Fix option symbol fix missing fields (#21)

* Fix option symbol fix missing fields

* Minor tweak

Author: Martin-Molinero

QuantConnect.Wolverine/Utility.cs

@@ -25,21 +25,6 @@ public static class Utility
         /// </summary>
         public const int LIMIT_DECIMAL_PLACE = 3;
 
-        public static QF.MaturityMonthYear GetMaturityMonthYear(Symbol symbol)
-        {
-            if (symbol.SecurityType != SecurityType.Option)
-            {
-                throw new NotSupportedException("GetMaturityMonthYear() can only be called for the Option security type.");
-            }
-
-            var ticker = SymbolRepresentation.GenerateFutureTicker(symbol.ID.Symbol, symbol.ID.Date);
-            var properties = SymbolRepresentation.ParseFutureTicker(ticker);
-
-            var maturity = $"{2000 + properties.ExpirationYearShort:D4}{properties.ExpirationMonth:D2}";
-
-            return new QF.MaturityMonthYear(maturity);
-        }
-
         public static QF.TimeInForce ConvertTimeInForce(TimeInForce timeInForce, OrderType orderType)
         {
             if (timeInForce == TimeInForce.GoodTilCanceled)

QuantConnect.Wolverine/WolverineOrderRoutingSessionHandler.cs

@@ -17,6 +17,7 @@
 using QuickFix.FIX42;
 using QuickFix.Fields;
 using QuantConnect.Orders;
+using System.Globalization;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Equity;
 using QuantConnect.Brokerages.Fix.Connection;
@@ -26,6 +27,7 @@ namespace QuantConnect.Brokerages.Wolverine
 {
     public class WolverineOrderRoutingSessionHandler : MessageCracker, IFixOrdersController
     {
+        private readonly SymbolPropertiesDatabase _symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
         private readonly Dictionary<string, string> _exchangeMapping = new() {
             { Exchange.AMEX.Name, "AMEX" },
             { Exchange.ARCA.Name, "ARCA" },
@@ -74,7 +76,7 @@ public bool PlaceOrder(Order order)
         {
             var side = new Side(order.Direction == OrderDirection.Buy ? Side.BUY : Side.SELL);
 
-            var ticker = _symbolMapper.GetBrokerageSymbol(order.Symbol);
+            var ticker = _symbolMapper.GetBrokerageSymbol(order.Symbol.HasUnderlying ? order.Symbol.Underlying : order.Symbol);
             var securityType = new QuickFix.Fields.SecurityType(_symbolMapper.GetBrokerageSecurityType(order.Symbol.SecurityType));
 
             var wexOrder = new NewOrderSingle
@@ -92,10 +94,22 @@ public bool PlaceOrder(Order order)
                 ExDestination = new ExDestination(GetOrderExchange(order))
             };
 
-            if (order.Symbol.SecurityType == SecurityType.Option)
+            if (order.Symbol.SecurityType.IsOption())
             {
-                wexOrder.MaturityMonthYear = Utility.GetMaturityMonthYear(order.Symbol);
                 wexOrder.StrikePrice = new StrikePrice(decimal.Round(order.Price, Utility.LIMIT_DECIMAL_PLACE));
+
+                var expirationDate = order.Symbol.ID.Date;
+                wexOrder.SetField(new MaturityMonthYear(expirationDate.ToString("yyyyMM", CultureInfo.InvariantCulture)));
+                wexOrder.SetField(new MaturityDay(expirationDate.Day.ToString(CultureInfo.InvariantCulture)));
+                wexOrder.SetField(new ContractMultiplier(GetSymbolProperties(order.Symbol).ContractMultiplier));
+                wexOrder.SetField(new PutOrCall(order.Symbol.ID.OptionRight == OptionRight.Call ? PutOrCall.CALL : PutOrCall.PUT));
+            }
+            else if (order.Symbol.SecurityType == SecurityType.Future)
+            {
+                var expirationDate = order.Symbol.ID.Date;
+                wexOrder.SetField(new MaturityMonthYear(expirationDate.ToString("yyyyMM", CultureInfo.InvariantCulture)));
+                wexOrder.SetField(new MaturityDay(expirationDate.Day.ToString(CultureInfo.InvariantCulture)));
+                wexOrder.SetField(new ContractMultiplier(GetSymbolProperties(order.Symbol).ContractMultiplier));
             }
 
             switch (order.Type)
@@ -162,5 +176,10 @@ private string GetOrderExchange(Order order)
             }
             return wolverineExchange + exchangePostFix;
         }
+
+        private SymbolProperties GetSymbolProperties(Symbol symbol)
+        {
+            return _symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol, symbol.SecurityType, Currencies.USD);
+        }
     }
 }

QuantConnect.Wolverine/WolverineSymbolMapper.cs

@@ -42,10 +42,6 @@ public WolverineSymbolMapper(IMapFileProvider mapFileProvider)
 
         public string GetBrokerageSymbol(Symbol symbol)
         {
-            if (symbol.ID.SecurityType != SecurityType.Equity && symbol.ID.SecurityType != SecurityType.Option)
-            {
-                throw new ArgumentException("Invalid security type: " + symbol.ID.SecurityType);
-            }
             return GetMappedTicker(symbol);
         }