Index

IndexSecurity - the index built from instruments. For example, to set a spread in arbitrage or pair trading. It has the following implementations.

1. ExpressionIndexSecurity - is the index built from a combination of several instruments through the ExpressionIndexSecurity.Formula mathematical formula.

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

The ExpressionIndexSecurity creating

1. To declare the compound instruments that will be included in ExpressionIndexSecurity and in the ExpressionIndexSecurity itself:

   ConfigManager.RegisterService<ICompilerService>(new RoslynCompilerService());
   // Or
   //ConfigManager.RegisterService<ICompilerService>(new Fw40CompilerService(Directory.GetCurrentDirectory(), Directory.GetCurrentDirectory()));
   private Security _instr1;
   private Security _instr2;
   private ExpressionIndexSecurity _indexInstr;
   private const string _secCode1 = "GZM5";
   private const string _secCode2 = "LKM5";
   
   

2. To create the ExpressionIndexSecurity:

   _indexInstr = new ExpressionIndexSecurity
   {
       Id = "IndexInstr@NYSE",
       Expression = "ESM5@NYSE/APM5@NYSE",
       Board = ExchangeBoard.Nyse,
   };
   
   

The WeightedIndexSecurity creating

1. To declare the compound instruments that will be included in WeightedIndexSecurity and in the WeightedIndexSecurity itself:

   private Security _instr1;
   private Security _instr2;
   private WeightedIndexSecurity _indexInstr;
   private const string _secCode1 = "GZM5";
   private const string _secCode2 = "LKM5";
   
   

2. To create the WeightedIndexSecurity:

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

3. To add the compound instruments to it:

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