Martin Molinero
2c1cf0fa93
- Adding new regression test algorithm - `SecurityPortfolioManager` will subscribe to the `CashBook.Updated` event to invalidate the `TotalPortfolioValue
832 lines
34 KiB
C#
832 lines
34 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.Collections;
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using System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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using Python.Runtime;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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using QuantConnect.Orders;
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using QuantConnect.Python;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Portfolio manager class groups popular properties and makes them accessible through one interface.
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/// It also provide indexing by the vehicle symbol to get the Security.Holding objects.
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/// </summary>
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public class SecurityPortfolioManager : IDictionary<Symbol, SecurityHolding>, ISecurityProvider
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{
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// flips to true when the user called SetCash(), if true, SetAccountCurrency will throw
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private bool _setCashWasCalled;
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private bool _isTotalPortfolioValueValid;
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private decimal _totalPortfolioValue;
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/// <summary>
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/// Local access to the securities collection for the portfolio summation.
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/// </summary>
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public SecurityManager Securities;
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/// <summary>
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/// Local access to the transactions collection for the portfolio summation and updates.
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/// </summary>
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public SecurityTransactionManager Transactions;
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/// <summary>
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/// Gets the cash book that keeps track of all currency holdings (only settled cash)
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/// </summary>
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public CashBook CashBook { get; }
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/// <summary>
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/// Gets the cash book that keeps track of all currency holdings (only unsettled cash)
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/// </summary>
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public CashBook UnsettledCashBook { get; }
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/// <summary>
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/// The list of pending funds waiting for settlement time
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/// </summary>
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private readonly List<UnsettledCashAmount> _unsettledCashAmounts;
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// The _unsettledCashAmounts list has to be synchronized because order fills are happening on a separate thread
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private readonly object _unsettledCashAmountsLocker = new object();
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// Record keeping variables
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private Cash _baseCurrencyCash;
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private Cash _baseCurrencyUnsettledCash;
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/// <summary>
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/// Initialise security portfolio manager.
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/// </summary>
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public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions, IOrderProperties defaultOrderProperties = null)
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{
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Securities = securityManager;
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Transactions = transactions;
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MarginCallModel = new DefaultMarginCallModel(this, defaultOrderProperties);
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CashBook = new CashBook();
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UnsettledCashBook = new CashBook();
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_unsettledCashAmounts = new List<UnsettledCashAmount>();
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_baseCurrencyCash = CashBook[CashBook.AccountCurrency];
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_baseCurrencyUnsettledCash = UnsettledCashBook[CashBook.AccountCurrency];
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// default to $100,000.00
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_baseCurrencyCash.SetAmount(100000);
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CashBook.Updated += (sender, args) => InvalidateTotalPortfolioValue();
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UnsettledCashBook.Updated += (sender, args) => InvalidateTotalPortfolioValue();
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}
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#region IDictionary Implementation
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/// <summary>
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/// Add a new securities string-security to the portfolio.
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/// </summary>
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/// <param name="symbol">Symbol of dictionary</param>
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/// <param name="holding">SecurityHoldings object</param>
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/// <exception cref="NotImplementedException">Portfolio object is an adaptor for Security Manager. This method is not applicable for PortfolioManager class.</exception>
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/// <remarks>This method is not implemented and using it will throw an exception</remarks>
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public void Add(Symbol symbol, SecurityHolding holding) { throw new NotImplementedException("Portfolio object is an adaptor for Security Manager. To add a new asset add the required data during initialization."); }
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/// <summary>
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/// Add a new securities key value pair to the portfolio.
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/// </summary>
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/// <param name="pair">Key value pair of dictionary</param>
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/// <exception cref="NotImplementedException">Portfolio object is an adaptor for Security Manager. This method is not applicable for PortfolioManager class.</exception>
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/// <remarks>This method is not implemented and using it will throw an exception</remarks>
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public void Add(KeyValuePair<Symbol, SecurityHolding> pair) { throw new NotImplementedException("Portfolio object is an adaptor for Security Manager. To add a new asset add the required data during initialization."); }
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/// <summary>
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/// Clear the portfolio of securities objects.
