Added IMarginCallModel interface

- Renamed MarginCallModel to DefaultMarginCallModel
- Private null implementation exposed as MarginCallModel.Null

Common/QuantConnect.csproj

@@ -316,9 +316,9 @@
     <Compile Include="Securities\DelayedSettlementModel.cs" />
     <Compile Include="Securities\AdjustedPriceVariationModel.cs" />
     <Compile Include="Securities\FuncSecuritySeeder.cs" />
+    <Compile Include="Securities\IMarginCallModel.cs" />
     <Compile Include="Securities\ISecuritySeeder.cs" />
     <Compile Include="Securities\NoMarginCallMarginModel.cs" />
-    <Compile Include="Securities\NullMarginCallModel.cs" />
     <Compile Include="Securities\SecurityPriceVariationModel.cs" />
     <Compile Include="Securities\FuncSecurityDerivativeFilter.cs" />
     <Compile Include="Securities\FuncSecurityInitializer.cs" />
@@ -350,7 +350,7 @@
     <Compile Include="Securities\ISecurityMarginModel.cs" />
     <Compile Include="Securities\IOrderProvider.cs" />
     <Compile Include="Securities\ISecurityPortfolioModel.cs" />
-    <Compile Include="Securities\MarginCallModel.cs" />
+    <Compile Include="Securities\DefaultMarginCallModel.cs" />
     <Compile Include="Securities\SecurityPortfolioModel.cs" />
     <Compile Include="Securities\SecurityMarginModel.cs" />
     <Compile Include="Securities\ImmediateSettlementModel.cs" />

Common/Securities/DefaultMarginCallModel.cs

@@ -27,7 +27,7 @@ namespace QuantConnect.Securities
     /// This is a default implementation that orders the generated margin call orders by the unrealized
     /// profit (losers first) and executes each order synchronously until we're within the margin requirements
     /// </remarks>
-    public class MarginCallModel
+    public class DefaultMarginCallModel : IMarginCallModel
     {
         /// <summary>
         /// Gets the portfolio that margin calls will be transacted against
@@ -35,10 +35,10 @@ namespace QuantConnect.Securities
         protected SecurityPortfolioManager Portfolio { get; private set; }
 
         /// <summary>
-        /// Initializes a new instance of the <see cref="MarginCallModel"/> class
+        /// Initializes a new instance of the <see cref="DefaultMarginCallModel"/> class
         /// </summary>
         /// <param name="portfolio">The portfolio object to receive margin calls</param>
-        public MarginCallModel(SecurityPortfolioManager portfolio)
+        public DefaultMarginCallModel(SecurityPortfolioManager portfolio)
         {
             Portfolio = portfolio;
         }

Common/Securities/IMarginCallModel.cs

@@ -0,0 +1,55 @@
+/*
+ * 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>
+        /// 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<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
+            {
+                return new List<OrderTicket>();
+            }
+        }
+    }
+}

Common/Securities/NullMarginCallModel.cs

@@ -1,43 +0,0 @@
-/*
- * 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 a margin call model which will always return no margin call orders
-    /// </summary>
-    public class NullMarginCallModel : MarginCallModel
-    {
-        /// <summary>
-        /// Initializes a new instance of the <see cref="NullMarginCallModel"/> class
-        /// </summary>
-        /// <param name="portfolio">The portfolio object to receive margin calls</param>
-        public NullMarginCallModel(SecurityPortfolioManager portfolio) : base(portfolio)
-        {
-        }
-
-        /// <summary>
-        /// Returns an empty list of executed orders
-        /// </summary>
-        public override List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
-        {
-            return new List<OrderTicket>();
-        }
-    }
-}

Common/Securities/SecurityPortfolioManager.cs

@@ -67,7 +67,7 @@ namespace QuantConnect.Securities
         {
             Securities = securityManager;
             Transactions = transactions;
-            MarginCallModel = new MarginCallModel(this);
+            MarginCallModel = new DefaultMarginCallModel(this);
 
             CashBook = new CashBook();
             UnsettledCashBook = new CashBook();
@@ -437,7 +437,7 @@ namespace QuantConnect.Securities
         /// Gets or sets the <see cref="MarginCallModel"/> for the portfolio. This
         /// is used to executed margin call orders.
         /// </summary>
-        public MarginCallModel MarginCallModel { get; set; }
+        public IMarginCallModel MarginCallModel { get; set; }
 
         /// <summary>
         /// Indexer for the PortfolioManager class to access the underlying security holdings objects.

Engine/Setup/BrokerageSetupHandler.cs

@@ -186,7 +186,7 @@ namespace QuantConnect.Lean.Engine.Setup
                         //Set the default brokerage model before initialize
                         algorithm.SetBrokerageModel(_factory.BrokerageModel, new NoMarginCallMarginModel(1m));
                         //Margin calls are disabled by default in live mode
-                        algorithm.Portfolio.MarginCallModel = new NullMarginCallModel(algorithm.Portfolio);
+                        algorithm.Portfolio.MarginCallModel = MarginCallModel.Null;
                         //Set our parameters
                         algorithm.SetParameters(job.Parameters);
                         //Algorithm is live, not backtesting: