Public static helper class that does parsing/generation of symbol representations (options, futures) More...

Classes
class	FutureTickerProperties
	Class contains future ticker properties returned by ParseFutureTicker() More...

class	OptionTickerProperties
	Class contains option ticker properties returned by ParseOptionTickerIQFeed() More...

Static Public Member Functions
static FutureTickerProperties	ParseFutureTicker (string ticker)
	Function returns underlying name, expiration year, expiration month, expiration day for the future contract ticker. Function detects if the format used is either 1 or 2 digits year, and if day code is present (will default to 1rst day of month). Returns null, if parsing failed. Format [Ticker][2 digit day code OPTIONAL][1 char month code][2/1 digit year code] More...

static Symbol	ParseFutureSymbol (string ticker, int? futureYear=null)
	Helper method to parse and generate a future symbol from a given user friendly representation More...

static Symbol	ParseFutureOptionSymbol (string ticker, int strikeScale=1)
	Creates a future option Symbol from the provided ticker More...

static string	GenerateFutureTicker (string underlying, DateTime expiration, bool doubleDigitsYear=true, bool includeExpirationDate=true)
	Returns future symbol ticker from underlying and expiration date. Function can generate tickers of two formats: one and two digits year. Format [Ticker][2 digit day code][1 char month code][2/1 digit year code], more information at http://help.tradestation.com/09_01/tradestationhelp/symbology/futures_symbology.htm More...

static string	GenerateOptionTickerOSI (this Symbol symbol)
	Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf More...

static string	GenerateOptionTickerOSI (string underlying, OptionRight right, decimal strikePrice, DateTime expiration)
	Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf More...

static string	GenerateOptionTickerOSICompact (this Symbol symbol)
	Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf More...

static string	GenerateOptionTickerOSICompact (string underlying, OptionRight right, decimal strikePrice, DateTime expiration)
	Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf More...

static Symbol	ParseOptionTickerOSI (string ticker, SecurityType securityType=SecurityType.Option, string market=Market.USA)
	Parses the specified OSI options ticker into a Symbol object More...

static Symbol	ParseOptionTickerOSI (string ticker, SecurityType securityType, OptionStyle optionStyle, string market)
	Parses the specified OSI options ticker into a Symbol object More...

static bool	TryDecomposeOptionTickerOSI (string ticker, out string optionTicker, out DateTime expiry, out OptionRight right, out decimal strike)
	Tries to decompose the specified OSI options ticker into its components More...

static bool	TryDecomposeOptionTickerOSI (string ticker, SecurityType securityType, out string optionTicker, out string underlyingTicker, out DateTime expiry, out OptionRight right, out decimal strike)
	Tries to decompose the specified OSI options ticker into its components More...

static string	GenerateOptionTicker (Symbol symbol)
	Function returns option ticker from IQFeed option ticker For example CSCO1220V19 Cisco October Put at 19.00 Expiring on 10/20/12 Symbology details: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support%C2%A7ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock More...

static OptionTickerProperties	ParseOptionTickerIQFeed (string ticker)
	Function returns option contract parameters (underlying name, expiration date, strike, right) from IQFeed option ticker Symbology details: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support%C2%A7ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock More...

Properties
static IReadOnlyDictionary< string, int >	FuturesMonthCodeLookup `[get]`
	Provides a lookup dictionary for mapping futures month codes to their corresponding numeric values. More...

static IReadOnlyDictionary< int, string >	FuturesMonthLookup = FuturesMonthCodeLookup.ToDictionary(kv => kv.Value, kv => kv.Key) `[get]`
	Provides a lookup dictionary for mapping numeric values to their corresponding futures month codes. More...

Detailed Description

Public static helper class that does parsing/generation of symbol representations (options, futures)

Definition at line 34 of file SymbolRepresentation.cs.

Member Function Documentation

◆ ParseFutureTicker()

static FutureTickerProperties QuantConnect.SymbolRepresentation.ParseFutureTicker ( string ticker )

static

Function returns underlying name, expiration year, expiration month, expiration day for the future contract ticker. Function detects if the format used is either 1 or 2 digits year, and if day code is present (will default to 1rst day of month). Returns null, if parsing failed. Format [Ticker][2 digit day code OPTIONAL][1 char month code][2/1 digit year code]

Parameters

ticker

Returns: Results containing 1) underlying name, 2) short expiration year, 3) expiration month

Definition at line 104 of file SymbolRepresentation.cs.

