FutureSymbol.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/
 
using QuantConnect.Logging;
 
namespace QuantConnect.Securities.Future
{
    /// <summary>
    /// Static class contains common utility methods specific to symbols representing the future contracts
    /// </summary>
    public static class FutureSymbol
    {
        /// <summary>
        /// Determine if a given Futures contract is a standard contract.
        /// </summary>
        /// <param name="symbol">Future symbol</param>
        /// <returns>True if symbol expiration matches standard expiration</returns>
        public static bool IsStandard(Symbol symbol)
        {
            var contractExpirationDate = symbol.ID.Date.Date;
 
            try
            {
                // Use our FutureExpiryFunctions to determine standard contracts dates.
                var expiryFunction = FuturesExpiryFunctions.FuturesExpiryFunction(symbol);
                var monthsToAdd = FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(symbol.ID.Symbol, contractExpirationDate);
                var contractMonth = contractExpirationDate.AddDays(-(contractExpirationDate.Day - 1))
                    .AddMonths(monthsToAdd);
 
                var standardExpirationDate = expiryFunction(contractMonth);
 
                // Return true if the dates match
                return contractExpirationDate == standardExpirationDate.Date;
            }
            catch
            {
                Log.Error($"FutureSymbol.IsStandard(): Could not find standard date for {symbol}, will be classified as standard");
                return true;
            }
        }
 
        /// <summary>
        /// Returns true if the future contract is a weekly contract
        /// </summary>
        /// <param name="symbol">Future symbol</param>
        /// <returns>True if symbol is non-standard contract</returns>
        public static bool IsWeekly(Symbol symbol)
        {
            return !IsStandard(symbol);
        }
    }
}