wehub-resource-sync
45 lines
1.8 KiB
C#
45 lines
1.8 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 QuantConnect.Orders;
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using System.Linq;
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namespace QuantConnect.Securities.Option.StrategyMatcher
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{
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/// <summary>
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/// Provides an implementation of <see cref="IOptionStrategyMatchObjectiveFunction"/> that evaluates the number of unmatched
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/// positions, in number of contracts, giving precedence to solutions that have fewer unmatched contracts.
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/// </summary>
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public class UnmatchedPositionCountOptionStrategyMatchObjectiveFunction : IOptionStrategyMatchObjectiveFunction
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{
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/// <summary>
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/// Computes the delta in matched vs unmatched positions, which gives precedence to solutions that match more contracts.
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/// </summary>
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public decimal ComputeScore(OptionPositionCollection input, OptionStrategyMatch match, OptionPositionCollection unmatched)
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{
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var value = 0m;
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foreach (var strategy in match.Strategies)
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{
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foreach (var leg in strategy.OptionLegs.Concat<Leg>(strategy.UnderlyingLegs))
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{
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value += leg.Quantity;
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}
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}
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return value - unmatched.Count;
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}
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}
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}
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