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◆ ParseFutureSymbol()

static Symbol QuantConnect.SymbolRepresentation.ParseFutureSymbol	(	string	ticker,
		int?	futureYear = `null`
	)

static

Helper method to parse and generate a future symbol from a given user friendly representation

Parameters

ticker	The future ticker, for example 'ESZ1'
futureYear	Clarifies the year for the current future

Returns: The future symbol or null if failed

Definition at line 156 of file SymbolRepresentation.cs.

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◆ ParseFutureOptionSymbol()

static Symbol QuantConnect.SymbolRepresentation.ParseFutureOptionSymbol	(	string	ticker,
		int	strikeScale = `1`
	)

static

Creates a future option Symbol from the provided ticker

Parameters

ticker	The future option ticker, for example 'ESZ0 P3590'
strikeScale	Optional the future option strike scale factor

Definition at line 186 of file SymbolRepresentation.cs.

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◆ GenerateFutureTicker()

static string QuantConnect.SymbolRepresentation.GenerateFutureTicker	(	string	underlying,
		DateTime	expiration,
		bool	doubleDigitsYear = `true`,
		bool	includeExpirationDate = `true`
	)

static

Returns future symbol ticker from underlying and expiration date. Function can generate tickers of two formats: one and two digits year. Format [Ticker][2 digit day code][1 char month code][2/1 digit year code], more information at http://help.tradestation.com/09_01/tradestationhelp/symbology/futures_symbology.htm

Parameters

underlying	String underlying
expiration	Expiration date
doubleDigitsYear	True if year should represented by two digits; False - one digit
includeExpirationDate	True if expiration date should be included

Returns: The user friendly future ticker

Definition at line 256 of file SymbolRepresentation.cs.

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◆ GenerateOptionTickerOSI() [1/2]

static string QuantConnect.SymbolRepresentation.GenerateOptionTickerOSI ( this Symbol symbol )

static

Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf

Parameters

symbol Symbol object to create OSI ticker from

Returns: The OSI ticker representation

Definition at line 298 of file SymbolRepresentation.cs.

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◆ GenerateOptionTickerOSI() [2/2]

static string QuantConnect.SymbolRepresentation.GenerateOptionTickerOSI	(	string	underlying,
		OptionRight	right,
		decimal	strikePrice,
		DateTime	expiration
	)

static

Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf

Parameters

underlying	Underlying string
right	Option right
strikePrice	Option strike
expiration	Option expiration date

Returns: The OSI ticker representation

Definition at line 318 of file SymbolRepresentation.cs.

◆ GenerateOptionTickerOSICompact() [1/2]

static string QuantConnect.SymbolRepresentation.GenerateOptionTickerOSICompact ( this Symbol symbol )

static

Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf

Parameters

symbol Symbol object to create OSI ticker from

Returns: The OSI ticker representation

Definition at line 330 of file SymbolRepresentation.cs.

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◆ GenerateOptionTickerOSICompact() [2/2]

static string QuantConnect.SymbolRepresentation.GenerateOptionTickerOSICompact	(	string	underlying,
		OptionRight	right,
		decimal	strikePrice,
		DateTime	expiration
	)

static

Returns option symbol ticker in accordance with OSI symbology More information can be found at http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf

Parameters

underlying	Underlying string
right	Option right
strikePrice	Option strike
expiration	Option expiration date

Returns: The OSI ticker representation

Definition at line 350 of file SymbolRepresentation.cs.

◆ ParseOptionTickerOSI() [1/2]

static Symbol QuantConnect.SymbolRepresentation.ParseOptionTickerOSI	(	string	ticker,
		SecurityType	securityType = `SecurityType.Option`,
		string	market = `Market.USA`
	)

static

Parses the specified OSI options ticker into a Symbol object

Parameters

ticker	The OSI compliant option ticker string
securityType	The security type
market	The associated market

Returns: Symbol object for the specified OSI option ticker string

Definition at line 362 of file SymbolRepresentation.cs.

◆ ParseOptionTickerOSI() [2/2]

static Symbol QuantConnect.SymbolRepresentation.ParseOptionTickerOSI	(	string	ticker,
		SecurityType	securityType,
		OptionStyle	optionStyle,
		string	market
	)

static

Parses the specified OSI options ticker into a Symbol object

Parameters

ticker	The OSI compliant option ticker string
securityType	The security type
market	The associated market
optionStyle	The option style

Returns: Symbol object for the specified OSI option ticker string

Definition at line 375 of file SymbolRepresentation.cs.

