QuantConnect.Data.Shortable.LocalDiskShortableProvider Class Reference

Sources short availability data from the local disk for the given brokerage More...

Inheritance diagram for QuantConnect.Data.Shortable.LocalDiskShortableProvider:

Public Member Functions
	LocalDiskShortableProvider (string brokerage)
	Creates an instance of the class. Establishes the directory to read from. More...
decimal	FeeRate (Symbol symbol, DateTime localTime)
	Gets interest rate charged on borrowed shares for a given asset. More...
decimal	RebateRate (Symbol symbol, DateTime localTime)
	Gets the Fed funds or other currency-relevant benchmark rate minus the interest rate charged on borrowed shares for a given asset. E.g.: Interest rate - borrow fee rate = borrow rebate rate: 5.32% - 0.25% = 5.07%. More...
long?	ShortableQuantity (Symbol symbol, DateTime localTime)
	Gets the quantity shortable for the Symbol at the given date. More...

Protected Member Functions
record	ShortableData (long? ShortableQuantity, decimal RebateFee, decimal FeeRate)
	Gets the shortable data More...

Static Protected Attributes
static IDataProvider	DataProvider = Composer.Instance.GetPart<IDataProvider>()
	The data provider instance to use More...

Properties
string	Brokerage [get, set]
	The short availability provider More...

Detailed Description

Sources short availability data from the local disk for the given brokerage

Definition at line 29 of file LocalDiskShortableProvider.cs.

Constructor & Destructor Documentation

LocalDiskShortableProvider()

QuantConnect.Data.Shortable.LocalDiskShortableProvider.LocalDiskShortableProvider

(

string

brokerage

)

Creates an instance of the class. Establishes the directory to read from.

Parameters

brokerage

Brokerage to read the short availability data

Definition at line 49 of file LocalDiskShortableProvider.cs.

Member Function Documentation

FeeRate()

decimal QuantConnect.Data.Shortable.LocalDiskShortableProvider.FeeRate	(	Symbol	symbol,
		DateTime	localTime
	)

Gets interest rate charged on borrowed shares for a given asset.

Parameters

symbol	Symbol to lookup fee rate
localTime	Time of the algorithm

Returns

Fee rate. Zero if the data for the brokerage/date does not exist.

Implements QuantConnect.Interfaces.IShortableProvider.

Definition at line 60 of file LocalDiskShortableProvider.cs.

RebateRate()

decimal QuantConnect.Data.Shortable.LocalDiskShortableProvider.RebateRate	(	Symbol	symbol,
		DateTime	localTime
	)

Gets the Fed funds or other currency-relevant benchmark rate minus the interest rate charged on borrowed shares for a given asset. E.g.: Interest rate - borrow fee rate = borrow rebate rate: 5.32% - 0.25% = 5.07%.

Parameters

symbol	Symbol to lookup rebate rate
localTime	Time of the algorithm

Returns

Rebate fee. Zero if the data for the brokerage/date does not exist.

Implements QuantConnect.Interfaces.IShortableProvider.

Definition at line 77 of file LocalDiskShortableProvider.cs.

ShortableQuantity()

long? QuantConnect.Data.Shortable.LocalDiskShortableProvider.ShortableQuantity	(	Symbol	symbol,
		DateTime	localTime
	)

Gets the quantity shortable for the Symbol at the given date.

Parameters

symbol	Symbol to lookup shortable quantity
localTime	Time of the algorithm

Returns

Quantity shortable. Null if the data for the brokerage/date does not exist.

Implements QuantConnect.Interfaces.IShortableProvider.

Definition at line 93 of file LocalDiskShortableProvider.cs.

ShortableData()

record QuantConnect.Data.Shortable.LocalDiskShortableProvider.ShortableData ( long?  ShortableQuantity, decimal  RebateFee, decimal  FeeRate  )

protected

Gets the shortable data

Member Data Documentation

DataProvider

IDataProvider QuantConnect.Data.Shortable.LocalDiskShortableProvider.DataProvider = Composer.Instance.GetPart<IDataProvider>()

staticprotected

The data provider instance to use

Definition at line 34 of file LocalDiskShortableProvider.cs.

Property Documentation

Brokerage

string QuantConnect.Data.Shortable.LocalDiskShortableProvider.Brokerage

getsetprotected

The short availability provider

Definition at line 43 of file LocalDiskShortableProvider.cs.

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The documentation for this class was generated from the following file:

• Common/Data/Shortable/LocalDiskShortableProvider.cs