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/// </summary>
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/// <exception cref="NotImplementedException">Portfolio object is an adaptor for Security Manager. This method is not applicable for PortfolioManager class.</exception>
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/// <remarks>This method is not implemented and using it will throw an exception</remarks>
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public void Clear() { throw new NotImplementedException("Portfolio object is an adaptor for Security Manager and cannot be cleared."); }
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/// <summary>
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/// Remove this keyvalue pair from the portfolio.
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/// </summary>
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/// <exception cref="NotImplementedException">Portfolio object is an adaptor for Security Manager. This method is not applicable for PortfolioManager class.</exception>
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/// <param name="pair">Key value pair of dictionary</param>
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/// <remarks>This method is not implemented and using it will throw an exception</remarks>
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public bool Remove(KeyValuePair<Symbol, SecurityHolding> pair) { throw new NotImplementedException("Portfolio object is an adaptor for Security Manager and objects cannot be removed."); }
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/// <summary>
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/// Remove this symbol from the portfolio.
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/// </summary>
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/// <exception cref="NotImplementedException">Portfolio object is an adaptor for Security Manager. This method is not applicable for PortfolioManager class.</exception>
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/// <param name="symbol">Symbol of dictionary</param>
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/// <remarks>This method is not implemented and using it will throw an exception</remarks>
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public bool Remove(Symbol symbol) { throw new NotImplementedException("Portfolio object is an adaptor for Security Manager and objects cannot be removed."); }
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/// <summary>
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/// Check if the portfolio contains this symbol string.
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/// </summary>
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/// <param name="symbol">String search symbol for the security</param>
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/// <returns>Boolean true if portfolio contains this symbol</returns>
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public bool ContainsKey(Symbol symbol)
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{
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return Securities.ContainsKey(symbol);
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}
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/// <summary>
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/// Check if the key-value pair is in the portfolio.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying Securities collection</remarks>
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/// <param name="pair">Pair we're searching for</param>
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/// <returns>True if we have this object</returns>
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public bool Contains(KeyValuePair<Symbol, SecurityHolding> pair)
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{
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return Securities.ContainsKey(pair.Key);
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}
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/// <summary>
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/// Count the securities objects in the portfolio.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying Securities collection</remarks>
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public int Count
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{
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get
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{
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return Securities.Count;
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}
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}
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/// <summary>
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/// Check if the underlying securities array is read only.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying Securities collection</remarks>
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public bool IsReadOnly
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{
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get
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{
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return Securities.IsReadOnly;
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}
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}
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/// <summary>
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/// Copy contents of the portfolio collection to a new destination.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying Securities collection</remarks>
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/// <param name="array">Destination array</param>
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/// <param name="index">Position in array to start copying</param>
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public void CopyTo(KeyValuePair<Symbol, SecurityHolding>[] array, int index)
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{
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array = new KeyValuePair<Symbol, SecurityHolding>[Securities.Count];
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var i = 0;
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foreach (var asset in Securities)
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{
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if (i >= index)
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{
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array[i] = new KeyValuePair<Symbol, SecurityHolding>(asset.Key, asset.Value.Holdings);
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}
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i++;
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}
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}
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/// <summary>
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/// Symbol keys collection of the underlying assets in the portfolio.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying securities key symbols</remarks>
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public ICollection<Symbol> Keys
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{
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get
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{
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return Securities.Keys;
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}
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}
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/// <summary>
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/// Collection of securities objects in the portfolio.
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/// </summary>
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/// <remarks>IDictionary implementation calling the underlying securities values collection</remarks>
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public ICollection<SecurityHolding> Values
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{
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get
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{
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return (from kvp in Securities
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select kvp.Value.Holdings).ToList();
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}
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}
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/// <summary>
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/// Attempt to get the value of the securities holding class if this symbol exists.
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/// </summary>
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/// <param name="symbol">String search symbol</param>
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/// <param name="holding">Holdings object of this security</param>
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/// <remarks>IDictionary implementation</remarks>
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/// <returns>Boolean true if successful locating and setting the holdings object</returns>
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public bool TryGetValue(Symbol symbol, out SecurityHolding holding)
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{
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Security security;
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var success = Securities.TryGetValue(symbol, out security);
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holding = success ? security.Holdings : null;
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return success;
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}
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/// <summary>
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/// Get the enumerator for the underlying securities collection.
