wehub-resource-sync
95 lines
4.5 KiB
C#
95 lines
4.5 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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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm showcases two margin related event handlers.
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/// OnMarginCallWarning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value
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/// OnMarginCall: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation
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/// </summary>
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/// <meta name="tag" content="securities and portfolio" />
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/// <meta name="tag" content="margin models" />
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public class MarginCallEventsAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 01); //Set Start Date
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SetEndDate(2013, 12, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
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// cranking up the leverage increases the odds of a margin call when the security falls in value
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Securities["SPY"].SetLeverage(100);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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Liquidate();
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SetHoldings("SPY", 100);
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}
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}
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/// <summary>
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/// Margin call event handler. This method is called right before the margin call orders are placed in the market.
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/// </summary>
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/// <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
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public override void OnMarginCall(List<SubmitOrderRequest> requests)
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{
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// this code gets called BEFORE the orders are placed, so we can try to liquidate some of our positions
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// before we get the margin call orders executed. We could also modify these orders by changing their
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// quantities
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foreach (var order in requests.ToList())
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{
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// liquidate an extra 10% each time we get a margin call to give us more padding
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var newQuantity = (int)(order.Quantity * 1.1m);
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requests.Remove(order);
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requests.Add(new SubmitOrderRequest(order.OrderType, order.SecurityType, order.Symbol, newQuantity, order.StopPrice, order.LimitPrice, Time, "OnMarginCall"));
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}
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}
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/// <summary>
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/// Margin call warning event handler. This method is called when Portfolio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue
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/// </summary>
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public override void OnMarginCallWarning()
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{
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// this code gets called when the margin remaining drops below 5% of our total portfolio value, it gives the algorithm
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// a chance to prevent a margin call from occurring
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// prevent margin calls by responding to the warning and increasing margin remaining
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var spyHoldings = Securities["SPY"].Holdings.Quantity;
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var shares = (int)(-spyHoldings * .005m);
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Error($"{Time.ToStringInvariant()} - OnMarginCallWarning(): Liquidating {shares.ToStringInvariant()} shares of SPY to avoid margin call.");
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MarketOrder("SPY", shares);
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}
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}
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} |