wehub-resource-sync
70 lines
3.2 KiB
C#
70 lines
3.2 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
namespace QuantConnect.Securities
|
|
{
|
|
/// <summary>
|
|
/// Defines the parameters for <see cref="IBuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower"/>
|
|
/// </summary>
|
|
public class GetMaximumOrderQuantityForTargetBuyingPowerParameters
|
|
{
|
|
/// <summary>
|
|
/// Gets the algorithm's portfolio
|
|
/// </summary>
|
|
public SecurityPortfolioManager Portfolio { get; }
|
|
|
|
/// <summary>
|
|
/// Gets the security
|
|
/// </summary>
|
|
public Security Security { get; }
|
|
|
|
/// <summary>
|
|
/// Gets the target signed percentage buying power
|
|
/// </summary>
|
|
public decimal TargetBuyingPower { get; }
|
|
|
|
/// <summary>
|
|
/// True enables the <see cref="IBuyingPowerModel"/> to skip setting <see cref="GetMaximumOrderQuantityResult.Reason"/>
|
|
/// for non error situations, for performance
|
|
/// </summary>
|
|
public bool SilenceNonErrorReasons { get; }
|
|
|
|
/// <summary>
|
|
/// Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes
|
|
/// </summary>
|
|
/// <remarks>Default value is 0. This setting is useful to avoid small trading noise when using SetHoldings</remarks>
|
|
public decimal MinimumOrderMarginPortfolioPercentage { get; }
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="GetMaximumOrderQuantityForTargetBuyingPowerParameters"/> class
|
|
/// </summary>
|
|
/// <param name="portfolio">The algorithm's portfolio</param>
|
|
/// <param name="security">The security</param>
|
|
/// <param name="targetBuyingPower">The target percentage buying power</param>
|
|
/// <param name="minimumOrderMarginPortfolioPercentage">Configurable minimum order margin portfolio percentage to ignore orders with unrealistic small sizes</param>
|
|
/// <param name="silenceNonErrorReasons">True will not return <see cref="GetMaximumOrderQuantityResult.Reason"/>
|
|
/// set for non error situation, this is for performance</param>
|
|
public GetMaximumOrderQuantityForTargetBuyingPowerParameters(SecurityPortfolioManager portfolio, Security security,
|
|
decimal targetBuyingPower, decimal minimumOrderMarginPortfolioPercentage, bool silenceNonErrorReasons = false)
|
|
{
|
|
Portfolio = portfolio;
|
|
Security = security;
|
|
TargetBuyingPower = targetBuyingPower;
|
|
SilenceNonErrorReasons = silenceNonErrorReasons;
|
|
MinimumOrderMarginPortfolioPercentage = minimumOrderMarginPortfolioPercentage;
|
|
}
|
|
}
|
|
}
|