wehub-resource-sync
67 lines
3.1 KiB
C#
67 lines
3.1 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 Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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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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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides a margin call model that wraps a <see cref="PyObject"/> object that represents the model responsible for picking which orders should be executed during a margin call
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/// </summary>
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public class MarginCallModelPythonWrapper : BasePythonWrapper<IMarginCallModel>, IMarginCallModel
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{
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/// <summary>
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/// Constructor for initialising the <see cref="MarginCallModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents the model responsible for picking which orders should be executed during a margin call</param>
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public MarginCallModelPythonWrapper(PyObject model)
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: base(model)
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{
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}
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/// <summary>
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/// Executes synchronous orders to bring the account within margin requirements.
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/// </summary>
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/// <param name="generatedMarginCallOrders">These are the margin call orders that were generated
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/// by individual security margin models.</param>
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/// <returns>The list of orders that were actually executed</returns>
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public List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
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{
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return InvokeMethod<List<OrderTicket>>(nameof(ExecuteMarginCall), generatedMarginCallOrders);
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}
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/// <summary>
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/// Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero!
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/// If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.
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/// </summary>
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/// <param name="issueMarginCallWarning">Set to true if a warning should be issued to the algorithm</param>
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/// <returns>True for a margin call on the holdings.</returns>
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public List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning)
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{
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issueMarginCallWarning = false;
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var requests = InvokeMethodWithOutParameters<List<SubmitOrderRequest>>(nameof(GetMarginCallOrders), new[] { typeof(bool) },
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out var outParameters, issueMarginCallWarning);
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issueMarginCallWarning = (bool)outParameters[0] || requests.Count > 0;
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return requests;
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}
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}
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}
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