Stefano Raggi
82 lines
3.5 KiB
C#
82 lines
3.5 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 System;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Provides methods for computing a maximum order size.
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/// </summary>
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public static class OrderSizing
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{
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/// <summary>
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/// Gets the maximum order size as a percentage of the current bar's volume.
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/// </summary>
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/// <param name="security">The security object</param>
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/// <param name="maximumPercentCurrentVolume">The maximum percentage of the current bar's volume</param>
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/// <returns>The fractional quantity of shares that equal the specified percentage of the current bar's volume</returns>
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public static decimal PercentVolume(Security security, decimal maximumPercentCurrentVolume)
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{
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return maximumPercentCurrentVolume * security.Volume;
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}
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/// <summary>
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/// Gets the maximum order size using a maximum order value in units of the account currency
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/// </summary>
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/// <param name="security">The security object</param>
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/// <param name="maximumOrderValueInAccountCurrency">The maximum order value in units of the account currency</param>
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/// <returns>The quantity of fractional of shares that yield the specified maximum order value</returns>
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public static decimal Value(Security security, decimal maximumOrderValueInAccountCurrency)
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{
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var priceInAccountCurrency = security.Price * security.QuoteCurrency.ConversionRate;
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if (priceInAccountCurrency == 0m)
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{
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return 0m;
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}
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return maximumOrderValueInAccountCurrency / priceInAccountCurrency;
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}
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/// <summary>
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/// Gets the remaining quantity to be ordered to reach the specified target quantity.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="target">The portfolio target</param>
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/// <returns>The remaining quantity to be ordered</returns>
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public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target)
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{
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var security = algorithm.Securities[target.Symbol];
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var holdings = security.Holdings.Quantity;
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var openOrderQuantity = algorithm.Transactions.GetOpenOrderTickets(target.Symbol)
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.Aggregate(0m, (d, t) => d + t.Quantity - t.QuantityFilled);
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var quantity = target.Quantity - holdings - openOrderQuantity;
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// check if we're below the lot size threshold
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if (Math.Abs(quantity) < security.SymbolProperties.LotSize)
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{
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return 0m;
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}
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return quantity;
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}
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}
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}
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