QuantConnect.Securities.IndexOption.IndexOptionSymbolProperties Class Reference
Index Option Symbol Properties More...
Inheritance diagram for QuantConnect.Securities.IndexOption.IndexOptionSymbolProperties:
Public Member Functions | |
| IndexOptionSymbolProperties (string description, string quoteCurrency, decimal contractMultiplier, decimal pipSize, decimal lotSize) | |
| Creates an instance of index symbol properties More... | |
| IndexOptionSymbolProperties (SymbolProperties properties) | |
| Creates instance of index symbol properties More... | |
 Public Member Functions inherited from QuantConnect.Securities.Option.OptionSymbolProperties | |
| OptionSymbolProperties (string description, string quoteCurrency, decimal contractMultiplier, decimal pipSize, decimal lotSize) | |
| Creates an instance of the OptionSymbolProperties class More... | |
| OptionSymbolProperties (SymbolProperties properties) | |
| Creates an instance of the OptionSymbolProperties class from SymbolProperties class More... | |
| Public Member Functions inherited from QuantConnect.Securities.SymbolProperties | |
| SymbolProperties (string description, string quoteCurrency, decimal contractMultiplier, decimal minimumPriceVariation, decimal lotSize, string marketTicker, decimal? minimumOrderSize=null, decimal priceMagnifier=1, decimal strikeMultiplier=1) | |
| Creates an instance of the SymbolProperties class More... | |
| override string | ToString () |
| The string representation of these symbol properties More... | |
Static Public Member Functions | |
| static decimal | MinimumPriceVariationForPrice (Symbol symbol, decimal? referencePrice) |
| Minimum price variation, subject to variability due to contract price More... | |
| Static Public Member Functions inherited from QuantConnect.Securities.SymbolProperties | |
| static SymbolProperties | GetDefault (string quoteCurrency) |
| Gets a default instance of the SymbolProperties class for the specified quoteCurrency More... | |
Public Attributes | |
| override decimal | MinimumPriceVariation => MinimumPriceVariationForPrice(_lastData?.Symbol, _lastData?.Price) |
| Minimum price variation, subject to variability due to contract price More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Securities.Option.OptionSymbolProperties | |
| int | ContractUnitOfTrade [get, protected set] |
| When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands. More... | |
| override decimal | MinimumPriceVariation [get, protected set] |
| Overridable minimum price variation, required for index options contracts with variable sized quoted prices depending on the premium of the option. More... | |
| Properties inherited from QuantConnect.Securities.SymbolProperties | |
| string | Description [get] |
| The description of the security More... | |
| string | QuoteCurrency [get] |
| The quote currency of the security More... | |
| decimal | ContractMultiplier [get, protected set] |
| The contract multiplier for the security More... | |
| virtual decimal | MinimumPriceVariation [get, protected set] |
| The minimum price variation (tick size) for the security More... | |
| decimal | LotSize [get] |
| The lot size (lot size of the order) for the security More... | |
| string | MarketTicker [get] |
| The market ticker More... | |
| decimal? | MinimumOrderSize [get] |
| The minimum order size allowed For crypto/forex pairs it's expected to be expressed in base or quote currency i.e For BTC/USD the minimum order size allowed with Coinbase is 0.0001 BTC while on Binance the minimum order size allowed is 10 USD More... | |
| decimal | PriceMagnifier [get] |
| Allows normalizing live asset prices to US Dollars for Lean consumption. In some exchanges, for some securities, data is expressed in cents like for example for corn futures ('ZC'). More... | |
| decimal | StrikeMultiplier [get] |
| Scale factor for option's strike price. For some options, such as NQX, the strike price is based on a fraction of the underlying, thus this paramater scales the strike price so that it can be used in comparation with the underlying such as in OptionFilterUniverse.Strikes(int, int) More... | |
Detailed Description
Index Option Symbol Properties
Definition at line 25 of file IndexOptionSymbolProperties.cs.
Constructor & Destructor Documentation
◆ IndexOptionSymbolProperties() [1/2]
| QuantConnect.Securities.IndexOption.IndexOptionSymbolProperties.IndexOptionSymbolProperties | ( | string | description, |
| string | quoteCurrency, | ||
| decimal | contractMultiplier, | ||
| decimal | pipSize, | ||
| decimal | lotSize | ||
| ) |
Creates an instance of index symbol properties
- Parameters
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description Description of the Symbol quoteCurrency Currency the price is quoted in contractMultiplier Contract multiplier of the index option pipSize Minimum price variation lotSize Minimum order lot size
Definition at line 42 of file IndexOptionSymbolProperties.cs.
◆ IndexOptionSymbolProperties() [2/2]
| QuantConnect.Securities.IndexOption.IndexOptionSymbolProperties.IndexOptionSymbolProperties | ( | SymbolProperties | properties | ) |
Creates instance of index symbol properties
- Parameters
-
properties
Definition at line 57 of file IndexOptionSymbolProperties.cs.
Member Function Documentation
◆ MinimumPriceVariationForPrice()
|
static |
Minimum price variation, subject to variability due to contract price
https://www.cboe.com/tradable_products/vix/vix_options/specifications/ https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/ https://www.nasdaq.com/docs/2022/08/24/1926-Q22_NDX%20Fact%20Sheet_NAM_v3.pdf
Definition at line 78 of file IndexOptionSymbolProperties.cs.
Here is the caller graph for this function:
Member Data Documentation
◆ MinimumPriceVariation
| override decimal QuantConnect.Securities.IndexOption.IndexOptionSymbolProperties.MinimumPriceVariation => MinimumPriceVariationForPrice(_lastData?.Symbol, _lastData?.Price) |
Minimum price variation, subject to variability due to contract price
Definition at line 32 of file IndexOptionSymbolProperties.cs.
The documentation for this class was generated from the following file:
- Common/Securities/IndexOption/IndexOptionSymbolProperties.cs
