public override GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(
GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
var quantity = base.GetMaximumOrderQuantityForTargetBuyingPower(parameters).Quantity;
quantity = Math.Floor(quantity / 100) * 100;
return(new GetMaximumOrderQuantityResult(quantity));
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given buying power percentage.
/// Will not take into account free buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target signed buying power percentage</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public override GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(
GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
if (Math.Abs(parameters.TargetBuyingPower) > 1)
{
throw new InvalidOperationException(
"Futures do not allow specifying a leveraged target, since they are traded using margin which already is leveraged. " +
$"Possible target buying power goes from -1 to 1, target provided is: {parameters.TargetBuyingPower}");
}
return(base.GetMaximumOrderQuantityForTargetBuyingPower(parameters));
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given buying power percentage.
/// Will not take into account free buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target signed buying power percentage</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
using (Py.GIL())
{
return((_model.GetMaximumOrderQuantityForTargetBuyingPower(parameters)
as PyObject).GetAndDispose <GetMaximumOrderQuantityResult>());
}
}
public GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(
GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters
)
{
EnsureSecurityExists(parameters.Security);
var expected = SecurityModel.GetMaximumOrderQuantityForTargetBuyingPower(parameters);
if (reentry)
{
return(expected);
}
reentry = true;
var security = parameters.Security;
var positionGroup = Portfolio.Positions[new PositionGroupKey(PositionGroupModel, security)];
var actual = PositionGroupModel.GetMaximumLotsForTargetBuyingPower(
new GetMaximumLotsForTargetBuyingPowerParameters(
parameters.Portfolio,
positionGroup,
parameters.TargetBuyingPower,
parameters.MinimumOrderMarginPortfolioPercentage,
parameters.SilenceNonErrorReasons
)
);
var lotSize = security.SymbolProperties.LotSize;
Assert.AreEqual(expected.IsError, actual.IsError,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForTargetBuyingPower)}: " +
$"ExpectedQuantity: {expected.Quantity} ActualQuantity: {actual.NumberOfLots * lotSize} {Environment.NewLine}" +
$"ExpectedReason: {expected.Reason}{Environment.NewLine}" +
$"ActualReason: {actual.Reason}"
);
// we're not comparing group quantities, which is the number of position lots, but rather the implied
// position quantities resulting from having that many lots.
var resizedPositionGroup = positionGroup.WithQuantity(actual.NumberOfLots);
var position = resizedPositionGroup.GetPosition(security.Symbol);
var bpmOrder = new MarketOrder(security.Symbol, expected.Quantity, parameters.Portfolio.Securities.UtcTime);
var pgbpmOrder = new MarketOrder(security.Symbol, position.Quantity, parameters.Portfolio.Securities.UtcTime);
var bpmOrderValue = bpmOrder.GetValue(security);
var pgbpmOrderValue = pgbpmOrder.GetValue(security);
var bpmOrderFees = security.FeeModel.GetOrderFee(new OrderFeeParameters(security, bpmOrder)).Value.Amount;
var pgbpmOrderFees = security.FeeModel.GetOrderFee(new OrderFeeParameters(security, pgbpmOrder)).Value.Amount;
var bpmMarginRequired = bpmOrderValue + bpmOrderFees;
var pgbpmMarginRequired = pgbpmOrderValue + pgbpmOrderFees;
Assert.AreEqual(expected.Quantity, position.Quantity,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForTargetBuyingPower)}: " +
$"ExpectedReason: {expected.Reason}{Environment.NewLine}" +
$"ActualReason: {actual.Reason}"
);
Assert.AreEqual(expected.Reason, actual.Reason,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForTargetBuyingPower)}: " +
$"ExpectedReason: {expected.Reason}{Environment.NewLine}" +
$"ActualReason: {actual.Reason}"
);
reentry = false;
return(expected);
}