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◆ TryDecomposeOptionTickerOSI() [1/2]

static bool QuantConnect.SymbolRepresentation.TryDecomposeOptionTickerOSI	(	string	ticker,
		out string	optionTicker,
		out DateTime	expiry,
		out OptionRight	right,
		out decimal	strike
	)

static

Tries to decompose the specified OSI options ticker into its components

Parameters

ticker	The OSI option ticker
optionTicker	The option ticker extracted from the OSI symbol
expiry	The option contract expiry date
right	The option contract right
strike	The option contract strike price

Returns: True if the OSI symbol was in the right format and could be decomposed

Definition at line 414 of file SymbolRepresentation.cs.

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◆ TryDecomposeOptionTickerOSI() [2/2]

static bool QuantConnect.SymbolRepresentation.TryDecomposeOptionTickerOSI	(	string	ticker,
		SecurityType	securityType,
		out string	optionTicker,
		out string	underlyingTicker,
		out DateTime	expiry,
		out OptionRight	right,
		out decimal	strike
	)

static

Tries to decompose the specified OSI options ticker into its components

Parameters

ticker	The OSI option ticker
securityType	The option security type
optionTicker	The option ticker extracted from the OSI symbol
underlyingTicker	The underlying ticker
expiry	The option contract expiry date
right	The option contract right
strike	The option contract strike price

Returns: True if the OSI symbol was in the right format and could be decomposed

Definition at line 452 of file SymbolRepresentation.cs.

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◆ GenerateOptionTicker()

static string QuantConnect.SymbolRepresentation.GenerateOptionTicker ( Symbol symbol )

static

Function returns option ticker from IQFeed option ticker For example CSCO1220V19 Cisco October Put at 19.00 Expiring on 10/20/12 Symbology details: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support%C2%A7ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock

Parameters

symbol THe option symbol

Returns: The option ticker

Definition at line 479 of file SymbolRepresentation.cs.

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◆ ParseOptionTickerIQFeed()

static OptionTickerProperties QuantConnect.SymbolRepresentation.ParseOptionTickerIQFeed ( string ticker )

static

Function returns option contract parameters (underlying name, expiration date, strike, right) from IQFeed option ticker Symbology details: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support%C2%A7ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock

Parameters

ticker IQFeed option ticker

Returns: Results containing 1) underlying name, 2) option right, 3) option strike 4) expiration date

Definition at line 492 of file SymbolRepresentation.cs.

Property Documentation

◆ FuturesMonthCodeLookup

IReadOnlyDictionary<string, int> QuantConnect.SymbolRepresentation.FuturesMonthCodeLookup

staticget

Initial value:

= new Dictionary<string, int>
        {
            { "F", 1 }, 
            { "G", 2 }, 
            { "H", 3 }, 
            { "J", 4 }, 
            { "K", 5 }, 
            { "M", 6 }, 
            { "N", 7 }, 
            { "Q", 8 }, 
            { "U", 9 }, 
            { "V", 10 }, 
            { "X", 11 }, 
            { "Z", 12 } 
        }

Provides a lookup dictionary for mapping futures month codes to their corresponding numeric values.

Definition at line 563 of file SymbolRepresentation.cs.

◆ FuturesMonthLookup

IReadOnlyDictionary<int, string> QuantConnect.SymbolRepresentation.FuturesMonthLookup = FuturesMonthCodeLookup.ToDictionary(kv => kv.Value, kv => kv.Key)

staticget

Provides a lookup dictionary for mapping numeric values to their corresponding futures month codes.

Definition at line 582 of file SymbolRepresentation.cs.

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

Common/SymbolRepresentation.cs

Classes

Static Public Member Functions

Properties

Detailed Description

Member Function Documentation

◆ ParseFutureTicker()

◆ ParseFutureSymbol()

◆ ParseFutureOptionSymbol()

◆ GenerateFutureTicker()

◆ GenerateOptionTickerOSI() [1/2]

◆ GenerateOptionTickerOSI() [2/2]

◆ GenerateOptionTickerOSICompact() [1/2]

◆ GenerateOptionTickerOSICompact() [2/2]

◆ ParseOptionTickerOSI() [1/2]

◆ ParseOptionTickerOSI() [2/2]

◆ TryDecomposeOptionTickerOSI() [1/2]

◆ TryDecomposeOptionTickerOSI() [2/2]

◆ GenerateOptionTicker()

◆ ParseOptionTickerIQFeed()

Property Documentation

◆ FuturesMonthCodeLookup

◆ FuturesMonthLookup