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/// </summary>
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/// <remarks>IDictionary implementation</remarks>
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/// <returns>Enumerable key value pair</returns>
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IEnumerator<KeyValuePair<Symbol, SecurityHolding>> IEnumerable<KeyValuePair<Symbol, SecurityHolding>>.GetEnumerator()
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{
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return Securities.Select(x => new KeyValuePair<Symbol, SecurityHolding>(x.Key, x.Value.Holdings)).GetEnumerator();
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}
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/// <summary>
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/// Get the enumerator for the underlying securities collection.
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/// </summary>
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/// <remarks>IDictionary implementation</remarks>
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/// <returns>Enumerator</returns>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return Securities.Select(x => new KeyValuePair<Symbol, SecurityHolding>(x.Key, x.Value.Holdings)).GetEnumerator();
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}
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#endregion
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/// <summary>
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/// Sum of all currencies in account in US dollars (only settled cash)
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/// </summary>
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/// <remarks>
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/// This should not be mistaken for margin available because Forex uses margin
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/// even though the total cash value is not impact
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/// </remarks>
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public decimal Cash
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{
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get { return CashBook.TotalValueInAccountCurrency; }
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}
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/// <summary>
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/// Sum of all currencies in account in US dollars (only unsettled cash)
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/// </summary>
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/// <remarks>
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/// This should not be mistaken for margin available because Forex uses margin
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/// even though the total cash value is not impact
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/// </remarks>
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public decimal UnsettledCash
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{
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get { return UnsettledCashBook.TotalValueInAccountCurrency; }
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}
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/// <summary>
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/// Absolute value of cash discounted from our total cash by the holdings we own.
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/// </summary>
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/// <remarks>When account has leverage the actual cash removed is a fraction of the purchase price according to the leverage</remarks>
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public decimal TotalUnleveredAbsoluteHoldingsCost
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{
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get
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{
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//Sum of unlevered cost of holdings
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return (from kvp in Securities
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select kvp.Value.Holdings.UnleveredAbsoluteHoldingsCost).Sum();
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}
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}
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/// <summary>
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/// Gets the total absolute holdings cost of the portfolio. This sums up the individual
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/// absolute cost of each holding
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/// </summary>
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public decimal TotalAbsoluteHoldingsCost
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{
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get { return Securities.Aggregate(0m, (d, pair) => d + pair.Value.Holdings.AbsoluteHoldingsCost); }
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}
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/// <summary>
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/// Absolute sum the individual items in portfolio.
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/// </summary>
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public decimal TotalHoldingsValue
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{
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get
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{
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//Sum sum of holdings
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return (from kvp in Securities
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select kvp.Value.Holdings.AbsoluteHoldingsValue).Sum();
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}
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}
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/// <summary>
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/// Boolean flag indicating we have any holdings in the portfolio.
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/// </summary>
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/// <remarks>Assumes no asset can have $0 price and uses the sum of total holdings value</remarks>
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/// <seealso cref="Invested"/>
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public bool HoldStock
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{
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get { return TotalHoldingsValue > 0; }
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}
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/// <summary>
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/// Alias for HoldStock. Check if we have and holdings.
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/// </summary>
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/// <seealso cref="HoldStock"/>
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public bool Invested
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{
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get { return HoldStock; }
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}
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/// <summary>
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/// Get the total unrealised profit in our portfolio from the individual security unrealized profits.
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/// </summary>
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public decimal TotalUnrealisedProfit
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{
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get
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{
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return (from kvp in Securities
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select kvp.Value.Holdings.UnrealizedProfit).Sum();
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}
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}
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/// <summary>
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/// Get the total unrealised profit in our portfolio from the individual security unrealized profits.
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/// </summary>
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/// <remarks>Added alias for American spelling</remarks>
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public decimal TotalUnrealizedProfit
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{
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get { return TotalUnrealisedProfit; }
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}
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/// <summary>
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/// Total portfolio value if we sold all holdings at current market rates.
