/// <summary>
/// Submit orders for the specified portolio targets.
/// This model is free to delay or spread out these orders as it sees fit
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets to be ordered</param>
public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
// update the complete set of portfolio targets with the new targets
_targetsCollection.AddRange(targets);
// for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
if (_targetsCollection.Count > 0)
{
foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
{
var symbol = target.Symbol;
// calculate remaining quantity to be ordered
var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
// fetch our symbol data containing our VWAP indicator
SymbolData data;
if (!_symbolData.TryGetValue(symbol, out data))
{
continue;
}
// check order entry conditions
if (PriceIsFavorable(data, unorderedQuantity))
{
// adjust order size to respect maximum order size based on a percentage of current volume
var orderSize = OrderSizing.GetOrderSizeForPercentVolume(
data.Security, MaximumOrderQuantityPercentVolume, unorderedQuantity);
if (orderSize != 0)
{
algorithm.MarketOrder(data.Security.Symbol, orderSize);
}
}
}
_targetsCollection.ClearFulfilled(algorithm);
}
}
