Alexandre Catarino
99848a1221
* Adds NullBuyingPowerModel The `NullBuyingPowerModel` considers that we have sufficient buying power for all orders. Adds example using a bull call spread since a equity buy and hold would not show the impact of this model in the position group buing power model. * Define NullBuyingPowerModel.GetMaintenanceMargin The `NullBuyingPowerModel.GetMaintenanceMargin` returns a `MaintenanceMargin` of zero. It means the total margin used is always zero and margin calls will not be triggered. This feature is inspired on the `ConstantBuyingPowerModel`. We don't inherit from that class, because `ConstantBuyingPowerModel.GetInitialMarginRequirement` gives us very small initial margin that leads to a very large quantity if we use `SetHoldings` or `CalculateOrderQuantity`
44 lines
1.9 KiB
C#
44 lines
1.9 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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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides a buying power model considers that there is sufficient buying power for all orders
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/// </summary>
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public class NullBuyingPowerModel : BuyingPowerModel
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{
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/// <summary>
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/// Gets the margin currently allocated to the specified holding
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/// </summary>
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/// <param name="parameters">An object containing the security</param>
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/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
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public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
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{
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return new MaintenanceMargin(decimal.Zero);
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}
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/// <summary>
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/// Check if there is sufficient buying power to execute this order.
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/// </summary>
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/// <param name="parameters">An object containing the portfolio, the security and the order</param>
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/// <returns>Returns buying power information for an order</returns>
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public override HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters)
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{
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return parameters.Sufficient();
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}
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}
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}
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