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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities.Positions;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents the model responsible for picking which orders should be executed during a margin call
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/// </summary>
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/// <remarks>
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/// This is a default implementation that orders the generated margin call orders by the unrealized
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/// profit (losers first) and executes each order synchronously until we're within the margin requirements
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/// </remarks>
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public class DefaultMarginCallModel : IMarginCallModel
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{
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/// <summary>
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/// The percent margin buffer to use when checking whether the total margin used is
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/// above the total portfolio value to generate margin call orders
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/// </summary>
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private readonly decimal _marginBuffer;
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/// <summary>
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/// Gets the portfolio that margin calls will be transacted against
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/// </summary>
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protected SecurityPortfolioManager Portfolio { get; }
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/// <summary>
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/// Gets the default order properties to be used in margin call orders
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/// </summary>
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protected IOrderProperties DefaultOrderProperties { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="DefaultMarginCallModel"/> class
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/// </summary>
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/// <param name="portfolio">The portfolio object to receive margin calls</param>
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/// <param name="defaultOrderProperties">The default order properties to be used in margin call orders</param>
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/// <param name="marginBuffer">
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/// The percent margin buffer to use when checking whether the total margin used is
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/// above the total portfolio value to generate margin call orders
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/// </param>
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public DefaultMarginCallModel(SecurityPortfolioManager portfolio, IOrderProperties defaultOrderProperties, decimal marginBuffer = 0.10m)
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{
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Portfolio = portfolio;
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DefaultOrderProperties = defaultOrderProperties;
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_marginBuffer = marginBuffer;
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}
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/// <summary>
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/// Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero!
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/// If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.
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/// </summary>
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/// <param name="issueMarginCallWarning">Set to true if a warning should be issued to the algorithm</param>
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/// <returns>True for a margin call on the holdings.</returns>
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public List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning)
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{
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issueMarginCallWarning = false;
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var totalMarginUsed = Portfolio.TotalMarginUsed;
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// don't issue a margin call if we're not using margin
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if (totalMarginUsed <= 0)
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{
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return new List<SubmitOrderRequest>();
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}
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var totalPortfolioValue = Portfolio.TotalPortfolioValue;
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var marginRemaining = Portfolio.GetMarginRemaining(totalPortfolioValue);
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// issue a margin warning when we're down to 5% margin remaining
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if (marginRemaining <= totalPortfolioValue * 0.05m)
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{
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issueMarginCallWarning = true;
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}
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// generate a listing of margin call orders
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var marginCallOrders = new List<SubmitOrderRequest>();
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// if we still have margin remaining then there's no need for a margin call
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if (marginRemaining <= 0)
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{
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if (totalMarginUsed > totalPortfolioValue * (1 + _marginBuffer))
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{
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foreach (var positionGroup in Portfolio.Positions.Groups)
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{
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var positionMarginCallOrders = GenerateMarginCallOrders(
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new MarginCallOrdersParameters(positionGroup, totalPortfolioValue, totalMarginUsed)).ToList();
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if (positionMarginCallOrders.Count > 0 && positionMarginCallOrders.All(x => x.Quantity != 0))
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{
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marginCallOrders.AddRange(positionMarginCallOrders);
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}
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}
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}
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issueMarginCallWarning = marginCallOrders.Count > 0;
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}
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return marginCallOrders;
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}
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/// <summary>
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/// Generates a new order for the specified security taking into account the total margin
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/// used by the account. Returns null when no margin call is to be issued.
