Provides a base class for implementations of IPositionGroupBuyingPowerModel More...

Inheritance diagram for QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel:

Public Member Functions
abstract MaintenanceMargin	GetMaintenanceMargin (PositionGroupMaintenanceMarginParameters parameters)
	Gets the margin currently allocated to the specified holding More...

abstract InitialMargin	GetInitialMarginRequirement (PositionGroupInitialMarginParameters parameters)
	The margin that must be held in order to increase the position by the provided quantity More...

abstract InitialMargin	GetInitialMarginRequiredForOrder (PositionGroupInitialMarginForOrderParameters parameters)
	Gets the total margin required to execute the specified order in units of the account currency including fees More...

virtual ReservedBuyingPowerImpact	GetReservedBuyingPowerImpact (ReservedBuyingPowerImpactParameters parameters)
	Computes the impact on the portfolio's buying power from adding the position group to the portfolio. This is a 'what if' analysis to determine what the state of the portfolio would be if these changes were applied. The delta (before - after) is the margin requirement for adding the positions and if the margin used after the changes are applied is less than the total portfolio value, this indicates sufficient capital. More...

virtual HasSufficientBuyingPowerForOrderResult	HasSufficientBuyingPowerForOrder (HasSufficientPositionGroupBuyingPowerForOrderParameters parameters)
	Check if there is sufficient buying power for the position group to execute this order. More...

virtual ReservedBuyingPowerForPositionGroup	GetReservedBuyingPowerForPositionGroup (ReservedBuyingPowerForPositionGroupParameters parameters)
	Computes the amount of buying power reserved by the provided position group More...

virtual GetMaximumLotsResult	GetMaximumLotsForTargetBuyingPower (GetMaximumLotsForTargetBuyingPowerParameters parameters)
	Get the maximum position group order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power. More...

virtual GetMaximumLotsResult	GetMaximumLotsForDeltaBuyingPower (GetMaximumLotsForDeltaBuyingPowerParameters parameters)
	Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group. The deltas sign defines the position side to apply it to, positive long, negative short. More...

PositionGroupBuyingPower	GetPositionGroupBuyingPower (PositionGroupBuyingPowerParameters parameters)
	Gets the buying power available for a position group trade More...

virtual bool	Equals (IPositionGroupBuyingPowerModel other)
	Indicates whether the current object is equal to another object of the same type. More...

override bool	Equals (object obj)
	Determines whether the specified object is equal to the current object. More...

override int	GetHashCode ()
	Serves as the default hash function. More...

decimal	GetPositionGroupOrderQuantity (SecurityPortfolioManager portfolio, IPositionGroup currentPositionGroup, decimal currentUsedMargin, decimal targetFinalMargin, IPositionGroup groupUnit, decimal unitMargin, out decimal finalMargin)
	Helper method that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always. More...

Protected Member Functions
	PositionGroupBuyingPowerModel (decimal requiredFreeBuyingPowerPercent=0m)
	Initializes a new instance of the PositionGroupBuyingPowerModel class More...

virtual decimal	GetContemplatedGroupsInitialMargin (SecurityPortfolioManager portfolio, PositionGroupCollection contemplatedGroups, List< IPosition > ordersPositions)
	Gets the initial margin required for the specified contemplated position group. Used by GetReservedBuyingPowerImpact to get the contemplated groups margin. More...

virtual HasSufficientBuyingPowerForOrderResult	PassesPositionGroupSpecificBuyingPowerForOrderChecks (HasSufficientPositionGroupBuyingPowerForOrderParameters parameters, decimal availableBuyingPower)
	Provides a mechanism for derived types to add their own buying power for order checks without needing to recompute the available buying power. Implementations should return null if all checks pass and should return an instance of HasSufficientBuyingPowerForOrderResult with IsSufficient=false if it fails. More...

virtual decimal	ToAccountCurrency (SecurityPortfolioManager portfolio, CashAmount cash)
	Helper function to convert a CashAmount to the account currency More...

virtual decimal	GetOrderFeeInAccountCurrency (SecurityPortfolioManager portfolio, IPositionGroup positionGroup)
	Helper function to compute the order fees associated with executing market orders for the specified positionGroup More...

