chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Orders;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides extension methods as backwards compatibility shims
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/// </summary>
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public static class BuyingPowerModelExtensions
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{
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/// <summary>
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/// Gets the amount of buying power reserved to maintain the specified position
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/// </summary>
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/// <param name="model">The <see cref="IBuyingPowerModel"/></param>
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/// <param name="security">The security</param>
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/// <returns>The reserved buying power in account currency</returns>
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public static decimal GetReservedBuyingPowerForPosition(this IBuyingPowerModel model, Security security)
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{
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var context = new ReservedBuyingPowerForPositionParameters(security);
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var reservedBuyingPower = model.GetReservedBuyingPowerForPosition(context);
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return reservedBuyingPower.AbsoluteUsedBuyingPower;
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}
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/// <summary>
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/// Check if there is sufficient buying power to execute this order.
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/// </summary>
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/// <param name="model">The <see cref="IBuyingPowerModel"/></param>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The security to be traded</param>
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/// <param name="order">The order</param>
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/// <returns>Returns buying power information for an order</returns>
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public static HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
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this IBuyingPowerModel model,
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SecurityPortfolioManager portfolio,
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Security security,
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Order order
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)
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{
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var parameters = new HasSufficientBuyingPowerForOrderParameters(portfolio, security, order);
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return model.HasSufficientBuyingPowerForOrder(parameters);
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}
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/// <summary>
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/// Get the maximum market order quantity to obtain a position with a given value in account currency
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/// </summary>
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/// <param name="model">The <see cref="IBuyingPowerModel"/></param>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The security to be traded</param>
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/// <param name="target">The target percent holdings</param>
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/// <param name="minimumOrderMarginPortfolioPercentage">Configurable minimum order margin portfolio percentage to ignore orders with unrealistic small sizes</param>
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/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
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public static GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(
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this IBuyingPowerModel model,
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SecurityPortfolioManager portfolio,
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Security security,
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decimal target,
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decimal minimumOrderMarginPortfolioPercentage
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)
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{
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var parameters = new GetMaximumOrderQuantityForTargetBuyingPowerParameters(portfolio, security, target, minimumOrderMarginPortfolioPercentage);
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return model.GetMaximumOrderQuantityForTargetBuyingPower(parameters);
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}
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/// <summary>
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/// Gets the buying power available for a trade
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/// </summary>
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/// <param name="model">The <see cref="IBuyingPowerModel"/></param>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The security to be traded</param>
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/// <param name="direction">The direction of the trade</param>
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/// <returns>The buying power available for the trade</returns>
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public static decimal GetBuyingPower(
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this IBuyingPowerModel model,
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SecurityPortfolioManager portfolio,
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Security security,
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OrderDirection direction
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)
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{
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var context = new BuyingPowerParameters(portfolio, security, direction);
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var buyingPower = model.GetBuyingPower(context);
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// existing implementations assume certain non-account currency units, so return raw value
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return buyingPower.Value;
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}
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/// <summary>
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/// Gets the margin currently allocated to the specified holding
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/// </summary>
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/// <param name="model">The buying power model</param>
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/// <param name="security">The security</param>
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/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
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public static decimal GetMaintenanceMargin(this IBuyingPowerModel model, Security security)
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{
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return model.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(security));
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}
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/// <summary>
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/// Gets the margin currently allocated to the specified holding
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/// </summary>
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/// <param name="model">The buying power model</param>
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/// <param name="security">The security</param>
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/// <param name="quantity">The quantity of shares</param>
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/// <returns>The initial margin required for the provided security and quantity</returns>
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public static decimal GetInitialMarginRequirement(this IBuyingPowerModel model, Security security, decimal quantity)
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{
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return model.GetInitialMarginRequirement(new InitialMarginParameters(security, quantity));
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}
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/// <summary>
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/// Helper method to determine if the requested quantity is above the algorithm minimum order margin portfolio percentage
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/// </summary>
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/// <param name="model">The buying power model</param>
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/// <param name="security">The security</param>
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/// <param name="quantity">The quantity of shares</param>
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/// <param name="portfolioManager">The algorithm's portfolio</param>
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/// <param name="minimumOrderMarginPortfolioPercentage">Minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes</param>
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/// <remarks>If we are trading with negative margin remaining this method will return true always</remarks>
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/// <returns>True if this order quantity is above the minimum requested</returns>
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public static bool AboveMinimumOrderMarginPortfolioPercentage(this IBuyingPowerModel model, Security security,
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decimal quantity, SecurityPortfolioManager portfolioManager, decimal minimumOrderMarginPortfolioPercentage)
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{
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if (minimumOrderMarginPortfolioPercentage == 0)
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{
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return true;
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}
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var absFinalOrderMargin = Math.Abs(model.GetInitialMarginRequirement(new InitialMarginParameters(
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security, quantity)).Value);
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return AboveMinimumOrderMarginPortfolioPercentage(portfolioManager, minimumOrderMarginPortfolioPercentage, absFinalOrderMargin);
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}
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/// <summary>
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/// Helper method to determine if the requested quantity is above the algorithm minimum order margin portfolio percentage
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/// </summary>
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/// <param name="portfolioManager">The algorithm's portfolio</param>
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/// <param name="minimumOrderMarginPortfolioPercentage">Minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes</param>
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/// <param name="absFinalOrderMargin">The calculated order margin value</param>
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/// <remarks>If we are trading with negative margin remaining this method will return true always</remarks>
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/// <returns>True if this order quantity is above the minimum requested</returns>
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public static bool AboveMinimumOrderMarginPortfolioPercentage(SecurityPortfolioManager portfolioManager,
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decimal minimumOrderMarginPortfolioPercentage,
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decimal absFinalOrderMargin)
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{
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var minimumValue = portfolioManager.TotalPortfolioValue * minimumOrderMarginPortfolioPercentage;
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if (minimumValue > absFinalOrderMargin
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// if margin remaining is negative allow the order to pass so we can reduce the position
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&& portfolioManager.GetMarginRemaining(portfolioManager.TotalPortfolioValue) > 0)
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{
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return false;
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}
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return true;
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}
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}
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}
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