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/// </summary>
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/// <param name="parameters">The set of parameters required to generate the margin call orders</param>
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/// <returns>An order object representing a liquidation order to be executed to bring the account within margin requirements</returns>
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protected virtual IEnumerable<SubmitOrderRequest> GenerateMarginCallOrders(MarginCallOrdersParameters parameters)
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{
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var positionGroup = parameters.PositionGroup;
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if (positionGroup.Positions.Any(position => Portfolio.Securities[position.Symbol].QuoteCurrency.ConversionRate == 0))
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{
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// check for div 0 - there's no conv rate, so we can't place an order
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return Enumerable.Empty<SubmitOrderRequest>();
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}
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// compute the amount of quote currency we need to liquidate in order to get within margin requirements
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var deltaAccountCurrency = parameters.TotalUsedMargin - parameters.TotalPortfolioValue;
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var currentlyUsedBuyingPower = positionGroup.BuyingPowerModel.GetReservedBuyingPowerForPositionGroup(Portfolio, positionGroup);
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// if currentlyUsedBuyingPower > deltaAccountCurrency, means we can keep using the diff in buying power
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var buyingPowerToKeep = Math.Max(0, currentlyUsedBuyingPower - deltaAccountCurrency);
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// we want a reduction so we send the inverse side of our position
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var deltaBuyingPower = (currentlyUsedBuyingPower - buyingPowerToKeep) * -Math.Sign(positionGroup.Quantity);
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var result = positionGroup.BuyingPowerModel.GetMaximumLotsForDeltaBuyingPower(new GetMaximumLotsForDeltaBuyingPowerParameters(
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Portfolio, positionGroup, deltaBuyingPower,
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// margin is negative, we need to reduce positions, no minimum
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minimumOrderMarginPortfolioPercentage: 0
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));
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var absQuantity = Math.Abs(result.NumberOfLots);
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var orderType = positionGroup.Count > 1 ? OrderType.ComboMarket : OrderType.Market;
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GroupOrderManager groupOrderManager = null;
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if (orderType == OrderType.ComboMarket)
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{
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groupOrderManager = new GroupOrderManager(Portfolio.Transactions.GetIncrementGroupOrderManagerId(), positionGroup.Count,
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absQuantity);
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}
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return positionGroup.Positions.Select(position =>
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{
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var security = Portfolio.Securities[position.Symbol];
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// Always reducing, so we take the absolute quantity times the opposite sign of the position
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var legQuantity = absQuantity * position.UnitQuantity * -Math.Sign(position.Quantity);
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return new SubmitOrderRequest(
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orderType,
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security.Type,
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security.Symbol,
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legQuantity.GetOrderLegGroupQuantity(groupOrderManager),
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0,
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0,
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security.LocalTime.ConvertToUtc(security.Exchange.TimeZone),
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Messages.DefaultMarginCallModel.MarginCallOrderTag,
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DefaultOrderProperties?.Clone(),
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groupOrderManager);
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});
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}
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/// <summary>
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/// Executes synchronous orders to bring the account within margin requirements.
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/// </summary>
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/// <param name="generatedMarginCallOrders">These are the margin call orders that were generated
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/// by individual security margin models.</param>
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/// <returns>The list of orders that were actually executed</returns>
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public virtual List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
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{
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// if our margin used is back under the portfolio value then we can stop liquidating
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if (Portfolio.MarginRemaining >= 0)
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{
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return new List<OrderTicket>();
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}
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// order by losers first
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var executedOrders = new List<OrderTicket>();
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var ordersWithSecurities = generatedMarginCallOrders.ToDictionary(x => x, x => Portfolio[x.Symbol]);
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var groupManagerTemporalIds = -ordersWithSecurities.Count;
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var orderedByLosers = ordersWithSecurities
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// group orders by their group manager id so they are executed together
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.GroupBy(x => x.Key.GroupOrderManager?.Id ?? groupManagerTemporalIds++)
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.OrderBy(x => x.Sum(kvp => kvp.Value.UnrealizedProfit))
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.Select(x => x.Select(kvp => kvp.Key));
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foreach (var requests in orderedByLosers)
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{
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var tickets = new List<OrderTicket>();
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foreach (var request in requests)
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{
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tickets.Add(Portfolio.Transactions.AddOrder(request));
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}
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foreach (var ticket in tickets)
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{
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if (ticket.Status.IsOpen())
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{
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Portfolio.Transactions.WaitForOrder(ticket.OrderId);
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}
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executedOrders.Add(ticket);
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}
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// if our margin used is back under the portfolio value then we can stop liquidating
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if (Portfolio.MarginRemaining >= 0)
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{
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break;
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}
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}
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return executedOrders;
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}
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}
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}
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