snugs
81 lines
3.2 KiB
C#
81 lines
3.2 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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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents the model responsible for applying cash settlement rules
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/// </summary>
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/// <remarks>This model applies cash settlement after T+N days</remarks>
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public class DelayedSettlementModel : ISettlementModel
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{
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private readonly int _numberOfDays;
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private readonly TimeSpan _timeOfDay;
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/// <summary>
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/// Creates an instance of the <see cref="DelayedSettlementModel"/> class
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/// </summary>
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/// <param name="numberOfDays">The number of days required for settlement</param>
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/// <param name="timeOfDay">The time of day used for settlement</param>
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public DelayedSettlementModel(int numberOfDays, TimeSpan timeOfDay)
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{
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_numberOfDays = numberOfDays;
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_timeOfDay = timeOfDay;
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}
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/// <summary>
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/// Applies cash settlement rules
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The fill's security</param>
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/// <param name="applicationTimeUtc">The fill time (in UTC)</param>
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/// <param name="currency">The currency symbol</param>
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/// <param name="amount">The amount of cash to apply</param>
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public void ApplyFunds(SecurityPortfolioManager portfolio, Security security, DateTime applicationTimeUtc, string currency, decimal amount)
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{
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if (amount > 0)
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{
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// positive amount: sell order filled
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portfolio.UnsettledCashBook[currency].AddAmount(amount);
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// find the correct settlement date (usually T+3 or T+1)
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var settlementDate = applicationTimeUtc.ConvertFromUtc(security.Exchange.TimeZone).Date;
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for (var i = 0; i < _numberOfDays; i++)
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{
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settlementDate = settlementDate.AddDays(1);
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// only count days when market is open
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if (!security.Exchange.Hours.IsDateOpen(settlementDate))
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i--;
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}
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// use correct settlement time
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var settlementTimeUtc = settlementDate.Add(_timeOfDay).ConvertToUtc(security.Exchange.Hours.TimeZone);
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portfolio.AddUnsettledCashAmount(new UnsettledCashAmount(settlementTimeUtc, currency, amount));
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}
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else
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{
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// negative amount: buy order filled
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portfolio.CashBook[currency].AddAmount(amount);
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}
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}
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}
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}
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