/// <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 future = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(
GetLeanRootSymbol(brokerageSymbol),
market,
expirationDate,
DateTime.Now);
if (future == null)
{
// This is the worst case scenario, because we didn't find a matching futures contract for the FOP.
// Note that this only applies to CBOT symbols for now.
throw new ArgumentException($"The Future Option with expected underlying of {future} with expiry: {expirationDate:yyyy-MM-dd} has no matching underlying future contract.");
}
return(Symbol.CreateOption(
future,
market,
OptionStyle.American,
optionRight,
strike,
expirationDate));
case SecurityType.Equity:
brokerageSymbol = brokerageSymbol.Replace(" ", ".");
break;
}
return(Symbol.Create(brokerageSymbol, securityType, market));
}
catch (Exception)
{
throw new ArgumentException($"Invalid symbol: {brokerageSymbol}, security type: {securityType}, market: {market}.");
}
}
public void GetUnderlyingSymbolFromFutureOption(string futureTicker, string market, int year, int month, int day, int fopContractYear, int fopContractMonth, bool nullExpected)
{
var optionTicker = FuturesOptionsSymbolMappings.Map(futureTicker);
var expectedFuture = Symbol.CreateFuture(futureTicker, market, new DateTime(year, month, day));
var canonicalFutureOption = Symbol.CreateOption(expectedFuture, market, default(OptionStyle), default(OptionRight), default(decimal), SecurityIdentifier.DefaultDate);
var futureContractMonthDelta = FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(futureTicker, expectedFuture.ID.Date);
var futureContractMonth = expectedFuture.ID.Date.AddMonths(futureContractMonthDelta);
var futuresOptionsExpiration = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(canonicalFutureOption, futureContractMonth);
var actualFuture = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(optionTicker, market, futuresOptionsExpiration, new DateTime(2021, 1, 1));
if (nullExpected)
{
// There were no futures that appeared on the or subsequent contract months from the future option.
Assert.IsNull(actualFuture);
}
else
{
Assert.AreEqual(expectedFuture, actualFuture);
}
}
