/// <summary>
/// Check if there is sufficient buying power for the position group to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the position group and the order</param>
/// <returns>Returns buying power information for an order against a position group</returns>
public virtual HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
)
{
// The addition of position groups requires that we not only check initial margin requirements, but also
// that we confirm that after the changes have been applied and the new groups resolved our maintenance
// margin is still in a valid range (less than TPV). For this model, we use the security's sufficient buying
// power impl to confirm initial margin requirements and lean heavily on GetReservedBuyingPowerImpact for
// help with confirming that our expected maintenance margin is still less than TPV.
// 1. Confirm we have sufficient buying power to execute the trade using security's BP model
// 2. Confirm we pass position group specific checks
// 3. Confirm we haven't exceeded maintenance margin limits via GetReservedBuyingPowerImpact's delta
// 1. Confirm we meet initial margin requirements, accounting for buffer
var availableBuyingPower = this.GetPositionGroupBuyingPower(
parameters.Portfolio, parameters.PositionGroup, parameters.Order.Direction
);
// 2. Confirm we pass position group specific checks
var result = PassesPositionGroupSpecificBuyingPowerForOrderChecks(parameters, availableBuyingPower);
if (result?.IsSufficient == false)
{
return(result);
}
// 3. Confirm that the new groupings arising from the change doesn't make maintenance margin exceed TPV
var args = new ReservedBuyingPowerImpactParameters(parameters.Portfolio, parameters.PositionGroup, parameters.Order);
var deltaBuyingPower = GetReservedBuyingPowerImpact(args).Delta;
if (deltaBuyingPower <= availableBuyingPower)
{
return(parameters.Sufficient());
}
return(parameters.Insufficient(Invariant(
$"Id: {parameters.Order.Id}, Maintenance Margin Delta: {deltaBuyingPower.Normalize()}, Free Margin: {availableBuyingPower.Value.Normalize()}"
)));
}
/// <summary>
/// Computes the impact on the portfolio's buying power from adding the position group to the portfolio. This is
/// a 'what if' analysis to determine what the state of the portfolio would be if these changes were applied. The
/// delta (before - after) is the margin requirement for adding the positions and if the margin used after the changes
/// are applied is less than the total portfolio value, this indicates sufficient capital.
/// </summary>
/// <param name="parameters">An object containing the portfolio and a position group containing the contemplated
/// changes to the portfolio</param>
/// <returns>Returns the portfolio's total portfolio value and margin used before and after the position changes are applied</returns>
public virtual ReservedBuyingPowerImpact GetReservedBuyingPowerImpact(ReservedBuyingPowerImpactParameters parameters)
{
// This process aims to avoid having to compute buying power on the entire portfolio and instead determines
// the set of groups that can be impacted by the changes being contemplated. The only real way to determine
// the change in maintenance margin is to determine what groups we'll have after the changes and compute the
// margin based on that.
// 1. Determine impacted groups (depends on IPositionGroupResolver.GetImpactedGroups)
// 2. Compute the currently reserved buying power of impacted groups
// 3. Create position collection using impacted groups and apply contemplated changes
// 4. Resolve new position groups using position collection with applied contemplated changes
// 5. Compute the contemplated reserved buying power on these newly resolved groups
// 1. Determine impacted groups
var positionManager = parameters.Portfolio.Positions;
// 2. Compute current reserved buying power
var current = 0m;
var impactedGroups = new List <IPositionGroup>();
// 3. Determine set of impacted positions to be grouped
var positions = parameters.Order.CreatePositions(parameters.Portfolio.Securities).ToList();
var impactedPositions = positions.ToDictionary(p => p.Symbol);
foreach (var impactedGroup in positionManager.GetImpactedGroups(positions))
{
impactedGroups.Add(impactedGroup);
current += impactedGroup.BuyingPowerModel.GetReservedBuyingPowerForPositionGroup(
parameters.Portfolio, impactedGroup
);
foreach (var position in impactedGroup)
{
IPosition existing;
if (impactedPositions.TryGetValue(position.Symbol, out existing))
{
// if it already exists then combine it with the existing
impactedPositions[position.Symbol] = existing.Combine(position);
}
else
{
impactedPositions[position.Symbol] = position;
}
}
}
// 4. Resolve new position groups
var contemplatedGroups = positionManager.ResolvePositionGroups(new PositionCollection(impactedPositions.Values));
// 5. Compute contemplated reserved buying power
var contemplated = 0m;
foreach (var contemplatedGroup in contemplatedGroups)
{
contemplated += contemplatedGroup.BuyingPowerModel.GetMaintenanceMargin(
parameters.Portfolio, contemplatedGroup
);
}
return(new ReservedBuyingPowerImpact(
current, contemplated, impactedGroups, parameters.ContemplatedChanges, contemplatedGroups
));
}