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    Option Margin Strategies (#5511)

    frostbyte_neo 发布于 2021-04-30 21:45:27 +00:00 | 2420 次提交 在此版本后已推送到 master

    • Refactor HasSufficientBuyingPowerForOrder implementations

    Adds Sufficient and Insufficient helper methods to HashSufficientbuyingPowerForOrderParameters
    enabling syntax like:

    return paraeeters.Sufficient()
    returnparameters.Insufficient(reason)

    The next change will add the initial margin required which will simply require
    updating both of these helper methods to accept the value.

    • IBuyingPowerModel: Add margin functions Maintenance/Initial/ForOrder

    These were originally hidden in an effort to only expose what's necessary
    for the engine to perform its work. Additionally, we encapsulated all of
    the method arguments into parameters classes to prevent having to break
    anyone in the future. Not including these foundational methods turns out to
    be an oversight. These methods are not required by the engine, but rather by
    other models. Another possible solution here is to add an additional abstraction
    and include these methods on this new abstraction. BuyingPowerModel would then
    explicitly implement these methods and models that depend on them would require
    two code paths, one for when the buying power model implements this interface
    and another for when it doesn't.

    Tests were additionally updated to remove test model implementations created for
    the sole purpose of exposing these private methods.

    • Add ConstantBuyingPowerModel

    Provides an implementation of IBuyingPowerModel that returns the same
    constant value

    • Update BuyingPowerModelPythonWrapper to use reflection for method names

    Having a bunch of hard-coded strings is a sure fire way for someone to
    overlook when changing methods. This change ensures that noone needs to
    remember that this code exists :)

    Cleans up the syntax around verifying a python object implements a particular
    C# interface via the ValidateImplementationOf method by having it return a
    value since the only use cases are in constructors when setting the models.

    I was initially going to update ALL python wrappers to validate the passed
    in models, but such a change could break many things that are 'working' right
    now. Such an effort should be saved for its own dedicated PR.

    • Add Parameters/Result types for new buying power model methods

    • Support computing maintenance margin for arbitrary quantities

    The existing GetMaintenanceMargin function assumes that we're only interested
    in the maintenance margin for the entirety of the provided security's holdings.
    This makes it impossible to perform what-if analysis or to even ask how much
    maintenance margin is devoted to a particular subset of the security's holdings.
    This change adds the quantity to the MaintenanceMarginParameters class. Futures
    and Options models also depend on holdings cost and holdings value, so they have
    also been added to the parameters type. Finally, static factory methods were
    added to improve discernment of intent: ForCurrentHoldings provides the existing
    behavior and then ForQuantityAtCurrentPrice to support what-if scenarios where
    we're looking for the change in maintenance margin if we were to execute an order
    for the securiy at the current time step. Obviously a constructor is provided to
    set all of the values explicitly, using any price metric the caller desires.

    • Address review
    • Fix BPM xml documentation
    • Fix python unit tests and PythonWrapper validate method
    • Add SecurityHolding.QuantityChanged event

    Adding event handlers will allow us to orchestrate complex
    events from distant parts of the codebase through wiring
    them up. If we continue down this path, it will move us away
    from the current, very 'mechanical' data flows expressed in
    LEAN and towards a more modern, event processing based system.
    This is but a baby step in that direction and the initial use
    case is using this QuantityChanged event to trigger resolution
    of the algoritm's positions groups. This is part of an effort
    to improve the fidelity of options margin modeling where we'll
    model an OptionStrategy as an IPositionGroup. This will allow
    us to compute the margin requirements of an OptionStrategy as
    a unit instead of computing margin of each security individually
    in isolation.

    See #4065

    • PortfolioManager: Group fields and remove unused field

    This codebase generally places fields as the first members, but
    this class had some fields at the top, then some properties, and
    then some more fields. This change brings all the fields together
    at the top of the file and also removes pointless comments placed
    directly above some of the fields. Additionally, an unused field
    was removed.

    • Remove unused _currencyConverter from Security

    Looks like at some point the only code using this member variable was removed
    and the necessary clean up was overlooked.

