/// <summary>
/// Initialise security portfolio manager.
/// </summary>
public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions)
{
Securities = securityManager;
Transactions = transactions;
MarginCallModel = new MarginCallModel(this);
CashBook = new CashBook();
UnsettledCashBook = new CashBook();
_unsettledCashAmounts = new List <UnsettledCashAmount>();
_baseCurrencyCash = CashBook[CashBook.AccountCurrency];
_baseCurrencyUnsettledCash = UnsettledCashBook[CashBook.AccountCurrency];
// default to $100,000.00
_baseCurrencyCash.SetAmount(100000);
}
/// <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)
{
Cash item;
if (CashBook.TryGetValue(symbol, out item))
{
item.SetAmount(cash);
item.ConversionRate = conversionRate;
}
else
{
CashBook.Add(symbol, cash, conversionRate);
}
}
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = VigiothCapital.QuantTrader.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return(null);
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return(null);
}
}
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return(VigiothCapital.QuantTrader.Symbol.Create(x, securityType, market));
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, this, config, symbolProperties);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}