiration, DateTime>(x, expiryFunction(new DateTime(x.Expiration.Year, x.Expiration.Month, 1))))
.FirstOrDefault(x => x.Value.Year == futureContractSymbol.ID.Date.Year && x.Value.Month == futureContractSymbol.ID.Date.Month)
.Key;
if (futureContractExpiration == null)
{
Log.Error($"LiveOptionChainProvider.GetFutureOptionContractList(): Found no future options with matching expiry year and month for contract {futureContractSymbol}");
yield break;
}
var futureContractMonthCode = futureContractExpiration.Expiration.Code;
_rateGate.WaitToProceed();
// Subtract one day from now for settlement API since settlement may not be available for today yet
var optionChainQuotesResponseResult = _client.GetAsync(CMEOptionChainQuotesURL
.Replace(CMEProductCodeReplace, selectedOption.ProductId.ToStringInvariant())
.Replace(CMEProductExpirationReplace, futureContractMonthCode)
+ Math.Floor((DateTime.UtcNow - _epoch).TotalMilliseconds).ToStringInvariant());
optionChainQuotesResponseResult.Result.EnsureSuccessStatusCode();
var futureOptionChain = JsonConvert.DeserializeObject <CMEOptionChainQuotes>(optionChainQuotesResponseResult.Result.Content
.ReadAsStringAsync()
.SynchronouslyAwaitTaskResult())
.Quotes
.DistinctBy(s => s.StrikePrice)
.ToList();
optionChainQuotesResponseResult.Dispose();
// Each CME contract can have arbitrary scaling applied to the strike price, so we normalize it to the
// underlying's price via static entries.
var optionStrikePriceScaleFactor = CMEStrikePriceScalingFactors.GetScaleFactor(futureContractSymbol);
var canonicalOption = Symbol.CreateOption(
futureContractSymbol,
futureContractSymbol.ID.Market,
futureContractSymbol.SecurityType.DefaultOptionStyle(),
default(OptionRight),
default(decimal),
SecurityIdentifier.DefaultDate);
foreach (var optionChainEntry in futureOptionChain)
{
var futureOptionExpiry = FuturesOptionsExpiryFunctions.GetFutureOptionExpiryFromFutureExpiry(futureContractSymbol, canonicalOption);
var scaledStrikePrice = optionChainEntry.StrikePrice / optionStrikePriceScaleFactor;
// Calls and puts share the same strike, create two symbols per each to avoid iterating twice.
symbols.Add(Symbol.CreateOption(
futureContractSymbol,
futureContractSymbol.ID.Market,
OptionStyle.American,
OptionRight.Call,
scaledStrikePrice,
futureOptionExpiry));
symbols.Add(Symbol.CreateOption(
futureContractSymbol,
futureContractSymbol.ID.Market,
OptionStyle.American,
OptionRight.Put,
scaledStrikePrice,
futureOptionExpiry));
}
break;
}
catch (HttpRequestException err)
{
if (retries != maxRetries)
{
Log.Error(err, $"Failed to retrieve futures options chain from CME, retrying ({retries} / {maxRetries})");
continue;
}
Log.Error(err, $"Failed to retrieve futures options chain from CME, returning empty result ({retries} / {retries})");
}
}
foreach (var symbol in symbols)
{
yield return(symbol);
}
}
/// <summary>
/// Parse a string line into a future tick.
/// </summary>
/// <param name="line"></param>
/// <returns></returns>
private Tick Parse(string line)
{
try
{
const int TradeMask = 2;
const int QuoteMask = 1;
const int OpenInterestMask = 11;
const int MessageTypeMask = 15;
// parse csv check column count
var csv = line.ToCsv();
if (csv.Count - 1 < _columnsCount)
{
return(null);
}
var ticker = csv[_columnTicker];
// we filter out options and spreads
if (ticker.IndexOfAny(new [] { ' ', '-' }) != -1)
{
return(null);
}
ticker = ticker.Trim(new char[] { '"' });
if (_symbolFilter != null && !_symbolFilter.Contains(ticker))
{
return(null);
}
if (string.IsNullOrEmpty(ticker))
{
return(null);
}
var parsed = SymbolRepresentation.ParseFutureTicker(ticker);
if (parsed == null || !_symbolMultipliers.ContainsKey(parsed.Underlying))
{
return(null);
}
// ignoring time zones completely -- this is all in the 'data-time-zone'
var timeString = csv[_columnTimestamp];
var time = DateTime.ParseExact(timeString, "yyyyMMddHHmmssFFF", CultureInfo.InvariantCulture);
var underlying = parsed.Underlying;
var expirationYearShort = parsed.ExpirationYearShort;
var expirationMonth = parsed.ExpirationMonth;
var expirationYear = GetExpirationYear(time, expirationYearShort);
var expiryFunc = FuturesExpiryFunctions.FuturesExpiryFunction(underlying);
var expiryDate = expiryFunc(new DateTime(expirationYear, expirationMonth, 1));
var symbol = Symbol.CreateFuture(underlying, Market.USA, expiryDate);
// detecting tick type (trade or quote)
TickType tickType;
bool isAsk = false;
var type = csv[_columnType].ConvertInvariant <int>();
if ((type & MessageTypeMask) == TradeMask)
{
tickType = TickType.Trade;
}
else if ((type & MessageTypeMask) == OpenInterestMask)
{
tickType = TickType.OpenInterest;
}
else if ((type & MessageTypeMask) == QuoteMask)
{
tickType = TickType.Quote;
switch (csv[_columnSide])
{
case "B":
isAsk = false;
break;
case "S":
isAsk = true;
break;
default:
{
return(null);
}
}
}
else
{
return(null);
}
// All futures but VIX are delivered with a scale factor of 10000000000.
var scaleFactor = symbol.ID.Symbol == "VX" ? decimal.One : 10000000000m;
var price = csv[_columnPrice].ToDecimal() / scaleFactor;
var quantity = csv[_columnQuantity].ToInt32();
price *= _symbolMultipliers[underlying];
switch (tickType)
{
case TickType.Quote:
var tick = new Tick
{
Symbol = symbol,
Time = time,
TickType = tickType,
Exchange = Market.USA,
Value = price
};
if (isAsk)
{
tick.AskPrice = price;
tick.AskSize = quantity;
}
else
{
tick.BidPrice = price;
tick.BidSize = quantity;
}
return(tick);
case TickType.Trade:
tick = new Tick
{
Symbol = symbol,
Time = time,
TickType = tickType,
Exchange = Market.USA,
Value = price,
Quantity = quantity
};
return(tick);
case TickType.OpenInterest:
tick = new Tick
{
Symbol = symbol,
Time = time,
TickType = tickType,
Exchange = Market.USA,
Value = quantity
};
return(tick);
}
return(null);
}
catch (Exception err)
{
Log.Error(err);
Log.Trace("Line: {0}", line);
return(null);
}
}
