wehub-resource-sync
112 lines
4.8 KiB
C#
112 lines
4.8 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.Linq;
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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 an implementation of <see cref="IPositionGroupResolver"/> that places all positions into a default group of one security.
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/// </summary>
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public class SecurityPositionGroupResolver : IPositionGroupResolver
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{
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private readonly IPositionGroupBuyingPowerModel _buyingPowerModel;
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityPositionGroupResolver"/> class
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/// </summary>
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/// <param name="buyingPowerModel">The buying power model to use for created groups</param>
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public SecurityPositionGroupResolver(IPositionGroupBuyingPowerModel buyingPowerModel)
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{
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_buyingPowerModel = buyingPowerModel;
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}
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/// <summary>
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/// Attempts to group the specified positions into a new <see cref="IPositionGroup"/> using an
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/// appropriate <see cref="IPositionGroupBuyingPowerModel"/> for position groups created via this
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/// resolver.
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/// </summary>
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/// <param name="newPositions">The positions to be grouped</param>
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/// <param name="currentPositions">The currently grouped positions</param>
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/// <param name="group">The grouped positions when this resolver is able to, otherwise null</param>
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/// <returns>True if this resolver can group the specified positions, otherwise false</returns>
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public bool TryGroup(IReadOnlyCollection<IPosition> newPositions, PositionGroupCollection currentPositions, out IPositionGroup group)
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{
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// we can only create default groupings containing a single security
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if (newPositions.Count != 1)
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{
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group = null;
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return false;
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}
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var key = new PositionGroupKey(_buyingPowerModel, newPositions);
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var position = newPositions.First();
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group = new PositionGroup(key, position.GetGroupQuantity(), newPositions.ToDictionary(p => p.Symbol));
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return true;
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}
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/// <summary>
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/// Resolves the position groups that exist within the specified collection of positions.
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/// </summary>
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/// <param name="positions">The collection of positions</param>
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/// <returns>An enumerable of position groups</returns>
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public PositionGroupCollection Resolve(PositionCollection positions)
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{
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var result = new PositionGroupCollection(positions
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.Select(position => new PositionGroup(_buyingPowerModel, position.GetGroupQuantity(), position)).ToList()
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);
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positions.Clear();
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return result;
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}
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/// <summary>
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/// Determines the position groups that would be evaluated for grouping of the specified
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/// positions were passed into the <see cref="IPositionGroupResolver.Resolve"/> method.
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/// </summary>
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/// <remarks>
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/// This function allows us to determine a set of impacted groups and run the resolver on just
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/// those groups in order to support what-if analysis
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/// </remarks>
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/// <param name="groups">The existing position groups</param>
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/// <param name="positions">The positions being changed</param>
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/// <returns>An enumerable containing the position groups that could be impacted by the specified position changes</returns>
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public IEnumerable<IPositionGroup> GetImpactedGroups(
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PositionGroupCollection groups,
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IReadOnlyCollection<IPosition> positions
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)
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{
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var seen = new HashSet<PositionGroupKey>();
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foreach (var position in positions)
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{
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IReadOnlyCollection<IPositionGroup> groupsForSymbol;
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if (!groups.TryGetGroups(position.Symbol, out groupsForSymbol))
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{
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continue;
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}
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foreach (var group in groupsForSymbol)
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{
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if (seen.Add(group.Key))
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{
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yield return group;
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}
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}
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}
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}
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}
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}
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