wehub-resource-sync
90 lines
3.9 KiB
C#
90 lines
3.9 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 QuantConnect.Orders;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Provides an implementation of <see cref="ISecurityPortfolioModel"/> for options that supports
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/// default fills as well as option exercising.
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/// </summary>
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public class OptionPortfolioModel : SecurityPortfolioModel
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{
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/// <summary>
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/// Performs application of an OrderEvent to the portfolio
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">Option security</param>
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/// <param name="fill">The order event fill object to be applied</param>
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public override void ProcessFill(SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
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{
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if (fill.Ticket.OrderType == OrderType.OptionExercise)
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{
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base.ProcessFill(portfolio, portfolio.Securities[fill.Symbol], fill);
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// Update the order event message with the P&L
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UpdateExerciseOrderEventMessage(security, fill);
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}
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else
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{
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// we delegate the call to the base class (default behavior)
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base.ProcessFill(portfolio, security, fill);
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}
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}
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private static void UpdateExerciseOrderEventMessage(Security security, OrderEvent fill)
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{
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var lastTradeProfit = security.Holdings.LastTradeProfit;
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var message = "";
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if (lastTradeProfit >= 0)
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{
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message += $". Profit: +{lastTradeProfit.ToStringInvariant()}";
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}
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else
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{
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message += $". Loss: {lastTradeProfit.ToStringInvariant()}";
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}
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fill.Message = fill.Message + message;
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}
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/// <summary>
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/// Helper method to determine the close trade profit
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/// </summary>
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/// <remarks>For SettlementType.Cash we apply funds and add in the result to the profit</remarks>
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protected override ConvertibleCashAmount ProcessCloseTradeProfit(SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
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{
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var baseResult = base.ProcessCloseTradeProfit(portfolio, security, fill);
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var ticket = fill.Ticket;
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if (ticket.OrderType == OrderType.OptionExercise && security.Symbol.SecurityType.IsOption())
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{
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var option = (Option)security;
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if (option.ExerciseSettlement == SettlementType.Cash)
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{
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var underlying = option.Underlying;
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var optionQuantity = fill.Ticket.Quantity;
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var cashQuantity = -option.GetIntrinsicValue(underlying.Close) * option.ContractUnitOfTrade * optionQuantity;
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if (cashQuantity != decimal.Zero)
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{
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security.SettlementModel.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, fill.UtcTime, new CashAmount(cashQuantity, option.QuoteCurrency.Symbol), fill));
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return new ConvertibleCashAmount(cashQuantity + baseResult.Amount, option.QuoteCurrency);
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}
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}
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}
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return baseResult;
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}
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}
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}
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