Minor fix in symbol mapper

QuantConnect · Jan 5, 2024 · b203cd9 · b203cd9
1 parent 56270b8
commit b203cd9
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Showing 2 changed files with 33 additions and 9 deletions.
diff --git a/QuantConnect.Polygon.Tests/PolygonSymbolMapperTests.cs b/QuantConnect.Polygon.Tests/PolygonSymbolMapperTests.cs
@@ -59,11 +59,11 @@ public SecurityType ConvertsOptionSymbolWithCorrectUnderlyingSecurityType(string
         }
 
         [Test]
-        public void ConvertsWeeklyIndexOptionSymbol()
+        public void ConvertsWeeklyIndexOptionSymbolWithParameters()
         {
             var mapper = new PolygonSymbolMapper();
             var expiry = new DateTime(2024, 01, 04);
-            var strike = 400m;
+            var strike = 4685m;
             // The underlying symbol should be specified for weekly index options,
             // otherwise the underlying will be set to SPXW/VIXW/... when it should actually be SPX/VIX/...
             var symbol = mapper.GetLeanSymbol("O:SPXW240104C04685000", SecurityType.IndexOption, Market.USA, OptionStyle.American, expiry, strike,
@@ -76,5 +76,23 @@ public void ConvertsWeeklyIndexOptionSymbol()
             Assert.That(symbol.ID.OptionStyle, Is.EqualTo(OptionStyle.American));
             Assert.That(symbol.ID.StrikePrice, Is.EqualTo(strike));
         }
+
+        [Test]
+        public void ConvertsWeeklyIndexOptionSymbolWithoutParameters()
+        {
+            var mapper = new PolygonSymbolMapper();
+            var expiry = new DateTime(2024, 01, 04);
+            var strike = 4685m;
+            // The underlying symbol should be specified for weekly index options,
+            // otherwise the underlying will be set to SPXW/VIXW/... when it should actually be SPX/VIX/...
+            var symbol = mapper.GetLeanSymbol("O:SPXW240104C04685000");
+
+            Assert.That(symbol.Underlying, Is.EqualTo(Symbols.SPX));
+            Assert.That(symbol, Is.EqualTo(Symbol.CreateOption(Symbols.SPX, "SPXW", Market.USA, OptionStyle.American, OptionRight.Call, strike, expiry)));
+            Assert.That(symbol.ID.Date, Is.EqualTo(expiry));
+            Assert.That(symbol.ID.OptionRight, Is.EqualTo(OptionRight.Call));
+            Assert.That(symbol.ID.OptionStyle, Is.EqualTo(OptionStyle.American));
+            Assert.That(symbol.ID.StrikePrice, Is.EqualTo(strike));
+        }
     }
 }
diff --git a/QuantConnect.Polygon/PolygonSymbolMapper.cs b/QuantConnect.Polygon/PolygonSymbolMapper.cs
@@ -14,6 +14,7 @@
 */
 
 using QuantConnect.Brokerages;
+using QuantConnect.Securities.IndexOption;
 using System.Globalization;
 
 namespace QuantConnect.Polygon
@@ -154,12 +155,15 @@ public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, s
         /// </remarks>
         public Symbol GetLeanSymbol(string polygonSymbol)
         {
-            if (!_leanSymbolsCache.TryGetValue(polygonSymbol, out var symbol))
+            lock (_locker)
             {
-                symbol = GetLeanSymbolInternal(polygonSymbol);
-            }
+                if (!_leanSymbolsCache.TryGetValue(polygonSymbol, out var symbol))
+                {
+                    symbol = GetLeanSymbolInternal(polygonSymbol);
+                }
 
-            return symbol;
+                return symbol;
+            }
         }
 
         private Symbol GetLeanSymbolInternal(string polygonSymbol)
@@ -186,10 +190,12 @@ private Symbol GetLeanOptionSymbol(string polygonSymbol)
             var strike = long.Parse(polygonSymbol.Substring(polygonSymbol.Length - 8)) / 1000m;
             var optionRight = polygonSymbol.Substring(polygonSymbol.Length - 9, 1) == "C" ? OptionRight.Call : OptionRight.Put;
             var expirationDate = DateTime.ParseExact(polygonSymbol.Substring(polygonSymbol.Length - 15, 6), "yyMMdd", CultureInfo.InvariantCulture);
-            var underlyingTicker = polygonSymbol.Substring(2, polygonSymbol.Length - 15 - 2);
+            var ticker = polygonSymbol.Substring(2, polygonSymbol.Length - 15 - 2);
 
-            var symbol = Symbol.CreateOption(Symbol.Create(underlyingTicker, SecurityType.Equity, Market.USA), Market.USA, OptionStyle.American,
-                optionRight, strike, expirationDate);
+            var underlying = IndexOptionSymbol.IsIndexOption(ticker)
+                ? Symbol.Create(IndexOptionSymbol.MapToUnderlying(ticker), SecurityType.Index, Market.USA)
+                : Symbol.Create(ticker, SecurityType.Equity, Market.USA);
+            var symbol = Symbol.CreateOption(underlying, ticker, Market.USA, OptionStyle.American, optionRight, strike, expirationDate);
             _leanSymbolsCache[polygonSymbol] = symbol;
 
             return symbol;