chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,203 @@
|
||||
/*
|
||||
* 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 QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Securities.Positions;
|
||||
using QuantConnect.Algorithm.Framework.Alphas;
|
||||
|
||||
namespace QuantConnect.Algorithm.Framework.Portfolio
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides an implementation of <see cref="IPortfolioTarget"/> that specifies a
|
||||
/// specified quantity of a security to be held by the algorithm
|
||||
/// </summary>
|
||||
public class PortfolioTarget : IPortfolioTarget
|
||||
{
|
||||
|
||||
/// <summary>
|
||||
/// Flag to determine if the minimum order margin portfolio percentage warning should or has already been sent to the user algorithm
|
||||
/// <see cref="IAlgorithmSettings.MinimumOrderMarginPortfolioPercentage"/>
|
||||
/// </summary>
|
||||
public static bool? MinimumOrderMarginPercentageWarningSent { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the symbol of this target
|
||||
/// </summary>
|
||||
public Symbol Symbol { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the target quantity for the symbol
|
||||
/// </summary>
|
||||
public decimal Quantity { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Portfolio target tag with additional information
|
||||
/// </summary>
|
||||
public string Tag { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="PortfolioTarget"/> class
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol this target is for</param>
|
||||
/// <param name="quantity">The target quantity</param>
|
||||
/// <param name="tag">The target tag with additional information</param>
|
||||
public PortfolioTarget(Symbol symbol, decimal quantity, string tag = "")
|
||||
{
|
||||
Symbol = symbol;
|
||||
Quantity = quantity;
|
||||
Tag = tag;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="PortfolioTarget"/> class
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol this target is for</param>
|
||||
/// <param name="quantity">The target quantity</param>
|
||||
/// <param name="tag">The target tag with additional information</param>
|
||||
public PortfolioTarget(Symbol symbol, int quantity, string tag = "")
|
||||
: this(symbol, (decimal)quantity, tag)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="PortfolioTarget"/> class
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol this target is for</param>
|
||||
/// <param name="insightDirection">
|
||||
/// The insight direction, which will be used to calculate the target quantity
|
||||
/// (1 for Up, 0 for flat, -1 for down)
|
||||
/// </param>
|
||||
/// <param name="tag">The target tag with additional information</param>
|
||||
public PortfolioTarget(Symbol symbol, InsightDirection insightDirection, string tag = "")
|
||||
: this(symbol,
|
||||
insightDirection switch
|
||||
{
|
||||
InsightDirection.Up => 1m,
|
||||
InsightDirection.Down => -1m,
|
||||
InsightDirection.Flat => 0m,
|
||||
_ => throw new ArgumentOutOfRangeException(nameof(insightDirection), insightDirection,
|
||||
Messages.PortfolioTarget.InvalidInsightDirection(symbol, insightDirection)),
|
||||
},
|
||||
tag)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new target for the specified percent
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance, used for getting total portfolio value and current security price</param>
|
||||
/// <param name="symbol">The symbol the target is for</param>
|
||||
/// <param name="percent">The requested target percent of total portfolio value</param>
|
||||
/// <returns>A portfolio target for the specified symbol/percent</returns>
|
||||
public static IPortfolioTarget Percent(IAlgorithm algorithm, Symbol symbol, double percent)
|
||||
{
|
||||
return Percent(algorithm, symbol, percent.SafeDecimalCast());
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new target for the specified percent
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance, used for getting total portfolio value and current security price</param>
|
||||
/// <param name="symbol">The symbol the target is for</param>
|
||||
/// <param name="percent">The requested target percent of total portfolio value</param>
|
||||
/// <param name="tag">The target tag with additional information</param>
|
||||
/// <returns>A portfolio target for the specified symbol/percent</returns>
|
||||
public static IPortfolioTarget Percent(IAlgorithm algorithm, Symbol symbol, double percent, string tag)
|
||||
{
|
||||
return Percent(algorithm, symbol, percent.SafeDecimalCast(), tag: tag);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new target for the specified percent
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance, used for getting total portfolio value and current security price</param>
|
||||
/// <param name="symbol">The symbol the target is for</param>
|
||||
/// <param name="percent">The requested target percent of total portfolio value</param>
|
||||
/// <param name="returnDeltaQuantity">True, result quantity will be the Delta required to reach target percent.
