wehub-resource-sync
70 lines
2.9 KiB
C#
70 lines
2.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Orders;
|
|
|
|
namespace QuantConnect.Securities
|
|
{
|
|
/// <summary>
|
|
/// Represents the model responsible for picking which orders should be executed during a margin call
|
|
/// </summary>
|
|
public interface IMarginCallModel
|
|
{
|
|
/// <summary>
|
|
/// Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero!
|
|
/// If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.
|
|
/// </summary>
|
|
/// <param name="issueMarginCallWarning">Set to true if a warning should be issued to the algorithm</param>
|
|
/// <returns>True for a margin call on the holdings.</returns>
|
|
List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning);
|
|
|
|
/// <summary>
|
|
/// Executes synchronous orders to bring the account within margin requirements.
|
|
/// </summary>
|
|
/// <param name="generatedMarginCallOrders">These are the margin call orders that were generated
|
|
/// by individual security margin models.</param>
|
|
/// <returns>The list of orders that were actually executed</returns>
|
|
List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Provides access to a null implementation for <see cref="IMarginCallModel"/>
|
|
/// </summary>
|
|
public static class MarginCallModel
|
|
{
|
|
/// <summary>
|
|
/// Gets an instance of <see cref="IMarginCallModel"/> that will always
|
|
/// return an empty list of executed orders.
|
|
/// </summary>
|
|
public static readonly IMarginCallModel Null = new NullMarginCallModel();
|
|
|
|
private sealed class NullMarginCallModel : IMarginCallModel
|
|
{
|
|
public List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning)
|
|
{
|
|
issueMarginCallWarning = false;
|
|
return new List<SubmitOrderRequest>();
|
|
}
|
|
|
|
public List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
|
|
{
|
|
return new List<OrderTicket>();
|
|
}
|
|
}
|
|
}
|
|
}
|