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.Linq;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Crypto;
+
+namespace QuantConnect.Orders
+{
+    /// <summary>
+    /// Provides methods for computing a maximum order size.
+    /// </summary>
+    public static class OrderSizing
+    {
+        /// <summary>
+        /// Adjust the provided order size to respect maximum order size based on a percentage of current volume.
+        /// </summary>
+        /// <param name="security">The security object</param>
+        /// <param name="maximumPercentCurrentVolume">The maximum percentage of the current bar's volume</param>
+        /// <param name="desiredOrderSize">The desired order size to adjust</param>
+        /// <returns>The signed adjusted order size</returns>
+        public static decimal GetOrderSizeForPercentVolume(Security security, decimal maximumPercentCurrentVolume, decimal desiredOrderSize)
+        {
+            var maxOrderSize = maximumPercentCurrentVolume * security.Volume;
+            var orderSize = Math.Min(maxOrderSize, Math.Abs(desiredOrderSize));
+
+            return Math.Sign(desiredOrderSize) * AdjustByLotSize(security, orderSize);
+        }
+
+        /// <summary>
+        /// Adjust the provided order size to respect the maximum total order value
+        /// </summary>
+        /// <param name="security">The security object</param>
+        /// <param name="maximumOrderValueInAccountCurrency">The maximum order value in units of the account currency</param>
+        /// <param name="desiredOrderSize">The desired order size to adjust</param>
+        /// <returns>The signed adjusted order size</returns>
+        public static decimal GetOrderSizeForMaximumValue(Security security, decimal maximumOrderValueInAccountCurrency, decimal desiredOrderSize)
+        {
+            var priceInAccountCurrency = security.Price
+                                         * security.QuoteCurrency.ConversionRate
+                                         * security.SymbolProperties.ContractMultiplier;
+
+            if (priceInAccountCurrency == 0m)
+            {
+                return 0m;
+            }
+
+            var maxOrderSize =  maximumOrderValueInAccountCurrency / priceInAccountCurrency;
+            var orderSize = Math.Min(maxOrderSize, Math.Abs(desiredOrderSize));
+
+            return Math.Sign(desiredOrderSize) * AdjustByLotSize(security, orderSize);
+        }
+
+        /// <summary>
+        /// Gets the remaining quantity to be ordered to reach the specified target quantity.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="target">The portfolio target</param>
+        /// <returns>The signed remaining quantity to be ordered</returns>
+        public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target)
+        {
+            var security = algorithm.Securities[target.Symbol];
+
+            return GetUnorderedQuantity(algorithm, target, security);
+        }
+
+        /// <summary>
+        /// Gets the remaining quantity to be ordered to reach the specified target quantity.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="target">The portfolio target</param>
+        /// <param name="security">The target security</param>
+        /// <param name="accountForFees">True for taking into account the fee's in the order quantity.
+        /// False, otherwise.</param>
+        /// <returns>The signed remaining quantity to be ordered</returns>
+        public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target, Security security, bool accountForFees = false)
+        {
+            var quantity = target.Quantity - algorithm.Transactions.GetProjectedHoldings(security).ProjectedQuantity;
+
+            // Adjust the order quantity taking into account the fee's
+            if (accountForFees && security.Symbol.SecurityType == SecurityType.Crypto && quantity > 0)
+            {
+                var orderFee = Extensions.GetMarketOrderFees(security, quantity, algorithm.UtcTime);
+                var baseCurrency = ((Crypto)security).BaseCurrency.Symbol;
+                if (baseCurrency == orderFee.Currency)
+                {
+                    quantity += orderFee.Amount;
+                }
+            }
+
+            return AdjustByLotSize(security, quantity);
+        }
+
+        /// <summary>
+        /// Adjusts the provided order quantity to respect the securities lot size.
+        /// If the quantity is missing 1M part of the lot size it will be rounded up
+        /// since we suppose it's due to floating point error, this is required to avoid diff
+        /// between Py and C#
+        /// </summary>
+        /// <param name="security">The security instance</param>
+        /// <param name="quantity">The desired quantity to adjust, can be signed</param>
+        /// <returns>The signed adjusted quantity</returns>
+        public static decimal AdjustByLotSize(Security security, decimal quantity)
+        {
+            var absQuantity = Math.Abs(quantity);
+            // if the amount we are missing for +1 lot size is 1M part of a lot size
+            // we suppose its due to floating point error and round up
+            // Note: this is required to avoid a diff between Py and C# equivalent
+            var remainder = absQuantity % security.SymbolProperties.LotSize;
+            var missingForLotSize = security.SymbolProperties.LotSize - remainder;
+            if (missingForLotSize < (security.SymbolProperties.LotSize / 1000000))
+            {
+                remainder -= security.SymbolProperties.LotSize;
+            }
+            absQuantity -= remainder;
+
+            return absQuantity * Math.Sign(quantity);
+        }
+    }
+}