Equity.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 System;
using QuantConnect.Data;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;

namespace QuantConnect.Securities.Equity
{
    /// <summary>
    /// Equity Security Type : Extension of the underlying Security class for equity specific behaviours.
    /// </summary>
    /// <seealso cref="Security"/>
    public class Equity : Security
    {
        /// <summary>
        /// The default number of days required to settle an equity sale
        /// </summary>
        public static int DefaultSettlementDays { get; set; } = 1;

        /// <summary>
        /// The default time of day for settlement
        /// </summary>
        public static readonly TimeSpan DefaultSettlementTime = new TimeSpan(6, 0, 0);

        /// <summary>
        /// Checks if the equity is a shortable asset. Note that this does not
        /// take into account any open orders or existing holdings. To check if the asset
        /// is currently shortable, use QCAlgorithm's ShortableQuantity property instead.
        /// </summary>
        /// <returns>True if the security is a shortable equity</returns>
        public bool Shortable
        {
            get
            {
                var shortableQuantity = ShortableProvider.ShortableQuantity(Symbol, LocalTime);
                // null means we don't have the data
                return shortableQuantity == null || shortableQuantity > 0m;
            }
        }

        /// <summary>
        /// Gets the total quantity shortable for this security. This does not take into account
        /// any open orders or existing holdings. To check the asset's currently shortable quantity,
        /// use QCAlgorithm's ShortableQuantity property instead.
        /// </summary>
        /// <returns>Zero if not shortable, null if infinitely shortable, or a number greater than zero if shortable</returns>
        public long? TotalShortableQuantity => ShortableProvider.ShortableQuantity(Symbol, LocalTime);

        /// <summary>
        /// Equity primary exchange.
        /// </summary>
        public Exchange PrimaryExchange { get; }

        /// <summary>
        /// Construct the Equity Object
        /// </summary>
        public Equity(Symbol symbol,
            SecurityExchangeHours exchangeHours,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes,
            SecurityCache securityCache,
            Exchange primaryExchange = null)
            : base(symbol,
                quoteCurrency,
                symbolProperties,
                new EquityExchange(exchangeHours),
                securityCache,
                new SecurityPortfolioModel(),
                new EquityFillModel(),
                new InteractiveBrokersFeeModel(),
                NullSlippageModel.Instance,
                new ImmediateSettlementModel(),
                Securities.VolatilityModel.Null,
                new SecurityMarginModel(2m),
                new EquityDataFilter(),
                new AdjustedPriceVariationModel(),
                currencyConverter,
                registeredTypes,
                Securities.MarginInterestRateModel.Null
                )
        {
            Holdings = new EquityHolding(this, currencyConverter);
            PrimaryExchange = primaryExchange ?? QuantConnect.Exchange.UNKNOWN;
        }

        /// <summary>
        /// Construct the Equity Object
        /// </summary>
        public Equity(SecurityExchangeHours exchangeHours,
            SubscriptionDataConfig config,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            ICurrencyConverter currencyConverter,
            IRegisteredSecurityDataTypesProvider registeredTypes,
            Exchange primaryExchange = null)
            : base(
                config,
                quoteCurrency,
                symbolProperties,
                new EquityExchange(exchangeHours),
                new EquityCache(),
                new SecurityPortfolioModel(),
                new EquityFillModel(),
                new InteractiveBrokersFeeModel(),
                NullSlippageModel.Instance,
                new ImmediateSettlementModel(),
                Securities.VolatilityModel.Null,
                new SecurityMarginModel(2m),
                new EquityDataFilter(),
                new AdjustedPriceVariationModel(),
                currencyConverter,
                registeredTypes,
                Securities.MarginInterestRateModel.Null
                )
        {
            Holdings = new EquityHolding(this, currencyConverter);
            PrimaryExchange = primaryExchange ?? QuantConnect.Exchange.UNKNOWN;;
        }

        /// <summary>
        /// Sets the data normalization mode to be used by this security
        /// </summary>
        public override void SetDataNormalizationMode(DataNormalizationMode mode)
        {
            base.SetDataNormalizationMode(mode);

            if (mode == DataNormalizationMode.Adjusted)
            {
                PriceVariationModel = new AdjustedPriceVariationModel();
            }
            else
            {
                PriceVariationModel = new EquityPriceVariationModel();
            }
        }
    }
}