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.Linq;
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namespace QuantConnect.Securities.Positions
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{
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/// <summary>
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/// Provides an implementation of <see cref="IPositionGroupBuyingPowerModel"/> for groups containing exactly one security
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/// </summary>
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public class SecurityPositionGroupBuyingPowerModel : PositionGroupBuyingPowerModel
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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="parameters">An object containing the security</param>
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/// <returns>The maintenance margin required for the </returns>
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public override MaintenanceMargin GetMaintenanceMargin(PositionGroupMaintenanceMarginParameters parameters)
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{
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// SecurityPositionGroupBuyingPowerModel models buying power the same as non-grouped, so we can simply sum up
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// the reserved buying power via the security's model. We should really only ever get a single position here,
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// but it's not incorrect to ask the model for what the reserved buying power would be using default modeling
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var buyingPower = 0m;
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foreach (var position in parameters.PositionGroup)
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{
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var security = parameters.Portfolio.Securities[position.Symbol];
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var result = security.BuyingPowerModel.GetMaintenanceMargin(
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MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, position.Quantity)
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);
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buyingPower += result;
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}
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return buyingPower;
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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</param>
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public override InitialMargin GetInitialMarginRequirement(PositionGroupInitialMarginParameters parameters)
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{
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var initialMarginRequirement = 0m;
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foreach (var position in parameters.PositionGroup)
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{
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var security = parameters.Portfolio.Securities[position.Symbol];
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initialMarginRequirement += security.BuyingPowerModel.GetInitialMarginRequirement(
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security, position.Quantity
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);
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}
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return initialMarginRequirement;
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}
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/// <summary>
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/// Gets the total margin required to execute the specified order in units of the account currency including fees
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the order</param>
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/// <returns>The total margin in terms of the currency quoted in the order</returns>
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public override InitialMargin GetInitialMarginRequiredForOrder(
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PositionGroupInitialMarginForOrderParameters parameters
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)
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{
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var initialMarginRequirement = 0m;
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foreach (var position in parameters.PositionGroup)
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{
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// TODO : Support combo order by pull symbol-specific order
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var security = parameters.Portfolio.Securities[position.Symbol];
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initialMarginRequirement += security.BuyingPowerModel.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(parameters.Portfolio.CashBook, security, parameters.Order)
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);
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}
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return initialMarginRequirement;
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}
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/// <summary>
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/// Get the maximum position group order quantity to obtain a position with a given buying power
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/// percentage. Will not take into account free buying power.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the position group and the target
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/// signed buying power percentage</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 override GetMaximumLotsResult GetMaximumLotsForTargetBuyingPower(
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GetMaximumLotsForTargetBuyingPowerParameters parameters
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)
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{
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if (parameters.PositionGroup.Count != 1)
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{
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return parameters.Error(
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$"{nameof(SecurityPositionGroupBuyingPowerModel)} only supports position groups containing exactly one position."
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);
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}
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var position = parameters.PositionGroup.Single();
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var security = parameters.Portfolio.Securities[position.Symbol];
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var result = security.BuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower(
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parameters.Portfolio, security, parameters.TargetBuyingPower, parameters.MinimumOrderMarginPortfolioPercentage
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);
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var quantity = result.Quantity / security.SymbolProperties.LotSize;
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return new GetMaximumLotsResult(quantity, result.Reason, result.IsError);
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}
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/// <summary>
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/// Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group.
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/// The deltas sign defines the position side to apply it to, positive long, negative short.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the position group and the delta buying power</param>
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/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
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/// <remarks>Used by the margin call model to reduce the position by a delta percent.</remarks>
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public override GetMaximumLotsResult GetMaximumLotsForDeltaBuyingPower(
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GetMaximumLotsForDeltaBuyingPowerParameters parameters
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)
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{
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if (parameters.PositionGroup.Count != 1)
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{
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return parameters.Error(
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$"{nameof(SecurityPositionGroupBuyingPowerModel)} only supports position groups containing exactly one position."
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);
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}
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var position = parameters.PositionGroup.Single();
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var security = parameters.Portfolio.Securities[position.Symbol];
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var result = security.BuyingPowerModel.GetMaximumOrderQuantityForDeltaBuyingPower(
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new GetMaximumOrderQuantityForDeltaBuyingPowerParameters(
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parameters.Portfolio, security, parameters.DeltaBuyingPower, parameters.MinimumOrderMarginPortfolioPercentage
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)
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);
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var quantity = result.Quantity / security.SymbolProperties.LotSize;
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return new GetMaximumLotsResult(quantity, result.Reason, result.IsError);
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}
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/// <summary>
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/// Check if there is sufficient buying power for the position group to execute this order.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the position group and the order</param>
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/// <returns>Returns buying power information for an order against a position group</returns>
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public override HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
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HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
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)
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{
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if (parameters.PositionGroup.Count != 1)
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{
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return parameters.Error(
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$"{nameof(SecurityPositionGroupBuyingPowerModel)} only supports position groups containing exactly one position."
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);
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}
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var position = parameters.PositionGroup.Single();
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var security = parameters.Portfolio.Securities[position.Symbol];
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return security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
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parameters.Portfolio, security, parameters.Orders.Single()
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);
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}
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/// <summary>
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/// Additionally check initial margin requirements if the algorithm only has default position groups
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/// </summary>
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protected override HasSufficientBuyingPowerForOrderResult PassesPositionGroupSpecificBuyingPowerForOrderChecks(
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HasSufficientPositionGroupBuyingPowerForOrderParameters parameters,
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decimal availableBuyingPower
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)
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{
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// only check initial margin requirements when the algorithm is only using default position groups
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if (!parameters.Portfolio.Positions.IsOnlyDefaultGroups)
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{
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return null;
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}
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var symbol = parameters.PositionGroup.Single().Symbol;
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var security = parameters.Portfolio.Securities[symbol];
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return security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
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parameters.Portfolio, security, parameters.Orders.Single()
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);
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}
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}
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}
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