Stefano Raggi
3d1ab08b44
The logic for margin calls was previously split between SecurityPortfolioManager.ScanForMarginCall and IMarginCallModel methods, now it is entirely contained within margin call model implementations. One of the margin call model tests was also testing against the Null model, it has been updated to use the DefaultMarginCallModel.
87 lines
4.1 KiB
C#
87 lines
4.1 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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*/
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using System.Collections.Generic;
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using QuantConnect.Orders;
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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 picking which orders should be executed during a margin call
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/// </summary>
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public interface IMarginCallModel
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{
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/// <summary>
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/// Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero!
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/// If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.
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/// </summary>
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/// <param name="issueMarginCallWarning">Set to true if a warning should be issued to the algorithm</param>
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/// <returns>True for a margin call on the holdings.</returns>
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List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning);
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/// <summary>
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/// Generates a new order for the specified security taking into account the total margin
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/// used by the account. Returns null when no margin call is to be issued.
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/// </summary>
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/// <param name="security">The security to generate a margin call order for</param>
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/// <param name="netLiquidationValue">The net liquidation value for the entire account</param>
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/// <param name="totalMargin">The totl margin used by the account in units of base currency</param>
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/// <param name="maintenanceMarginRequirement">The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call</param>
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/// <returns>An order object representing a liquidation order to be executed to bring the account within margin requirements</returns>
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SubmitOrderRequest GenerateMarginCallOrder(Security security, decimal netLiquidationValue, decimal totalMargin, decimal maintenanceMarginRequirement);
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/// <summary>
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/// Executes synchronous orders to bring the account within margin requirements.
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/// </summary>
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/// <param name="generatedMarginCallOrders">These are the margin call orders that were generated
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/// by individual security margin models.</param>
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/// <returns>The list of orders that were actually executed</returns>
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List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders);
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}
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/// <summary>
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/// Provides access to a null implementation for <see cref="IMarginCallModel"/>
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/// </summary>
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public static class MarginCallModel
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{
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/// <summary>
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/// Gets an instance of <see cref="IMarginCallModel"/> that will always
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/// return an empty list of executed orders.
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/// </summary>
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public static readonly IMarginCallModel Null = new NullMarginCallModel();
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private sealed class NullMarginCallModel : IMarginCallModel
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{
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public List<SubmitOrderRequest> GetMarginCallOrders(out bool issueMarginCallWarning)
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{
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issueMarginCallWarning = false;
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return new List<SubmitOrderRequest>();
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}
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public SubmitOrderRequest GenerateMarginCallOrder(Security security, decimal netLiquidationValue, decimal totalMargin,
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decimal maintenanceMarginRequirement)
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{
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return null;
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}
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public List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
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{
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return new List<OrderTicket>();
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}
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}
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}
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}
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