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/// </summary>
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/// <remarks>Cash + TotalUnrealisedProfit + TotalUnleveredAbsoluteHoldingsCost</remarks>
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/// <seealso cref="Cash"/>
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/// <seealso cref="TotalUnrealizedProfit"/>
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/// <seealso cref="TotalUnleveredAbsoluteHoldingsCost"/>
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public decimal TotalPortfolioValue
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{
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get
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{
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if (!_isTotalPortfolioValueValid)
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{
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decimal totalHoldingsValueWithoutForexCryptoFutureCfd = 0;
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decimal totalFuturesAndCfdHoldingsValue = 0;
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foreach (var kvp in Securities)
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{
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var position = kvp.Value;
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var securityType = position.Type;
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// we can't include forex in this calculation since we would be double accounting with respect to the cash book
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// we also exclude futures and CFD as they are calculated separately
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if (securityType != SecurityType.Forex && securityType != SecurityType.Crypto &&
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securityType != SecurityType.Future && securityType != SecurityType.Cfd)
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{
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totalHoldingsValueWithoutForexCryptoFutureCfd += position.Holdings.HoldingsValue;
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}
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if (securityType == SecurityType.Future || securityType == SecurityType.Cfd)
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{
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totalFuturesAndCfdHoldingsValue += position.Holdings.UnrealizedProfit;
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}
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}
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_totalPortfolioValue = CashBook.TotalValueInAccountCurrency +
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UnsettledCashBook.TotalValueInAccountCurrency +
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totalHoldingsValueWithoutForexCryptoFutureCfd +
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totalFuturesAndCfdHoldingsValue;
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_isTotalPortfolioValueValid = true;
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}
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return _totalPortfolioValue;
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}
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}
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/// <summary>
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/// Will flag the current <see cref="TotalPortfolioValue"/> as invalid
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/// so it is recalculated when gotten
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/// </summary>
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public void InvalidateTotalPortfolioValue()
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{
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_isTotalPortfolioValueValid = false;
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}
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/// <summary>
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/// Total fees paid during the algorithm operation across all securities in portfolio.
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/// </summary>
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public decimal TotalFees
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{
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get
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{
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return (from kvp in Securities
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select kvp.Value.Holdings.TotalFees).Sum();
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}
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}
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/// <summary>
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/// Sum of all gross profit across all securities in portfolio.
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/// </summary>
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public decimal TotalProfit
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{
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get
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{
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return (from kvp in Securities
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select kvp.Value.Holdings.Profit).Sum();
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}
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}
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/// <summary>
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/// Total sale volume since the start of algorithm operations.
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/// </summary>
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public decimal TotalSaleVolume
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{
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get
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{
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return (from kvp in Securities
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select kvp.Value.Holdings.TotalSaleVolume).Sum();
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}
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}
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/// <summary>
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/// Gets the total margin used across all securities in the account's currency
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/// </summary>
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public decimal TotalMarginUsed
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{
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get
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{
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decimal sum = 0;
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foreach (var kvp in Securities)
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{
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var security = kvp.Value;
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var context = new ReservedBuyingPowerForPositionParameters(security);
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var reservedBuyingPower = security.BuyingPowerModel.GetReservedBuyingPowerForPosition(context);
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sum += reservedBuyingPower.Value;
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}
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return sum;
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}
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}
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/// <summary>
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/// Gets the remaining margin on the account in the account's currency
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/// </summary>
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/// <see cref="GetMarginRemaining(decimal)"/>
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public decimal MarginRemaining => GetMarginRemaining(TotalPortfolioValue);
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/// <summary>
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/// Gets the remaining margin on the account in the account's currency
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/// for the given total portfolio value
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/// </summary>
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/// <remarks>This method is for performance, for when the user already knows
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/// the total portfolio value, we can avoid re calculating it. Else use
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/// <see cref="MarginRemaining"/></remarks>
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/// <param name="totalPortfolioValue">The total portfolio value <see cref="TotalPortfolioValue"/></param>
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public decimal GetMarginRemaining(decimal totalPortfolioValue)
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{
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return totalPortfolioValue - UnsettledCashBook.TotalValueInAccountCurrency - TotalMarginUsed;
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}
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/// <summary>
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/// Gets or sets the <see cref="MarginCallModel"/> for the portfolio. This
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/// is used to executed margin call orders.
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/// </summary>
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public IMarginCallModel MarginCallModel { get; set; }
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/// <summary>
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/// Indexer for the PortfolioManager class to access the underlying security holdings objects.
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/// </summary>
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/// <param name="symbol">Symbol object indexer</param>
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/// <returns>SecurityHolding class from the algorithm securities</returns>
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public SecurityHolding this[Symbol symbol]
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{
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get { return Securities[symbol].Holdings; }
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set { Securities[symbol].Holdings = value; }
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}
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/// <summary>
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/// Indexer for the PortfolioManager class to access the underlying security holdings objects.
