wehub-resource-sync
98 lines
4.2 KiB
C#
98 lines
4.2 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 simple margining model where margin/leverage depends on market state (open or close).
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/// During regular market hours, leverage is 4x, otherwise 2x
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/// </summary>
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public class PatternDayTradingMarginModel : SecurityMarginModel
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{
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private readonly decimal _closedMarginCorrectionFactor;
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/// <summary>
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/// Initializes a new instance of the <see cref="PatternDayTradingMarginModel" />
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/// </summary>
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public PatternDayTradingMarginModel()
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: this(2.0m, 4.0m)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="PatternDayTradingMarginModel" />
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/// </summary>
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/// <param name="closedMarketLeverage">Leverage used outside regular market hours</param>
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/// <param name="openMarketLeverage">Leverage used during regular market hours</param>
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public PatternDayTradingMarginModel(decimal closedMarketLeverage, decimal openMarketLeverage)
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: base(openMarketLeverage)
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{
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_closedMarginCorrectionFactor = openMarketLeverage/closedMarketLeverage;
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}
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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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/// Do nothing, we use a constant leverage for this model
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/// </remarks>
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/// <param name="security">The security to set leverage to</param>
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/// <param name="leverage">The new leverage</param>
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public override void SetLeverage(Security security, decimal leverage)
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{
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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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public override decimal GetLeverage(Security security)
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{
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return base.GetLeverage(security) * (1 / GetMarginCorrectionFactor(security));
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}
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/// <summary>
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/// The percentage of an order's absolute cost that must be held in free cash in order to place the order
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/// </summary>
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public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
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{
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return new InitialMargin(base.GetInitialMarginRequirement(parameters).Value
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* GetMarginCorrectionFactor(parameters.Security)
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);
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}
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/// <summary>
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/// The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call
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/// </summary>
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public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
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{
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return base.GetMaintenanceMargin(parameters) * GetMarginCorrectionFactor(parameters.Security);
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}
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/// <summary>
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/// Get margin correction factor if not in regular market hours
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/// </summary>
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/// <param name="security">The security to apply conditional leverage to</param>
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/// <returns>The margin correction factor</returns>
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private decimal GetMarginCorrectionFactor(Security security)
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{
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// when the market is open the base type returns the correct values
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// when the market is closed or when its closing soon, we need to multiply by a correction factor
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return security.Exchange.ExchangeOpen && !security.Exchange.ClosingSoon ? 1m :_closedMarginCorrectionFactor;
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}
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}
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}
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