Static Protected Member Functions
static bool	UnableToConverge (decimal currentMarginDifference, decimal lastMarginDifference, IPositionGroup groupUnit, SecurityPortfolioManager portfolio, decimal positionGroupQuantity, decimal targetMargin, decimal currentMargin, decimal absUnitMargin, out ArgumentException error)
	Checks if the margin difference is not growing in final margin calculation, just making sure we don't end up in an infinite loop. This function was split out to support derived types using the same error message as well as removing the added noise of the check and message creation. More...

Properties
decimal	RequiredFreeBuyingPowerPercent `[get]`
	Gets the percentage of portfolio buying power to leave as a buffer More...

Detailed Description

Provides a base class for implementations of IPositionGroupBuyingPowerModel

Definition at line 29 of file PositionGroupBuyingPowerModel.cs.

Constructor & Destructor Documentation

◆ PositionGroupBuyingPowerModel()

QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.PositionGroupBuyingPowerModel ( decimal requiredFreeBuyingPowerPercent = 0m )

protected

Initializes a new instance of the PositionGroupBuyingPowerModel class

Parameters

requiredFreeBuyingPowerPercent The percentage of portfolio buying power to leave as a buffer

Definition at line 40 of file PositionGroupBuyingPowerModel.cs.

Member Function Documentation

◆ GetMaintenanceMargin()

abstract MaintenanceMargin QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetMaintenanceMargin ( PositionGroupMaintenanceMarginParameters parameters )

pure virtual

Gets the margin currently allocated to the specified holding

Parameters

parameters An object containing the security

Returns: The maintenance margin required for the

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Implemented in QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel, and QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

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◆ GetInitialMarginRequirement()

abstract InitialMargin QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetInitialMarginRequirement ( PositionGroupInitialMarginParameters parameters )

pure virtual

The margin that must be held in order to increase the position by the provided quantity

Parameters

parameters An object containing the security and quantity

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Implemented in QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel, and QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

◆ GetInitialMarginRequiredForOrder()

abstract InitialMargin QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetInitialMarginRequiredForOrder ( PositionGroupInitialMarginForOrderParameters parameters )

pure virtual

Gets the total margin required to execute the specified order in units of the account currency including fees

Parameters

parameters An object containing the portfolio, the security and the order

Returns: The total margin in terms of the currency quoted in the order

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Implemented in QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel, and QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

◆ GetReservedBuyingPowerImpact()

virtual ReservedBuyingPowerImpact QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetReservedBuyingPowerImpact ( ReservedBuyingPowerImpactParameters parameters )

virtual

Computes the impact on the portfolio's buying power from adding the position group to the portfolio. This is a 'what if' analysis to determine what the state of the portfolio would be if these changes were applied. The delta (before - after) is the margin requirement for adding the positions and if the margin used after the changes are applied is less than the total portfolio value, this indicates sufficient capital.

Parameters

parameters An object containing the portfolio and a position group containing the contemplated changes to the portfolio

Returns: Returns the portfolio's total portfolio value and margin used before and after the position changes are applied

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Definition at line 74 of file PositionGroupBuyingPowerModel.cs.

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◆ GetContemplatedGroupsInitialMargin()

virtual decimal QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetContemplatedGroupsInitialMargin	(	SecurityPortfolioManager	portfolio,
		PositionGroupCollection	contemplatedGroups,
		List< IPosition >	ordersPositions
	)

protectedvirtual

Gets the initial margin required for the specified contemplated position group. Used by GetReservedBuyingPowerImpact to get the contemplated groups margin.

Reimplemented in QuantConnect.Securities.Option.OptionStrategyPositionGroupBuyingPowerModel.

Definition at line 133 of file PositionGroupBuyingPowerModel.cs.

