wehub-resource-sync
104 lines
5.7 KiB
C#
104 lines
5.7 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.Positions
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{
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/// <summary>
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/// Represents a position group's model of buying power
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/// </summary>
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public interface IPositionGroupBuyingPowerModel : IEquatable<IPositionGroupBuyingPowerModel>
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{
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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</param>
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/// <returns>The maintenance margin required for the </returns>
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MaintenanceMargin GetMaintenanceMargin(PositionGroupMaintenanceMarginParameters 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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InitialMargin GetInitialMarginRequirement(PositionGroupInitialMarginParameters 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(PositionGroupInitialMarginForOrderParameters parameters);
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/// <summary>
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/// Computes the impact on the portfolio's buying power from adding the position group to the portfolio. This is
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/// a 'what if' analysis to determine what the state of the portfolio would be if these changes were applied. The
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/// delta (before - after) is the margin requirement for adding the positions and if the margin used after the changes
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/// are applied is less than the total portfolio value, this indicates sufficient capital.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio and a position group containing the contemplated
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/// changes to the portfolio</param>
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/// <returns>Returns the portfolio's total portfolio value and margin used before and after the position changes are applied</returns>
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ReservedBuyingPowerImpact GetReservedBuyingPowerImpact(
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ReservedBuyingPowerImpactParameters parameters
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);
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/// <summary>
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/// Check if there is sufficient buying power for the position group to execute this order.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the position group and the order</param>
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/// <returns>Returns buying power information for an order against a position group</returns>
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HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
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HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
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);
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/// <summary>
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/// Computes the amount of buying power reserved by the provided position group
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/// </summary>
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ReservedBuyingPowerForPositionGroup GetReservedBuyingPowerForPositionGroup(
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ReservedBuyingPowerForPositionGroupParameters parameters
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);
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/// <summary>
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/// Get the maximum position group order quantity to obtain a position with a given buying power
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/// percentage. 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 position group and the target
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/// 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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GetMaximumLotsResult GetMaximumLotsForTargetBuyingPower(
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GetMaximumLotsForTargetBuyingPowerParameters parameters
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);
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/// <summary>
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/// Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group.
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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 position group 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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GetMaximumLotsResult GetMaximumLotsForDeltaBuyingPower(
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GetMaximumLotsForDeltaBuyingPowerParameters parameters
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);
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/// <summary>
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/// Gets the buying power available for a position group 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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PositionGroupBuyingPower GetPositionGroupBuyingPower(PositionGroupBuyingPowerParameters parameters);
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}
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}
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