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/// </summary>
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/// <param name="ticker">string ticker symbol indexer</param>
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/// <returns>SecurityHolding class from the algorithm securities</returns>
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public SecurityHolding this[string ticker]
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{
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get { return Securities[ticker].Holdings; }
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set { Securities[ticker].Holdings = value; }
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}
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/// <summary>
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/// Sets the account currency cash symbol this algorithm is to manage.
|
|
/// </summary>
|
|
/// <remarks>Has to be called before calling <see cref="SetCash(decimal)"/>
|
|
/// or adding any <see cref="Security"/></remarks>
|
|
/// <param name="accountCurrency">The account currency cash symbol to set</param>
|
|
public void SetAccountCurrency(string accountCurrency)
|
|
{
|
|
if (Securities.Count > 0)
|
|
{
|
|
throw new InvalidOperationException("SecurityPortfolioManager.SetAccountCurrency(): " +
|
|
"Cannot change AccountCurrency after adding a Security. " +
|
|
"Please move SetAccountCurrency() before AddSecurity().");
|
|
}
|
|
|
|
if (_setCashWasCalled)
|
|
{
|
|
throw new InvalidOperationException("SecurityPortfolioManager.SetAccountCurrency(): " +
|
|
"Cannot change AccountCurrency after setting cash. " +
|
|
"Please move SetAccountCurrency() before SetCash().");
|
|
}
|
|
accountCurrency = accountCurrency.LazyToUpper();
|
|
|
|
Log.Trace("SecurityPortfolioManager.SetAccountCurrency():" +
|
|
$" setting account currency to {accountCurrency}");
|
|
|
|
UnsettledCashBook.AccountCurrency = accountCurrency;
|
|
CashBook.AccountCurrency = accountCurrency;
|
|
|
|
_baseCurrencyCash = CashBook[accountCurrency];
|
|
_baseCurrencyUnsettledCash = UnsettledCashBook[accountCurrency];
|
|
}
|
|
|
|
/// <summary>
|
|
/// Set the account currency cash this algorithm is to manage.
|
|
/// </summary>
|
|
/// <param name="cash">Decimal cash value of portfolio</param>
|
|
public void SetCash(decimal cash)
|
|
{
|
|
_setCashWasCalled = true;
|
|
_baseCurrencyCash.SetAmount(cash);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Set the cash for the specified symbol
|
|
/// </summary>
|
|
/// <param name="symbol">The cash symbol to set</param>
|
|
/// <param name="cash">Decimal cash value of portfolio</param>
|
|
/// <param name="conversionRate">The current conversion rate for the</param>
|
|
public void SetCash(string symbol, decimal cash, decimal conversionRate)
|
|
{
|
|
_setCashWasCalled = true;
|
|
Cash item;
|
|
if (CashBook.TryGetValue(symbol, out item))
|
|
{
|
|
item.SetAmount(cash);
|
|
item.ConversionRate = conversionRate;
|
|
}
|
|
else
|
|
{
|
|
CashBook.Add(symbol, cash, conversionRate);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets the margin available for trading a specific symbol in a specific direction.
|
|
/// </summary>
|
|
/// <param name="symbol">The symbol to compute margin remaining for</param>
|
|
/// <param name="direction">The order/trading direction</param>
|
|
/// <returns>The maximum order size that is currently executable in the specified direction</returns>
|
|
public decimal GetMarginRemaining(Symbol symbol, OrderDirection direction = OrderDirection.Buy)
|
|
{
|
|
var security = Securities[symbol];
|
|
var context = new BuyingPowerParameters(this, security, direction);
|
|
return security.BuyingPowerModel.GetBuyingPower(context).Value;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets the margin available for trading a specific symbol in a specific direction.
|
|
/// Alias for <see cref="GetMarginRemaining"/>
|
|
/// </summary>
|
|
/// <param name="symbol">The symbol to compute margin remaining for</param>
|
|
/// <param name="direction">The order/trading direction</param>
|
|
/// <returns>The maximum order size that is currently executable in the specified direction</returns>
|
|
public decimal GetBuyingPower(Symbol symbol, OrderDirection direction = OrderDirection.Buy)
|
|
{
|
|
return GetMarginRemaining(symbol, direction);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Calculate the new average price after processing a partial/complete order fill event.
