wehub-resource-sync
105 lines
4.4 KiB
C#
105 lines
4.4 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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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Securities.Positions
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{
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/// <summary>
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/// Provides extension methods for <see cref="IPosition"/>
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/// </summary>
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public static class PositionExtensions
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{
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/// <summary>
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/// Deducts the specified <paramref name="quantityToDeduct"/> from the specified <paramref name="position"/>
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/// </summary>
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/// <param name="position">The source position</param>
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/// <param name="quantityToDeduct">The quantity to deduct</param>
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/// <returns>A new position with the same properties but quantity reduced by the specified amount</returns>
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public static IPosition Deduct(this IPosition position, decimal quantityToDeduct)
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{
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var newQuantity = position.Quantity - quantityToDeduct;
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return new Position(position.Symbol, newQuantity, position.UnitQuantity);
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}
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/// <summary>
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/// Combines the provided positions into a single position with the quantities added and the minimum unit quantity.
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/// </summary>
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/// <param name="position">The position</param>
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/// <param name="other">The other position to add</param>
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/// <returns>The combined position</returns>
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public static IPosition Combine(this IPosition position, IPosition other)
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{
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if (!position.Symbol.Equals(other.Symbol))
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{
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throw new ArgumentException($"Position symbols must match in order to combine quantities.");
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}
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return new Position(position.Symbol,
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position.Quantity + other.Quantity,
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Math.Min(position.UnitQuantity, other.UnitQuantity)
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);
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}
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/// <summary>
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/// Consolidates the provided <paramref name="positions"/> into a dictionary
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/// </summary>
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/// <param name="positions">The positions to be consolidated</param>
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/// <returns>A dictionary containing the consolidated positions</returns>
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public static Dictionary<Symbol, IPosition> Consolidate(this IEnumerable<IPosition> positions)
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{
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var consolidated = new Dictionary<Symbol, IPosition>();
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foreach (var position in positions)
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{
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IPosition existing;
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if (consolidated.TryGetValue(position.Symbol, out existing))
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{
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// if it already exists then combine it with the existing
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consolidated[position.Symbol] = existing.Combine(position);
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}
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else
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{
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consolidated[position.Symbol] = position;
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}
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}
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return consolidated;
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}
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/// <summary>
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/// Creates a new <see cref="IPosition"/> with quantity equal to <paramref name="numberOfLots"/> times its unit quantity
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/// </summary>
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/// <param name="position">The position</param>
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/// <param name="numberOfLots">The number of lots for the new position</param>
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/// <returns>A new position with the specified number of lots</returns>
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public static IPosition WithLots(this IPosition position, decimal numberOfLots)
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{
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var sign = position.Quantity < 0 ? -1 : +1;
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return new Position(position.Symbol, numberOfLots * position.UnitQuantity * sign, position.UnitQuantity);
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}
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/// <summary>
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/// Gets the quantity a group would have if the given position were part of it.
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/// </summary>
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/// <param name="position">The position</param>
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/// <returns>The group quantity</returns>
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public static decimal GetGroupQuantity(this IPosition position)
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{
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return position.Quantity / position.UnitQuantity;
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}
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}
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}
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