chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm showcases two margin related event handlers.
+    /// OnMarginCallWarning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value
+    /// OnMarginCall: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation
+    /// </summary>
+    /// <meta name="tag" content="securities and portfolio" />
+    /// <meta name="tag" content="margin models" />
+    public class MarginCallEventsAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 01);  //Set Start Date
+            SetEndDate(2013, 12, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
+
+            // cranking up the leverage increases the odds of a margin call when the security falls in value
+            Securities["SPY"].SetLeverage(100);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                Liquidate();
+                SetHoldings("SPY", 100);
+            }
+        }
+
+        /// <summary>
+        /// Margin call event handler. This method is called right before the margin call orders are placed in the market.
+        /// </summary>
+        /// <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
+        public override void OnMarginCall(List<SubmitOrderRequest> requests)
+        {
+            // this code gets called BEFORE the orders are placed, so we can try to liquidate some of our positions
+            // before we get the margin call orders executed. We could also modify these orders by changing their
+            // quantities
+            foreach (var order in requests.ToList())
+            {
+                // liquidate an extra 10% each time we get a margin call to give us more padding
+                var newQuantity = (int)(order.Quantity * 1.1m);
+                requests.Remove(order);
+                requests.Add(new SubmitOrderRequest(order.OrderType, order.SecurityType, order.Symbol, newQuantity, order.StopPrice, order.LimitPrice, Time, "OnMarginCall"));
+            }
+        }
+
+        /// <summary>
+        /// Margin call warning event handler. This method is called when Portfolio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue
+        /// </summary>
+        public override void OnMarginCallWarning()
+        {
+            // this code gets called when the margin remaining drops below 5% of our total portfolio value, it gives the algorithm
+            // a chance to prevent a margin call from occurring
+
+            // prevent margin calls by responding to the warning and increasing margin remaining
+            var spyHoldings = Securities["SPY"].Holdings.Quantity;
+            var shares = (int)(-spyHoldings * .005m);
+            Error($"{Time.ToStringInvariant()} - OnMarginCallWarning(): Liquidating {shares.ToStringInvariant()} shares of SPY to avoid margin call.");
+            MarketOrder("SPY", shares);
+        }
+    }
+}