wehub-resource-sync
118 lines
4.3 KiB
C#
118 lines
4.3 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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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Parameters for <see cref="IBuyingPowerModel.GetMaintenanceMargin"/>
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/// </summary>
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public class MaintenanceMarginParameters
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{
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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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/// Gets the quantity of the security
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/// </summary>
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public decimal Quantity { get; }
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/// <summary>
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/// Gets the absolute quantity of the security
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/// </summary>
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public decimal AbsoluteQuantity => Math.Abs(Quantity);
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/// <summary>
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/// Gets the holdings cost of the security
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/// </summary>
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public decimal HoldingsCost { get; }
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/// <summary>
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/// Gets the absolute holdings cost of the security
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/// </summary>
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public decimal AbsoluteHoldingsCost => Math.Abs(HoldingsCost);
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/// <summary>
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/// Gets the holdings value of the security
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/// </summary>
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public decimal HoldingsValue { get; }
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/// <summary>
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/// Gets the absolute holdings value of the security
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/// </summary>
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public decimal AbsoluteHoldingsValue => Math.Abs(HoldingsValue);
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/// <summary>
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/// Initializes a new instance of the <see cref="MaintenanceMarginParameters"/> class
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/// </summary>
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/// <param name="security">The security</param>
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/// <param name="quantity">The quantity</param>
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/// <param name="holdingsCost">The holdings cost</param>
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/// <param name="holdingsValue">The holdings value</param>
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public MaintenanceMarginParameters(
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Security security,
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decimal quantity,
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decimal holdingsCost,
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decimal holdingsValue
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)
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{
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Security = security;
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Quantity = quantity;
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HoldingsCost = holdingsCost;
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HoldingsValue = holdingsValue;
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}
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/// <summary>
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/// Creates a new instance of the <see cref="MaintenanceMarginParameters"/> class to compute the maintenance margin
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/// required to support the algorithm's current holdings
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/// </summary>
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public static MaintenanceMarginParameters ForCurrentHoldings(Security security)
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{
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return new MaintenanceMarginParameters(security,
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security.Holdings.Quantity,
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security.Holdings.HoldingsCost,
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security.Holdings.HoldingsValue
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);
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}
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/// <summary>
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/// Creates a new instance of the <see cref="MaintenanceMarginParameters"/> class to compute the maintenance margin
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/// required to support the specified quantity of holdings at current market prices
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/// </summary>
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public static MaintenanceMarginParameters ForQuantityAtCurrentPrice(Security security, decimal quantity)
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{
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var value = security.Holdings.GetQuantityValue(quantity).InAccountCurrency;
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return new MaintenanceMarginParameters(security, quantity, value, value);
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}
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/// <summary>
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/// Creates a new instance of <see cref="MaintenanceMarginParameters"/> for the security's underlying
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/// </summary>
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public MaintenanceMarginParameters ForUnderlying(decimal quantity)
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{
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var derivative = Security as IDerivativeSecurity;
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if (derivative == null)
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{
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throw new InvalidOperationException(Messages.MaintenanceMarginParameters.ForUnderlyingOnlyInvokableForIDerivativeSecurity);
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}
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return ForQuantityAtCurrentPrice(derivative.Underlying, quantity);
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}
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}
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}
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