wehub-resource-sync
94 lines
3.4 KiB
C#
94 lines
3.4 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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*/
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using System;
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namespace QuantConnect.Securities.Equity
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{
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/// <summary>
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/// Short margin interest rate model
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///
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/// When shorting charges the fee rate provided by the <see cref="QuantConnect.Interfaces.IShortableProvider"/>.
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/// When long adds the rebate fee provided by the <see cref="QuantConnect.Interfaces.IShortableProvider"/>.
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/// </summary>
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public class ShortMarginInterestRateModel : IMarginInterestRateModel
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{
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private bool _isShort;
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private DateTime _previousTime;
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/// <summary>
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/// Accumulated shorting fee, negative means paid, positive earned.
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///
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/// Negative due to borrowing the asset to short, the fee rate.
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/// Positive due to lending the asset for shorting, the rebate rate.
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/// </summary>
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public decimal Amount { get; set; }
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/// <summary>
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/// Apply margin interest rates to the portfolio
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/// </summary>
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/// <param name="marginInterestRateParameters">The parameters to use</param>
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public void ApplyMarginInterestRate(MarginInterestRateParameters marginInterestRateParameters)
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{
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var security = marginInterestRateParameters.Security;
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if (!security.Holdings.HoldStock)
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{
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// clear state
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_previousTime = default;
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return;
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}
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if (_previousTime == default || _isShort != security.Holdings.IsShort)
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{
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// start the clock on initial state or when changing sides
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_isShort = security.Holdings.IsShort;
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_previousTime = marginInterestRateParameters.Time;
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return;
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}
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else if (marginInterestRateParameters.Time.Date == _previousTime.Date)
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{
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// charge once a day
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return;
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}
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decimal? feeRate;
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if (_isShort)
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{
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feeRate = security.ShortableProvider?.FeeRate(security.Symbol, security.LocalTime.Date);
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}
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else
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{
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feeRate = security.ShortableProvider?.RebateRate(security.Symbol, security.LocalTime.Date);
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}
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if (feeRate == null || feeRate.Value == 0)
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{
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// nothing todo
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_previousTime = default;
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return;
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}
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var dailyFeeRate = ((feeRate.Value * security.Holdings.HoldingsValue) / 360);
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var fee = dailyFeeRate * (marginInterestRateParameters.Time.Date - _previousTime.Date).Days;
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Amount += fee;
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security.QuoteCurrency.AddAmount(fee);
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// until next date
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_previousTime = marginInterestRateParameters.Time;
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}
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}
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}
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