Jhonathan Abreu
5c5201944a
* Fix PositionGroupBuyingPowerModel quantity for delta calculation The model was calculation the order size that required a margin equal to the given delta. This fix makes it so that it calculates the position group order quantity required to get the given buying power delta, taking into account the holdings for the existing position group in the portfolio. * Fix PositionGroupBuyingPowerModel quantity for delta calculation * Add unit tests * Add unit tests * Add unit tests * Housekeeping * Housekeeping * Adapt unit tests and move messages to Messages class * Improve quantity calculation for target BP loop - PositionGroup.Quantity is now always positive. - Added PositionGroupExtensions.Closes method and use it to check if reducing a position in PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower. This is necessary since now a PositionGroup side is always "long" (see first bullet point). * Improvements * Improvements and new PositionGroup unit tests * Unit tests improvements - HasSufficientBuyingPowerForOrder test cases were completely updated to make it accurate in terms of Lean's margin calculation. - BuyingPowerForPositionGroupCalculation test was fixed in order to get the correct expected result. * Fixes for failing tests * Added additional check to OptionStrategyMarginCallEventsAlgorithm * Improve documentation comments * Fix option strategies BuyingPowerForPositionGroupCalculation unit test * Fix PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower Also address peer review * Minor changes * Update unit tests for new inverse strategies Also fixed PositionGroupExtensions.WithQuantity to resolve inverse strategy * Minor fix * Allow target/delta to go to the opposite direction of the position group * Housekeeping * Handle quantity for target/delta BP request for different reference position group * Revert removal of PositionGroupBuyingPowerParameters.Direction * Minor changes * Peer review * Minor tweaks on the position group buying power model * Minor fix
QuantConnect Testing
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