AlexCatarino
d9b3bdd08d
Sets the `Security` object `BuyingPowerModel` before its `SetLeverage` method is called in the `BrokerageModelSecurityInitializer`. Updates `BitfinexBrokerageModelTests` to test the new behavior.
71 lines
3.1 KiB
C#
71 lines
3.1 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 QuantConnect.Brokerages;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides an implementation of <see cref="ISecurityInitializer"/> that initializes a security
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/// by settings the <see cref="Security.FillModel"/>, <see cref="Security.FeeModel"/>,
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/// <see cref="Security.SlippageModel"/>, and the <see cref="Security.SettlementModel"/> properties
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/// </summary>
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public class BrokerageModelSecurityInitializer : ISecurityInitializer
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{
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private readonly IBrokerageModel _brokerageModel;
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private readonly ISecuritySeeder _securitySeeder;
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/// <summary>
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/// Initializes a new instance of the <see cref="BrokerageModelSecurityInitializer"/> class
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/// for the specified algorithm
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/// </summary>
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public BrokerageModelSecurityInitializer()
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BrokerageModelSecurityInitializer"/> class
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/// for the specified algorithm
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/// </summary>
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/// <param name="brokerageModel">The brokerage model used to initialize the security models</param>
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/// <param name="securitySeeder">An <see cref="ISecuritySeeder"/> used to seed the initial price of the security</param>
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public BrokerageModelSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
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{
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_brokerageModel = brokerageModel;
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_securitySeeder = securitySeeder;
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}
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/// <summary>
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/// Initializes the specified security by setting up the models
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/// </summary>
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/// <param name="security">The security to be initialized</param>
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public virtual void Initialize(Security security)
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{
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// Sets the security models
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security.FillModel = _brokerageModel.GetFillModel(security);
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security.FeeModel = _brokerageModel.GetFeeModel(security);
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security.SlippageModel = _brokerageModel.GetSlippageModel(security);
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security.SettlementModel = _brokerageModel.GetSettlementModel(security);
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security.BuyingPowerModel = _brokerageModel.GetBuyingPowerModel(security);
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// Sets the leverage after the buying power model. Otherwise we would set the leverage of the default model.
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security.SetLeverage(_brokerageModel.GetLeverage(security));
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_securitySeeder.SeedSecurity(security);
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}
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}
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}
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