chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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 Python.Runtime;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Python
+{
+    /// <summary>
+    /// Provides a margin call model that wraps a <see cref="PyObject"/> object that represents the model responsible for picking which orders should be executed during a margin call
+    /// </summary>
+    public class MarginCallModelPythonWrapper : BasePythonWrapper<IMarginCallModel>, IMarginCallModel
+    {
+        /// <summary>
+        /// Constructor for initialising the <see cref="MarginCallModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="model">Represents the model responsible for picking which orders should be executed during a margin call</param>
+        public MarginCallModelPythonWrapper(PyObject model)
+            : base(model)
+        {
+        }
+
+        /// <summary>
+        /// Executes synchronous orders to bring the account within margin requirements.
+        /// </summary>
+        /// <param name="generatedMarginCallOrders">These are the margin call orders that were generated
+        /// by individual security margin models.</param>
+        /// <returns>The list of orders that were actually executed</returns>
+        public List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
+        {
+            return InvokeMethod<List<OrderTicket>>(nameof(ExecuteMarginCall), generatedMarginCallOrders);
+        }
+
+        /// <summary>
+        /// Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero!
+        /// If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.
+        /// </summary>
+        /// <param name="issueMarginCallWarning">Set to true if a warning should be issued to the algorithm</param>
+        /// <returns>True for a margin call on the holdings.</returns>
+        public List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning)
+        {
+            issueMarginCallWarning = false;
+            var requests = InvokeMethodWithOutParameters<List<SubmitOrderRequest>>(nameof(GetMarginCallOrders), new[] { typeof(bool) },
+                out var outParameters, issueMarginCallWarning);
+            issueMarginCallWarning = (bool)outParameters[0] || requests.Count > 0;
+
+            return requests;
+        }
+    }
+}