|
||||
/// False, the result quantity will be the Total quantity to reach the target percent, including current holdings</param>
|
||||
/// <param name="tag">The target tag with additional information</param>
|
||||
/// <returns>A portfolio target for the specified symbol/percent</returns>
|
||||
public static IPortfolioTarget Percent(IAlgorithm algorithm, Symbol symbol, decimal percent, bool returnDeltaQuantity = false, string tag = "")
|
||||
{
|
||||
var absolutePercentage = Math.Abs(percent);
|
||||
if (absolutePercentage > algorithm.Settings.MaxAbsolutePortfolioTargetPercentage
|
||||
|| absolutePercentage != 0 && absolutePercentage < algorithm.Settings.MinAbsolutePortfolioTargetPercentage)
|
||||
{
|
||||
algorithm.Error(Messages.PortfolioTarget.InvalidTargetPercent(algorithm, percent));
|
||||
return null;
|
||||
}
|
||||
|
||||
Security security;
|
||||
try
|
||||
{
|
||||
security = algorithm.Securities[symbol];
|
||||
}
|
||||
catch (KeyNotFoundException)
|
||||
{
|
||||
algorithm.Error(Messages.PortfolioTarget.SymbolNotFound(symbol));
|
||||
return null;
|
||||
}
|
||||
|
||||
if (security.Price == 0)
|
||||
{
|
||||
algorithm.Error(symbol.GetZeroPriceMessage());
|
||||
return null;
|
||||
}
|
||||
|
||||
// Factoring in FreePortfolioValuePercentage.
|
||||
var adjustedPercent = percent * algorithm.Portfolio.TotalPortfolioValueLessFreeBuffer / algorithm.Portfolio.TotalPortfolioValue;
|
||||
|
||||
// we normalize the target buying power by the leverage so we work in the land of margin
|
||||
var targetFinalMarginPercentage = adjustedPercent / security.BuyingPowerModel.GetLeverage(security);
|
||||
|
||||
var positionGroup = algorithm.Portfolio.Positions.GetOrCreateDefaultGroup(security);
|
||||
var result = positionGroup.BuyingPowerModel.GetMaximumLotsForTargetBuyingPower(
|
||||
new GetMaximumLotsForTargetBuyingPowerParameters(algorithm.Portfolio, positionGroup,
|
||||
targetFinalMarginPercentage, algorithm.Settings.MinimumOrderMarginPortfolioPercentage));
|
||||
|
||||
if (result.IsError)
|
||||
{
|
||||
algorithm.Error(Messages.PortfolioTarget.UnableToComputeOrderQuantityDueToNullResult(symbol, result));
|
||||
|
||||
return null;
|
||||
}
|
||||
|
||||
if (MinimumOrderMarginPercentageWarningSent.HasValue && !MinimumOrderMarginPercentageWarningSent.Value)
|
||||
{
|
||||
// we send the warning once
|
||||
MinimumOrderMarginPercentageWarningSent = true;
|
||||
algorithm.Debug(Messages.BuyingPowerModel.TargetOrderMarginNotAboveMinimum());
|
||||
}
|
||||
|
||||
// be sure to back out existing holdings quantity since the buying power model yields
|
||||
// the required delta quantity to reach a final target portfolio value for a symbol
|
||||
var lotSize = security.SymbolProperties.LotSize;
|
||||
var quantity = result.NumberOfLots * lotSize + (returnDeltaQuantity ? 0 : security.Holdings.Quantity);
|
||||
|
||||
return new PortfolioTarget(symbol, quantity, tag);
|
||||
}
|
||||
|
||||
/// <summary>Returns a string that represents the current object.</summary>
|
||||
/// <returns>A string that represents the current object.</returns>
|
||||
/// <filterpriority>2</filterpriority>
|
||||
public override string ToString()
|
||||
{
|
||||
return Messages.PortfolioTarget.ToString(this);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user