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◆ HasSufficientBuyingPowerForOrder()

virtual HasSufficientBuyingPowerForOrderResult QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.HasSufficientBuyingPowerForOrder ( HasSufficientPositionGroupBuyingPowerForOrderParameters parameters )

virtual

Check if there is sufficient buying power for the position group to execute this order.

Parameters

parameters An object containing the portfolio, the position group and the order

Returns: Returns buying power information for an order against a position group

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

Definition at line 152 of file PositionGroupBuyingPowerModel.cs.

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◆ PassesPositionGroupSpecificBuyingPowerForOrderChecks()

virtual HasSufficientBuyingPowerForOrderResult QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.PassesPositionGroupSpecificBuyingPowerForOrderChecks	(	HasSufficientPositionGroupBuyingPowerForOrderParameters	parameters,
		decimal	availableBuyingPower
	)

protectedvirtual

Provides a mechanism for derived types to add their own buying power for order checks without needing to recompute the available buying power. Implementations should return null if all checks pass and should return an instance of HasSufficientBuyingPowerForOrderResult with IsSufficient=false if it fails.

Reimplemented in QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

Definition at line 203 of file PositionGroupBuyingPowerModel.cs.

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◆ GetReservedBuyingPowerForPositionGroup()

virtual ReservedBuyingPowerForPositionGroup QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetReservedBuyingPowerForPositionGroup ( ReservedBuyingPowerForPositionGroupParameters parameters )

virtual

Computes the amount of buying power reserved by the provided position group

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Definition at line 214 of file PositionGroupBuyingPowerModel.cs.

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◆ GetMaximumLotsForTargetBuyingPower()

virtual GetMaximumLotsResult QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetMaximumLotsForTargetBuyingPower ( GetMaximumLotsForTargetBuyingPowerParameters parameters )

virtual

Get the maximum position group order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power.

Parameters

parameters An object containing the portfolio, the position group and the target signed buying power percentage

Returns

Returns the maximum allowed market order quantity and if zero, also the reason.

Since there is no sense of "short" or "long" on position groups with multiple positions, the sign of the returned quantity will indicate the direction of the order regarding the reference position group passed in the parameters:

quantity > 0: the order should be placed in the same direction as the reference position group to increase it, without changing the positions' signs.
quantity < 0: the order should be placed in the opposite direction as the reference position group to reduce it, using each position's opposite sign.

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

Definition at line 238 of file PositionGroupBuyingPowerModel.cs.

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◆ GetMaximumLotsForDeltaBuyingPower()

virtual GetMaximumLotsResult QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetMaximumLotsForDeltaBuyingPower ( GetMaximumLotsForDeltaBuyingPowerParameters parameters )

virtual

Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group. The deltas sign defines the position side to apply it to, positive long, negative short.

Parameters

parameters An object containing the portfolio, the position group and the delta buying power

Returns: Returns the maximum allowed market order quantity and if zero, also the reason

Used by the margin call model to reduce the position by a delta percent.

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Positions.SecurityPositionGroupBuyingPowerModel.

Definition at line 382 of file PositionGroupBuyingPowerModel.cs.

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◆ GetPositionGroupBuyingPower()

PositionGroupBuyingPower QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower ( PositionGroupBuyingPowerParameters parameters )

Gets the buying power available for a position group trade

Parameters

parameters A parameters object containing the algorithm's portfolio, security, and order direction

Returns: The buying power available for the trade

Implements QuantConnect.Securities.Positions.IPositionGroupBuyingPowerModel.

Definition at line 417 of file PositionGroupBuyingPowerModel.cs.

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◆ ToAccountCurrency()

virtual decimal QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.ToAccountCurrency	(	SecurityPortfolioManager	portfolio,
		CashAmount	cash
	)

protectedvirtual

Helper function to convert a CashAmount to the account currency

Definition at line 457 of file PositionGroupBuyingPowerModel.cs.

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◆ GetOrderFeeInAccountCurrency()

virtual decimal QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetOrderFeeInAccountCurrency	(	SecurityPortfolioManager	portfolio,
		IPositionGroup	positionGroup
	)

protectedvirtual

Helper function to compute the order fees associated with executing market orders for the specified positionGroup

Definition at line 465 of file PositionGroupBuyingPowerModel.cs.

