wehub-resource-sync
104 lines
4.9 KiB
C#
104 lines
4.9 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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using System;
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using QuantConnect.Logging;
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namespace QuantConnect.Securities.Future
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{
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/// <summary>
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/// Settlement model which can handle daily profit and loss settlement
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/// </summary>
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public class FutureSettlementModel : ImmediateSettlementModel
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{
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private DateTime _lastSettlementDate;
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private decimal _settledFutureQuantity;
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private decimal _settlementPrice;
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/// <summary>
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/// Applies unsettledContractsTodaysProfit settlement rules
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/// </summary>
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/// <param name="applyFundsParameters">The funds application parameters</param>
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public override void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
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{
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if(_settledFutureQuantity != 0)
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{
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var fill = applyFundsParameters.Fill;
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var security = applyFundsParameters.Security;
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var futureHolding = (FutureHolding)security.Holdings;
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var absoluteQuantityClosed = Math.Min(fill.AbsoluteFillQuantity, security.Holdings.AbsoluteQuantity);
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var absoluteQuantityClosedSettled = Math.Min(absoluteQuantityClosed, Math.Abs(_settledFutureQuantity));
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var quantityClosedSettled = Math.Sign(-fill.FillQuantity) * absoluteQuantityClosedSettled;
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// reduce our settled future quantity proportionally too
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var factor = quantityClosedSettled / _settledFutureQuantity;
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_settledFutureQuantity -= quantityClosedSettled;
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// the passed in cash amount will hold the complete profit/loss of the trade, so we need to substract the settled profit we were given or taken from
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var removedSettledProfit = factor * futureHolding.SettledProfit;
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futureHolding.SettledProfit -= removedSettledProfit;
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applyFundsParameters.CashAmount = new CashAmount(applyFundsParameters.CashAmount.Amount - removedSettledProfit, applyFundsParameters.CashAmount.Currency);
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}
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base.ApplyFunds(applyFundsParameters);
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}
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/// <summary>
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/// Scan for pending settlements
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/// </summary>
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/// <param name="settlementParameters">The settlement parameters</param>
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public override void Scan(ScanSettlementModelParameters settlementParameters)
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{
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var security = settlementParameters.Security;
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// In the futures markets, losers pay winners every day. So once a day after the settlement time has passed we will update the cash book to reflect this
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if (_lastSettlementDate.Date < security.LocalTime.Date)
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{
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if ((_lastSettlementDate != default) && security.Invested)
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{
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var futureHolding = (FutureHolding)security.Holdings;
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var futureCache = (FutureCache)security.Cache;
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_settlementPrice = futureCache.SettlementPrice;
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_settledFutureQuantity = security.Holdings.Quantity;
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// We settled the daily P&L, losers pay winners
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var dailyProfitLoss = futureHolding.TotalCloseProfit(includeFees: false, exitPrice: _settlementPrice) - futureHolding.SettledProfit;
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if (dailyProfitLoss != 0)
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{
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futureHolding.SettledProfit += dailyProfitLoss;
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settlementParameters.Portfolio.CashBook[security.QuoteCurrency.Symbol].AddAmount(dailyProfitLoss);
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Log.Trace($"FutureSettlementModel.Scan({security.Symbol}): {security.LocalTime} Daily P&L: {dailyProfitLoss} " +
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$"Quantity: {_settledFutureQuantity} Settlement: {_settlementPrice} UnrealizedProfit: {futureHolding.UnrealizedProfit}");
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}
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}
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_lastSettlementDate = security.LocalTime.Date;
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}
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}
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/// <summary>
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/// Set the current datetime in terms of the exchange's local time zone
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/// </summary>
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/// <param name="newLocalTime">Current local time</param>
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public void SetLocalDateTimeFrontier(DateTime newLocalTime)
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{
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_lastSettlementDate = newLocalTime.Date;
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}
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}
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}
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