    • Add Parse.Enum functions

    • Support disabling regression algorithms by language via config.json

    Adds 'regression-test-languages' to config.json and filters regerssion algorithms to
    run based on this value. When cycling on a particular feature, it's nice to be able
    to run the entire regression set while ignoring the python algorithms. Once the C#
    algorithms are all passing, one can then go back and run C# and Python in a final run,
    since 99% of feature work doesn't impact python specifically.

    • Implement IComparable in SecurityIdentitfier

    This can be used to deterministically sort securities and symbols

    • Add .editorconfig to enforce common formatting for json/sh files

    • Fix typo in IBuyingPowerModel.GetBuyingPower xml docs

    • Add ListEquals/GetListHashCode and OrderDirection.Closes(PositionSide)

    ListEquals and GetListHashCode are designed to be used together as they
    complement each other according to C#'s requirements for Equals and
    GetHashCode functions.

    PositionSide.ToOrderDirection() extension simply converts a PositionSide
    to its logical equivalent OrderDirection. Long->Buy, Short->Sell, None->Hold

    OrderDirection.Closes(PositionSide) determines if a particular OrderDirection
    would have the effect of reducing a position's absolute size. This function
    greatly improves the readability of buying power functions that must provide
    adjustments when an order/contemplated trade reduces/closes an existing position.
    OrderDirection.Buy.Closes(PositionSide.Short)
    OrderDirection.Sell.Closes(PositionSide.Long)
    All other combinations return false

    Adds ToArray/ToImmutableArray convenience functions that combine a call
    to Select followed by To(Immutable)Array all in one function call.

    • Add decimal.DiscretelyRoundBy extension method

    Supports rounding a decimal value by an arbitrarily chosen maximum precision,
    or 'quanta'

    • Update FutureMarginBuyingPowerModelTests to respect the security's lot size

    • Add core position group classes and abstractions

    • Add initial/maintenance margin support, buying power model consistency tests

    • Add SufficientBuyingPower and GetReservedBuyingPower to position group model

    Includes update to BrokerageTransactionHandler to use position group BPM for
    sufficient buying power checks.

    • Resolve position groups on each fill

    We need to update the state of our position groups on each fill so that
    we can properly handle multiple orders within the same time step. We
    also limit the number of positions sent into the resolver by removing
    securities without any holdings.

    • fixup! Add SufficientBuyingPower and GetReservedBuyingPower to position group model

    • Add GetMaximumLotsFor{Target|Delta}BuyingPower

    Instead of computing order quantity, these functions compute the
    maximum number of position group lots, which is the position group
    quantity, and is guaranteed to be a whole number, for the provided
    target/delta buying power parameters.

    The SecurityPositionGroupBuyingPowerModel delegates to the security's
    IBuyingPowerModel by applying a scaling factor equal to the security's
    lot size.

    This change also updates references to IBuyingPowerModel.GetMaximum...
    to use the new position group model methods.

    • Convert remaining IBuyingPowerModel call sites to position groups

    • Rename PositionManasger.CreateDefaultGroup -> GetOrCreateDefaultGroup

    Better describes its behavior

    • Add Position Groups readme.md

    • Add Option Strategy BuyingPowerModel

    • Adding CompositePrositionGroupResolver and
      OptionStrategyPositionGroupResolver
    • Adding OptionStrategyPositionGroupBuyingPowerModel handling option
      strategies based on IBs margin table. Adding regression algorithms
    • Few changes so that option strategies executed by multiple orders are
      detected
    • Adjust OptionStrategyDefinitionMatch to include equity legs in the
      matching result
    • Minor tweaks fixing previous rebase
    • Minor fixes for existing option strategies definitions, adding new
      missing strategies.
    • Fixing minor bugs in option strategy matcher. Adding more unit tests
    • Address self reviews
    • Fixing bug in 'PositionGroupCollection'
    • Few minor simplificaitons
    • Adding BasicTemplateOptionEquityStrategyAlgorithm
    • Address reviews
    • Improve regression algorithms margin remaining and used assert logic to be exact. Taking into account spread and fees

    Co-authored-by: Michael Handschuh mhandschuh@gmail.com

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