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◆ UnableToConverge()

static bool QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.UnableToConverge	(	decimal	currentMarginDifference,
		decimal	lastMarginDifference,
		IPositionGroup	groupUnit,
		SecurityPortfolioManager	portfolio,
		decimal	positionGroupQuantity,
		decimal	targetMargin,
		decimal	currentMargin,
		decimal	absUnitMargin,
		out ArgumentException	error
	)

staticprotected

Checks if the margin difference is not growing in final margin calculation, just making sure we don't end up in an infinite loop. This function was split out to support derived types using the same error message as well as removing the added noise of the check and message creation.

Definition at line 488 of file PositionGroupBuyingPowerModel.cs.

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◆ Equals() [1/2]

virtual bool QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.Equals ( IPositionGroupBuyingPowerModel other )

virtual

Indicates whether the current object is equal to another object of the same type.

Parameters

other An object to compare with this object.

Returns: true if the current object is equal to the other parameter; otherwise, false.

Definition at line 526 of file PositionGroupBuyingPowerModel.cs.

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◆ Equals() [2/2]

override bool QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.Equals ( object obj )

Determines whether the specified object is equal to the current object.

Parameters

obj	The object to compare with the current object.

Returns: true if the specified object is equal to the current object; otherwise, false.

Definition at line 544 of file PositionGroupBuyingPowerModel.cs.

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◆ GetHashCode()

override int QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetHashCode ( )

Serves as the default hash function.

Returns: A hash code for the current object.

Definition at line 566 of file PositionGroupBuyingPowerModel.cs.

◆ GetPositionGroupOrderQuantity()

decimal QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.GetPositionGroupOrderQuantity	(	SecurityPortfolioManager	portfolio,
		IPositionGroup	currentPositionGroup,
		decimal	currentUsedMargin,
		decimal	targetFinalMargin,
		IPositionGroup	groupUnit,
		decimal	unitMargin,
		out decimal	finalMargin
	)

Helper method that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always.

Parameters

portfolio	Current portfolio
currentPositionGroup	Current position group
currentUsedMargin	Current margin reserved for the position
targetFinalMargin	The target margin
groupUnit	Unit position group corresponding to the currentPositionGroup
unitMargin	Margin required for the groupUnit
finalMargin	Output the final margin allocated for the position group</param Returns The size of the order to get safely to our target

Definition at line 583 of file PositionGroupBuyingPowerModel.cs.

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Property Documentation

◆ RequiredFreeBuyingPowerPercent

decimal QuantConnect.Securities.Positions.PositionGroupBuyingPowerModel.RequiredFreeBuyingPowerPercent

getprotected

Gets the percentage of portfolio buying power to leave as a buffer

Definition at line 34 of file PositionGroupBuyingPowerModel.cs.

The documentation for this class was generated from the following file:

Common/Securities/Positions/PositionGroupBuyingPowerModel.cs

Public Member Functions

Protected Member Functions

Static Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ PositionGroupBuyingPowerModel()

Member Function Documentation

◆ GetMaintenanceMargin()

◆ GetInitialMarginRequirement()

◆ GetInitialMarginRequiredForOrder()

◆ GetReservedBuyingPowerImpact()

◆ GetContemplatedGroupsInitialMargin()

◆ HasSufficientBuyingPowerForOrder()

◆ PassesPositionGroupSpecificBuyingPowerForOrderChecks()

◆ GetReservedBuyingPowerForPositionGroup()

◆ GetMaximumLotsForTargetBuyingPower()

◆ GetMaximumLotsForDeltaBuyingPower()

◆ GetPositionGroupBuyingPower()

◆ ToAccountCurrency()

◆ GetOrderFeeInAccountCurrency()

◆ UnableToConverge()

◆ Equals() [1/2]

◆ Equals() [2/2]

◆ GetHashCode()

◆ GetPositionGroupOrderQuantity()

Property Documentation

◆ RequiredFreeBuyingPowerPercent