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// For purchasing stocks from zero holdings, the new average price is the sale price.
|
|
/// When simply partially reducing holdings the average price remains the same.
|
|
/// When crossing zero holdings the average price becomes the trade price in the new side of zero.
|
|
/// </remarks>
|
|
public virtual void ProcessFill(OrderEvent fill)
|
|
{
|
|
var security = Securities[fill.Symbol];
|
|
security.PortfolioModel.ProcessFill(this, security, fill);
|
|
InvalidateTotalPortfolioValue();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Applies a dividend to the portfolio
|
|
/// </summary>
|
|
/// <param name="dividend">The dividend to be applied</param>
|
|
/// <param name="liveMode">True if live mode, false for backtest</param>
|
|
/// <param name="mode">The <see cref="DataNormalizationMode"/> for this security</param>
|
|
public void ApplyDividend(Dividend dividend, bool liveMode, DataNormalizationMode mode)
|
|
{
|
|
// we currently don't properly model dividend payable dates, so in
|
|
// live mode it's more accurate to rely on the brokerage cash sync
|
|
if (liveMode)
|
|
{
|
|
return;
|
|
}
|
|
|
|
var security = Securities[dividend.Symbol];
|
|
|
|
// only apply dividends when we're in raw mode or split adjusted mode
|
|
if (mode == DataNormalizationMode.Raw || mode == DataNormalizationMode.SplitAdjusted)
|
|
{
|
|
// longs get benefits, shorts get clubbed on dividends
|
|
var total = security.Holdings.Quantity*dividend.Distribution;
|
|
|
|
// assuming USD, we still need to add Currency to the security object
|
|
_baseCurrencyCash.AddAmount(total);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Applies a split to the portfolio
|
|
/// </summary>
|
|
/// <param name="split">The split to be applied</param>
|
|
/// <param name="liveMode">True if live mode, false for backtest</param>
|
|
/// <param name="mode">The <see cref="DataNormalizationMode"/> for this security</param>
|
|
public void ApplySplit(Split split, bool liveMode, DataNormalizationMode mode)
|
|
{
|
|
var security = Securities[split.Symbol];
|
|
|
|
// only apply splits to equities
|
|
if (security.Type != SecurityType.Equity)
|
|
{
|
|
return;
|
|
}
|
|
|
|
// only apply splits in live or raw data mode
|
|
if (!liveMode && mode != DataNormalizationMode.Raw)
|
|
{
|
|
return;
|
|
}
|
|
|
|
// we need to modify our holdings in lght of the split factor
|
|
var quantity = security.Holdings.Quantity / split.SplitFactor;
|
|
var avgPrice = security.Holdings.AveragePrice * split.SplitFactor;
|
|
|
|
// we'll model this as a cash adjustment
|
|
var leftOver = quantity - (int)quantity;
|
|
var extraCash = leftOver * split.ReferencePrice;
|
|
_baseCurrencyCash.AddAmount(extraCash);
|
|
|
|
security.Holdings.SetHoldings(avgPrice, (int)quantity);
|
|
|
|
// build a 'next' value to update the market prices in light of the split factor
|
|
var next = security.GetLastData();
|
|
if (next == null)
|
|
{
|
|
// sometimes we can get splits before we receive data which
|
|
// will cause this to return null, in this case we can't possibly
|
|
// have any holdings or price to set since we haven't received
|
|
// data yet, so just do nothing
|
|
return;
|
|
}
|
|
next.Value *= split.SplitFactor;
|
|
|
|
// make sure to modify open/high/low as well for tradebar data types
|
|
var tradeBar = next as TradeBar;
|
|
if (tradeBar != null)
|
|
{
|
|
tradeBar.Open *= split.SplitFactor;
|
|
tradeBar.High *= split.SplitFactor;
|
|
tradeBar.Low *= split.SplitFactor;
|
|
}
|
|
|
|
// make sure to modify bid/ask as well for tradebar data types
|
|
var tick = next as Tick;
|
|
if (tick != null)
|
|
{
|
|
tick.AskPrice *= split.SplitFactor;
|
|
tick.BidPrice *= split.SplitFactor;
|
|
}
|
|
|
|
security.SetMarketPrice(next);
|
|
// security price updated
|
|
InvalidateTotalPortfolioValue();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Record the transaction value and time in a list to later be processed for statistics creation.
