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 System.Linq;
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using QuantConnect.Orders;
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namespace QuantConnect.Securities.CryptoFuture
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{
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/// <summary>
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/// The crypto future margin model which supports both Coin and USDT futures
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/// </summary>
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public class CryptoFutureMarginModel : SecurityMarginModel
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{
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="leverage">The leverage to use, used on initial margin requirements, default 25x</param>
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/// <param name="maintenanceMarginRate">The maintenance margin rate, default 5%</param>
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/// <param name="maintenanceAmount">The maintenance amount which will reduce maintenance margin requirements, default 0</param>
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[Obsolete("This constructor is deprecated, please use the overload without maintenanceMarginRate and maintenanceAmount parameters.")]
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public CryptoFutureMarginModel(decimal leverage, decimal maintenanceMarginRate = 0.05m, decimal maintenanceAmount = 0)
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: base(leverage, 0)
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{
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}
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="leverage">The leverage to use, used on initial margin requirements, default 25x</param>
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public CryptoFutureMarginModel(decimal leverage = 25)
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: base(leverage, 0)
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{
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}
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/// <summary>
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/// Gets the margin currently alloted to the specified holding.
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/// </summary>
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/// <param name="parameters">An object containing the security</param>
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/// <returns>The maintenance margin required for the option</returns>
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public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
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{
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return new MaintenanceMargin(GetInitialMarginRequirement(new InitialMarginParameters(parameters.Security, parameters.Quantity)));
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}
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/// <summary>
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/// The margin that must be held in order to increase the position by the provided quantity
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/// </summary>
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/// <param name="parameters">An object containing the security and quantity of shares</param>
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/// <returns>The initial margin required for the option (i.e. the equity required to enter a position for this option)</returns>
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public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
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{
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var security = parameters.Security;
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var quantity = parameters.Quantity;
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if (security?.GetLastData() == null || quantity == 0m)
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{
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return InitialMargin.Zero;
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}
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var positionValue = security.Holdings.GetQuantityValue(quantity, security.Price);
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var marginRequirementInCollateral = Math.Abs(positionValue.Amount) / GetLeverage(security);
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return new InitialMargin(marginRequirementInCollateral * positionValue.Cash.ConversionRate);
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}
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/// <summary>
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/// Gets the margin cash available for a trade
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/// </summary>
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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 margin available for the trade</returns>
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/// <remarks>What we do specially here is that instead of using the total portfolio value as potential margin remaining we only consider the collateral currency</remarks>
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protected override decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
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{
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var collateralCurrency = GetCollateralCash(security);
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var totalCollateralCurrency = GetTotalCollateralAmount(portfolio, security, collateralCurrency);
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var result = totalCollateralCurrency;
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foreach (var kvp in portfolio.Where(holdings => holdings.Value.Invested && holdings.Value.Type == SecurityType.CryptoFuture && holdings.Value.Symbol != security.Symbol))
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{
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var otherCryptoFuture = portfolio.Securities[kvp.Key];
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// check if we share the collateral
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if (SharesCollateral(portfolio, collateralCurrency, otherCryptoFuture))
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{
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// we reduce the available collateral based on total usage of all other positions too
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result -= otherCryptoFuture.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(otherCryptoFuture));
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}
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}
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if (direction != OrderDirection.Hold)
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{
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var holdings = security.Holdings;
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//If the order is in the same direction as holdings, our remaining cash is our cash
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//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
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if (holdings.IsLong)
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{
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switch (direction)
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{
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case OrderDirection.Sell:
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result +=
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// portion of margin to close the existing position
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this.GetMaintenanceMargin(security) +
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// portion of margin to open the new position
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this.GetInitialMarginRequirement(security, security.Holdings.AbsoluteQuantity);
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break;
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}
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}
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else if (holdings.IsShort)
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{
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switch (direction)
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{
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case OrderDirection.Buy:
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result +=
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// portion of margin to close the existing position
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this.GetMaintenanceMargin(security) +
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// portion of margin to open the new position
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this.GetInitialMarginRequirement(security, security.Holdings.AbsoluteQuantity);
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break;
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}
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}
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}
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result -= totalCollateralCurrency * RequiredFreeBuyingPowerPercent;
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// convert into account currency
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result *= collateralCurrency.ConversionRate;
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return result < 0 ? 0 : result;
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}
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/// <summary>
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/// Determines whether the given security shares collateral with another crypto future.
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="collateralCurrency">The collateral cash for the current security</param>
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/// <param name="otherCryptoFuture">The other crypto future security to check</param>
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/// <returns>True if both securities share the same collateral</returns>
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protected virtual bool SharesCollateral(SecurityPortfolioManager portfolio, Cash collateralCurrency, Security otherCryptoFuture)
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{
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return collateralCurrency == GetCollateralCash(otherCryptoFuture);
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}
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/// <summary>
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/// Helper method to determine what's the collateral currency for the given crypto future
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/// </summary>
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private static Cash GetCollateralCash(Security security)
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{
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var cryptoFuture = (CryptoFuture)security;
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var collateralCurrency = cryptoFuture.BaseCurrency;
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if (!cryptoFuture.IsCryptoCoinFuture())
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{
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collateralCurrency = cryptoFuture.QuoteCurrency;
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}
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return collateralCurrency;
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}
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/// <summary>
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/// Gets the total collateral amount for the given crypto future position.
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/// The base implementation returns only the primary collateral amount.
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/// Override in subclasses to include supplementary collateral currencies.
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The crypto future security</param>
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/// <param name="primaryCollateral">The primary collateral cash (e.g. USDT for non-coin futures, BTC for coin futures)</param>
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/// <returns>Total collateral amount in terms of the primary collateral currency</returns>
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protected virtual decimal GetTotalCollateralAmount(SecurityPortfolioManager portfolio, Security security, Cash primaryCollateral)
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{
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return primaryCollateral.Amount;
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}
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}
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}
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