wehub-resource-sync
108 lines
4.6 KiB
C#
108 lines
4.6 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.Positions
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{
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/// <summary>
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/// Defines the parameters for <see cref="IPositionGroupBuyingPowerModel.GetMaximumLotsForDeltaBuyingPower"/>
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/// </summary>
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public class GetMaximumLotsForDeltaBuyingPowerParameters
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{
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/// <summary>
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/// Gets the algorithm's portfolio manager
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/// </summary>
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public SecurityPortfolioManager Portfolio { get; }
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/// <summary>
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/// Gets the position group
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/// </summary>
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public IPositionGroup PositionGroup { 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="GetMaximumLotsResult.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="GetMaximumLotsForDeltaBuyingPowerParameters"/> class
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio manager</param>
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/// <param name="positionGroup">The position group</param>
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/// <param name="deltaBuyingPower">The delta buying power to apply. 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="GetMaximumLotsResult.Reason"/>
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/// set for non error situation, this is for performance</param>
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public GetMaximumLotsForDeltaBuyingPowerParameters(
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SecurityPortfolioManager portfolio,
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IPositionGroup positionGroup,
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decimal deltaBuyingPower,
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decimal minimumOrderMarginPortfolioPercentage,
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bool silenceNonErrorReasons = false
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)
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{
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Portfolio = portfolio;
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PositionGroup = positionGroup;
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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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/// <summary>
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/// Creates a new <see cref="GetMaximumLotsResult"/> with zero quantity and an error message.
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/// </summary>
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public GetMaximumLotsResult Error(string reason)
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{
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return new GetMaximumLotsResult(0, reason, true);
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}
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/// <summary>
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/// Creates a new <see cref="GetMaximumLotsResult"/> with zero quantity and no message.
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/// </summary>
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public GetMaximumLotsResult Zero()
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{
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return new GetMaximumLotsResult(0, string.Empty, false);
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}
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/// <summary>
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/// Creates a new <see cref="GetMaximumLotsResult"/> with zero quantity and an info message.
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/// </summary>
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public GetMaximumLotsResult Zero(string reason)
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{
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return new GetMaximumLotsResult(0, reason, false);
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}
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/// <summary>
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/// Creates a new <see cref="GetMaximumLotsResult"/> for the specified quantity and no message.
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/// </summary>
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public GetMaximumLotsResult Result(decimal quantity)
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{
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return new GetMaximumLotsResult(quantity, string.Empty, false);
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}
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}
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}
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