|
|
/// </summary>
|
|
/// <param name="time">Time of order processed </param>
|
|
/// <param name="transactionProfitLoss">Profit Loss.</param>
|
|
public void AddTransactionRecord(DateTime time, decimal transactionProfitLoss)
|
|
{
|
|
Transactions.AddTransactionRecord(time, transactionProfitLoss);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Retrieves a summary of the holdings for the specified symbol
|
|
/// </summary>
|
|
/// <param name="symbol">The symbol to get holdings for</param>
|
|
/// <returns>The holdings for the symbol or null if the symbol is invalid and/or not in the portfolio</returns>
|
|
Security ISecurityProvider.GetSecurity(Symbol symbol)
|
|
{
|
|
Security security;
|
|
|
|
if (Securities.TryGetValue(symbol, out security))
|
|
{
|
|
return security;
|
|
}
|
|
|
|
return null;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Adds an item to the list of unsettled cash amounts
|
|
/// </summary>
|
|
/// <param name="item">The item to add</param>
|
|
public void AddUnsettledCashAmount(UnsettledCashAmount item)
|
|
{
|
|
lock (_unsettledCashAmountsLocker)
|
|
{
|
|
_unsettledCashAmounts.Add(item);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Scan the portfolio to check if unsettled funds should be settled
|
|
/// </summary>
|
|
public void ScanForCashSettlement(DateTime timeUtc)
|
|
{
|
|
lock (_unsettledCashAmountsLocker)
|
|
{
|
|
foreach (var item in _unsettledCashAmounts.ToList())
|
|
{
|
|
// check if settlement time has passed
|
|
if (timeUtc >= item.SettlementTimeUtc)
|
|
{
|
|
// remove item from unsettled funds list
|
|
_unsettledCashAmounts.Remove(item);
|
|
|
|
// update unsettled cashbook
|
|
UnsettledCashBook[item.Currency].AddAmount(-item.Amount);
|
|
|
|
// update settled cashbook
|
|
CashBook[item.Currency].AddAmount(item.Amount);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Logs margin information for debugging
|
|
/// </summary>
|
|
public void LogMarginInformation(OrderRequest orderRequest = null)
|
|
{
|
|
Log.Trace("Total margin information: " +
|
|
$"TotalMarginUsed: {TotalMarginUsed.ToString("F2", CultureInfo.InvariantCulture)}, " +
|
|
$"MarginRemaining: {MarginRemaining.ToString("F2", CultureInfo.InvariantCulture)}");
|
|
|
|
var orderSubmitRequest = orderRequest as SubmitOrderRequest;
|
|
if (orderSubmitRequest != null)
|
|
{
|
|
var direction = orderSubmitRequest.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
|
|
var security = Securities[orderSubmitRequest.Symbol];
|
|
|
|
var marginUsed = security.BuyingPowerModel.GetReservedBuyingPowerForPosition(
|
|
new ReservedBuyingPowerForPositionParameters(security)
|
|
);
|
|
|
|
var marginRemaining = security.BuyingPowerModel.GetBuyingPower(
|
|
new BuyingPowerParameters(this, security, direction)
|
|
);
|
|
|
|
Log.Trace("Order request margin information: " +
|
|
$"MarginUsed: {marginUsed.Value.ToString("F2", CultureInfo.InvariantCulture)}, " +
|
|
$"MarginRemaining: {marginRemaining.Value.ToString("F2", CultureInfo.InvariantCulture)}");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Sets the margin call model
|
|
/// </summary>
|
|
/// <param name="marginCallModel">Model that represents a portfolio's model to executed margin call orders.</param>
|
|
public void SetMarginCallModel(IMarginCallModel marginCallModel)
|
|
{
|
|
MarginCallModel = marginCallModel;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Sets the margin call model
|
|
/// </summary>
|
|
/// <param name="pyObject">Model that represents a portfolio's model to executed margin call orders.</param>
|
|
public void SetMarginCallModel(PyObject pyObject)
|
|
{
|
|
SetMarginCallModel(new MarginCallModelPythonWrapper(pyObject));
|
|
}
|
|
}
|
|
}
|