wehub-resource-sync
100 lines
5.4 KiB
C#
100 lines
5.4 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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/// Represents a security's model of buying power
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/// </summary>
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public interface IBuyingPowerModel
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{
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/// <summary>
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/// Gets the current leverage of the security
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/// </summary>
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/// <param name="security">The security to get leverage for</param>
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/// <returns>The current leverage in the security</returns>
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decimal GetLeverage(Security security);
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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">The security to set leverage for</param>
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/// <param name="leverage">The new leverage</param>
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void SetLeverage(Security security, decimal leverage);
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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 and holdings quantity/cost/value</param>
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/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
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MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters);
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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</param>
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/// <returns>The initial margin required for the provided security and quantity</returns>
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InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters);
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/// <summary>
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/// Gets the total margin required to execute the specified order in units of the account currency including fees
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the order</param>
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/// <returns>The total margin in terms of the currency quoted in the order</returns>
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InitialMargin GetInitialMarginRequiredForOrder(InitialMarginRequiredForOrderParameters parameters);
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/// <summary>
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/// Check if there is sufficient buying power to execute this order.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the order</param>
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/// <returns>Returns buying power information for an order</returns>
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HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters);
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/// <summary>
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/// Get the maximum market order quantity to obtain a position with a given buying power percentage.
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/// Will not take into account free buying power.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the target signed buying power percentage</param>
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/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
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GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters);
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/// <summary>
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/// Get the maximum market order quantity to obtain a delta in the buying power used by a security.
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/// The deltas sign defines the position side to apply it to, positive long, negative short.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the delta buying power</param>
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/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
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/// <remarks>Used by the margin call model to reduce the position by a delta percent.</remarks>
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GetMaximumOrderQuantityResult GetMaximumOrderQuantityForDeltaBuyingPower(GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters);
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/// <summary>
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/// Gets the amount of buying power reserved to maintain the specified position
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/// </summary>
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/// <param name="parameters">A parameters object containing the security</param>
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/// <returns>The reserved buying power in account currency</returns>
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ReservedBuyingPowerForPosition GetReservedBuyingPowerForPosition(ReservedBuyingPowerForPositionParameters parameters);
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/// <summary>
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/// Gets the buying power available for a trade
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/// </summary>
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/// <param name="parameters">A parameters object containing the algorithm's portfolio, security, and order direction</param>
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/// <returns>The buying power available for the trade</returns>
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BuyingPower GetBuyingPower(BuyingPowerParameters parameters);
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}
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}
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