Lean  $LEAN_TAG$
Forex.cs
1 /*
2  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
7  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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9  * Unless required by applicable law or agreed to in writing, software
10  * distributed under the License is distributed on an "AS IS" BASIS,
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12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
16 using System;
17 using QuantConnect.Data;
18 using QuantConnect.Orders.Fees;
19 using QuantConnect.Orders.Fills;
20 using QuantConnect.Orders.Slippage;
21 using QuantConnect.Util;
22 
23 namespace QuantConnect.Securities.Forex
24 {
25  /// <summary>
26  /// FOREX Security Object Implementation for FOREX Assets
27  /// </summary>
28  /// <seealso cref="Security"/>
29  public class Forex : Security, IBaseCurrencySymbol
30  {
31  /// <summary>
32  /// Gets the currency acquired by going long this currency pair
33  /// </summary>
34  /// <remarks>
35  /// For example, the EUR/USD has a base currency of the euro, and as a result
36  /// of going long the EUR/USD a trader is acquiring euros in exchange for US dollars
37  /// </remarks>
38  public Cash BaseCurrency { get; protected set; }
39 
40  /// <summary>
41  /// Constructor for the forex security
42  /// </summary>
43  /// <param name="exchangeHours">Defines the hours this exchange is open</param>
44  /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
45  /// <param name="baseCurrency">The cash object that represent the base currency</param>
46  /// <param name="config">The subscription configuration for this security</param>
47  /// <param name="symbolProperties">The symbol properties for this security</param>
48  /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
49  /// instances into units of the account currency</param>
50  /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
51  public Forex(SecurityExchangeHours exchangeHours,
52  Cash quoteCurrency,
53  Cash baseCurrency,
54  SubscriptionDataConfig config,
55  SymbolProperties symbolProperties,
56  ICurrencyConverter currencyConverter,
57  IRegisteredSecurityDataTypesProvider registeredTypes)
58  : base(config,
59  quoteCurrency,
60  symbolProperties,
61  new ForexExchange(exchangeHours),
62  new ForexCache(),
63  new SecurityPortfolioModel(),
64  new ImmediateFillModel(),
65  new InteractiveBrokersFeeModel(),
66  NullSlippageModel.Instance,
67  new ImmediateSettlementModel(),
68  Securities.VolatilityModel.Null,
69  new SecurityMarginModel(50m),
70  new ForexDataFilter(),
71  new SecurityPriceVariationModel(),
72  currencyConverter,
73  registeredTypes,
74  Securities.MarginInterestRateModel.Null
75  )
76  {
77  BaseCurrency = baseCurrency;
78  Holdings = new ForexHolding(this, currencyConverter);
79  }
80 
81  /// <summary>
82  /// Constructor for the forex security
83  /// </summary>
84  /// <param name="symbol">The security's symbol</param>
85  /// <param name="exchangeHours">Defines the hours this exchange is open</param>
86  /// <param name="quoteCurrency">The cash object that represent the quote currency</param>
87  /// <param name="baseCurrency">The cash object that represent the base currency</param>
88  /// <param name="symbolProperties">The symbol properties for this security</param>
89  /// <param name="currencyConverter">Currency converter used to convert <see cref="CashAmount"/>
90  /// instances into units of the account currency</param>
91  /// <param name="registeredTypes">Provides all data types registered in the algorithm</param>
92  /// <param name="securityCache">Cache for storing Security data</param>
93  public Forex(Symbol symbol,
94  SecurityExchangeHours exchangeHours,
95  Cash quoteCurrency,
96  Cash baseCurrency,
97  SymbolProperties symbolProperties,
98  ICurrencyConverter currencyConverter,
99  IRegisteredSecurityDataTypesProvider registeredTypes,
100  SecurityCache securityCache)
101  : base(symbol,
102  quoteCurrency,
103  symbolProperties,
104  new ForexExchange(exchangeHours),
105  securityCache,
106  new SecurityPortfolioModel(),
107  new ImmediateFillModel(),
108  new InteractiveBrokersFeeModel(),
109  NullSlippageModel.Instance,
110  new ImmediateSettlementModel(),
111  Securities.VolatilityModel.Null,
112  new SecurityMarginModel(50m),
113  new ForexDataFilter(),
114  new SecurityPriceVariationModel(),
115  currencyConverter,
116  registeredTypes,
117  Securities.MarginInterestRateModel.Null
118  )
119  {
120  BaseCurrency = baseCurrency;
121  Holdings = new ForexHolding(this, currencyConverter);
122  }
123 
124  /// <summary>
125  /// Decomposes the specified currency pair into a base and quote currency provided as out parameters
126  /// </summary>
127  /// <param name="currencyPair">The input currency pair to be decomposed, for example, "EURUSD"</param>
128  /// <param name="baseCurrency">The output base currency</param>
129  /// <param name="quoteCurrency">The output quote currency</param>
130  public static void DecomposeCurrencyPair(string currencyPair, out string baseCurrency, out string quoteCurrency)
131  {
132  if (!CurrencyPairUtil.IsForexDecomposable(currencyPair))
133  {
134  throw new ArgumentException($"Currency pairs must be exactly 6 characters: {currencyPair}");
135  }
136 
137  baseCurrency = currencyPair.Substring(0, 3);
138  quoteCurrency = currencyPair.Substring(3);
139  }
140  }
141 }