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Fix option strike price value (#22)
1 parent ec41ef2 commit fec7a0b

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2 files changed

+4
-2
lines changed

2 files changed

+4
-2
lines changed

QuantConnect.Wolverine/WolverineOrderRoutingSessionHandler.cs

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -96,7 +96,7 @@ public bool PlaceOrder(Order order)
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if (order.Symbol.SecurityType.IsOption())
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{
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wexOrder.StrikePrice = new StrikePrice(decimal.Round(order.Price, Utility.LIMIT_DECIMAL_PLACE));
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wexOrder.SetField(new StrikePrice(order.Symbol.ID.StrikePrice));
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var expirationDate = order.Symbol.ID.Date;
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wexOrder.SetField(new MaturityMonthYear(expirationDate.ToString("yyyyMM", CultureInfo.InvariantCulture)));

QuantConnect.Wolverine/WolverineSymbolMapper.cs

Lines changed: 3 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -27,7 +27,9 @@ public class WolverineSymbolMapper : ISymbolMapper
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{
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{ QuickFix.Fields.SecurityType.COMMON_STOCK, SecurityType.Equity },
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{ QuickFix.Fields.SecurityType.FUTURE, SecurityType.Future },
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{ QuickFix.Fields.SecurityType.OPTION, SecurityType.Option }
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{ QuickFix.Fields.SecurityType.OPTION, SecurityType.Option },
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{ QuickFix.Fields.SecurityType.OPTION, SecurityType.IndexOption },
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{ QuickFix.Fields.SecurityType.OPTION, SecurityType.FutureOption }
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};
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// LEAN security type -> WEX Security TYpe

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