Index

IndexSecurity is an index built from instruments. For example, it can be used to define a spread for arbitrage or pairs trading. It has the following implementations:

1. ExpressionIndexSecurity is an index built from a combination of several instruments using the mathematical formula in ExpressionIndexSecurity.Formula.

2. WeightedIndexSecurity is an index built from instruments using weighting factors from WeightedIndexSecurity.Weights.

Creating ExpressionIndexSecurity

1. Declare the component instruments that will be included in ExpressionIndexSecurity, and declare the index instrument itself:

   private Security _instr1;
   private Security _instr2;
   private ExpressionIndexSecurity _indexInstr;
   private const string _secCode1 = "AAPL";
   private const string _secCode2 = "MSFT";
   
   

2. Create the ExpressionIndexSecurity:

   _indexInstr = new ExpressionIndexSecurity
   {
       Id = "IndexInstr@NASDAQ",
       Expression = "AAPL@NASDAQ/MSFT@NASDAQ",
       Board = ExchangeBoard.Nasdaq,
   };
   
   

Creating WeightedIndexSecurity

1. Declare the component instruments that will be included in WeightedIndexSecurity, and declare the index instrument itself:

   private Security _instr1;
   private Security _instr2;
   private WeightedIndexSecurity _indexInstr;
   private const string _secCode1 = "AAPL";
   private const string _secCode2 = "MSFT";
   
   

2. Create the WeightedIndexSecurity:

   _indexInstr = new WeightedIndexSecurity() { Board = ExchangeBoard.Nasdaq, Id = "IndexInstr" };
   
   

3. Add the component instruments:

   _indexInstr.Weights.Add(_instr1.ToSecurityId(), 1);
   _indexInstr.Weights.Add(_instr2.ToSecurityId(), -1);