wehub-resource-sync
73 lines
3.5 KiB
C#
73 lines
3.5 KiB
C#
/*
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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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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides an implementation of <see cref="IBuyingPowerModel"/> that uses an absurdly low margin
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/// requirement to ensure all orders have sufficient margin provided the portfolio is not underwater.
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/// </summary>
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public class ConstantBuyingPowerModel : BuyingPowerModel
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{
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private readonly decimal _marginRequiredPerUnitInAccountCurrency;
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/// <summary>
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/// Initializes a new instance of the <see cref="ConstantBuyingPowerModel"/> class
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/// </summary>
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/// <param name="marginRequiredPerUnitInAccountCurrency">The constant amount of margin required per single unit
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/// of an asset. Each unit is defined as a quantity of 1 and NOT based on the lot size.</param>
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public ConstantBuyingPowerModel(decimal marginRequiredPerUnitInAccountCurrency)
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{
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_marginRequiredPerUnitInAccountCurrency = marginRequiredPerUnitInAccountCurrency;
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}
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/// <summary>
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/// Sets the leverage for the applicable securities, i.e, equities
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/// </summary>
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/// <remarks>
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/// This is added to maintain backwards compatibility with the old margin/leverage system
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/// </remarks>
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/// <param name="security"></param>
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/// <param name="leverage">The new leverage</param>
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public override void SetLeverage(Security security, decimal leverage)
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{
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// ignored -- reasoning is user has an algorithm that has margin issues and so they quickly swap
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// this impl in, but their code calls set leverage, they would need to comment that out and such
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// said another way -- user made the decision to ignore margin/leverage by selecting this model
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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 provided security and quantity</returns>
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public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
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{
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return parameters.Quantity * _marginRequiredPerUnitInAccountCurrency;
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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 provided holdings quantity/cost/value</returns>
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public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
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{
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return parameters.AbsoluteQuantity * _marginRequiredPerUnitInAccountCurrency;
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}
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}
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}
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