wehub-resource-sync
72 lines
3.4 KiB
C#
72 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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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Defines the parameters for <see cref="IBuyingPowerModel.GetMaximumOrderQuantityForDeltaBuyingPower"/>
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/// </summary>
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public class GetMaximumOrderQuantityForDeltaBuyingPowerParameters
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{
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/// <summary>
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/// Gets the algorithm's portfolio
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/// </summary>
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public SecurityPortfolioManager Portfolio { get; }
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/// <summary>
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/// Gets the security
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// The delta buying power.
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/// </summary>
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/// <remarks>Sign defines the position side to apply the delta, positive long, negative short side.</remarks>
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public decimal DeltaBuyingPower { get; }
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/// <summary>
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/// True enables the <see cref="IBuyingPowerModel"/> to skip setting <see cref="GetMaximumOrderQuantityResult.Reason"/>
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/// for non error situations, for performance
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/// </summary>
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public bool SilenceNonErrorReasons { get; }
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/// <summary>
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/// Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes
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/// </summary>
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/// <remarks>Default value is 0. This setting is useful to avoid small trading noise when using SetHoldings</remarks>
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public decimal MinimumOrderMarginPortfolioPercentage { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="GetMaximumOrderQuantityForDeltaBuyingPowerParameters"/> class
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The security</param>
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/// <param name="deltaBuyingPower">The delta buying power to apply.
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/// Sign defines the position side to apply the delta</param>
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/// <param name="minimumOrderMarginPortfolioPercentage">Configurable minimum order margin portfolio percentage to ignore orders with unrealistic small sizes</param>
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/// <param name="silenceNonErrorReasons">True will not return <see cref="GetMaximumOrderQuantityResult.Reason"/>
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/// set for non error situation, this is for performance</param>
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public GetMaximumOrderQuantityForDeltaBuyingPowerParameters(SecurityPortfolioManager portfolio, Security security, decimal deltaBuyingPower,
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decimal minimumOrderMarginPortfolioPercentage, bool silenceNonErrorReasons = false)
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{
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Portfolio = portfolio;
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Security = security;
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DeltaBuyingPower = deltaBuyingPower;
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SilenceNonErrorReasons = silenceNonErrorReasons;
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MinimumOrderMarginPortfolioPercentage = minimumOrderMarginPortfolioPercentage;
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}
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}
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}
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