/// <summary>
/// Get the maximum market order quantity to obtain a position with a given value in account currency
/// </summary>
/// <param name="model">The <see cref="IBuyingPowerModel"/></param>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="target">The target percent holdings</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public static GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(
this IBuyingPowerModel model,
SecurityPortfolioManager portfolio,
Security security,
decimal target
)
{
var parameters = new GetMaximumOrderQuantityForTargetBuyingPowerParameters(portfolio, security, target);
return(model.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 override GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
var targetPortfolioValue = parameters.TargetBuyingPower * parameters.Portfolio.TotalPortfolioValue;
// no shorting allowed
if (targetPortfolioValue < 0)
{
return(new GetMaximumOrderQuantityResult(0, "The cash model does not allow shorting."));
}
var baseCurrency = parameters.Security as IBaseCurrencySymbol;
if (baseCurrency == null)
{
return(new GetMaximumOrderQuantityResult(0, "The security type must be SecurityType.Crypto or SecurityType.Forex."));
}
// if target value is zero, return amount of base currency available to sell
if (targetPortfolioValue == 0)
{
return(new GetMaximumOrderQuantityResult(-parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount));
}
// convert base currency cash to account currency
var baseCurrencyPosition = parameters.Portfolio.CashBook.ConvertToAccountCurrency(
parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount,
baseCurrency.BaseCurrencySymbol);
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - baseCurrencyPosition);
var direction = targetPortfolioValue > baseCurrencyPosition ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = direction == OrderDirection.Buy ? parameters.Security.AskPrice : parameters.Security.BidPrice;
unitPrice *= parameters.Security.QuoteCurrency.ConversionRate * parameters.Security.SymbolProperties.ContractMultiplier;
if (unitPrice == 0)
{
if (parameters.Security.QuoteCurrency.ConversionRate == 0)
{
return(new GetMaximumOrderQuantityResult(0, "The internal cash feed required for converting" +
Invariant($" {parameters.Security.QuoteCurrency.Symbol} to {parameters.Portfolio.CashBook.AccountCurrency} does not") +
" have any data yet (or market may be closed)."));
}
if (parameters.Security.SymbolProperties.ContractMultiplier == 0)
{
return(new GetMaximumOrderQuantityResult(0, $"The contract multiplier for the {parameters.Security.Symbol.Value} security is zero. The symbol properties database may be out of date."));
}
// security.Price == 0
return(new GetMaximumOrderQuantityResult(0, parameters.Security.Symbol.GetZeroPriceMessage()));
}
// continue iterating while we do not have enough cash for the order
decimal orderFees = 0;
decimal currentOrderValue = 0;
// compute the initial order quantity
var orderQuantity = targetOrderValue / unitPrice;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = Invariant(
$"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero."
);
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// Just in case...
var lastOrderQuantity = 0m;
var utcTime = parameters.Security.LocalTime.ConvertToUtc(parameters.Security.Exchange.TimeZone);
do
{
// Each loop will reduce the order quantity based on the difference between
// (cashRequired + orderFees) and targetOrderValue
if (currentOrderValue > targetOrderValue)
{
var currentOrderValuePerUnit = currentOrderValue / orderQuantity;
var amountOfOrdersToRemove = (currentOrderValue - targetOrderValue) / currentOrderValuePerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always substract at leat 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
}
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity <= 0)
{
return(new GetMaximumOrderQuantityResult(0,
Invariant($"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero.") +
Invariant($"Target order value {targetOrderValue}. Order fees {orderFees}. Order quantity {orderQuantity}.")
));
}
if (lastOrderQuantity == orderQuantity)
{
throw new ArgumentException(
Invariant($"GetMaximumOrderQuantityForTargetValue failed to converge to target order value {targetOrderValue}. ") +
Invariant($"Current order value is {currentOrderValue}. Order quantity {orderQuantity}. Lot size is ") +
Invariant($"{parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol {parameters.Security.Symbol}")
);
}
lastOrderQuantity = orderQuantity;
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, utcTime);
var orderValue = orderQuantity * unitPrice;
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
currentOrderValue = orderValue + orderFees;
} while (currentOrderValue > targetOrderValue);
// add directionality back in
return(new GetMaximumOrderQuantityResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
/// <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>
/// <remarks>This implementation ensures that our resulting holdings is less than the target, but it does not necessarily
/// maximize the holdings to meet the target. To do that we need a minimizing algorithm that reduces the difference between
/// the target final margin value and the target holdings margin.</remarks>
public virtual GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
// this is expensive so lets fetch it once
var totalPortfolioValue = parameters.Portfolio.TotalPortfolioValue;
// adjust target buying power to comply with required Free Buying Power Percent
var signedTargetFinalMarginValue =
parameters.TargetBuyingPower * (totalPortfolioValue - totalPortfolioValue * RequiredFreeBuyingPowerPercent);
// if targeting zero, simply return the negative of the quantity
if (signedTargetFinalMarginValue == 0)
{
return(new GetMaximumOrderQuantityResult(-parameters.Security.Holdings.Quantity, string.Empty, false));
}
// we use initial margin requirement here to avoid the duplicate PortfolioTarget.Percent situation:
// PortfolioTarget.Percent(1) -> fills -> PortfolioTarget.Percent(1) _could_ detect free buying power if we use Maintenance requirement here
var signedCurrentUsedMargin = this.GetInitialMarginRequirement(parameters.Security, parameters.Security.Holdings.Quantity);
// determine the unit price in terms of the account currency
var utcTime = parameters.Security.LocalTime.ConvertToUtc(parameters.Security.Exchange.TimeZone);
// determine the margin required for 1 unit
var absUnitMargin = this.GetInitialMarginRequirement(parameters.Security, 1);
if (absUnitMargin == 0)
{
return(new GetMaximumOrderQuantityResult(0, parameters.Security.Symbol.GetZeroPriceMessage()));
}
// Check that the change of margin is above our models minimum percentage change
var absDifferenceOfMargin = Math.Abs(signedTargetFinalMarginValue - signedCurrentUsedMargin);
if (!BuyingPowerModelExtensions.AboveMinimumOrderMarginPortfolioPercentage(parameters.Portfolio,
parameters.MinimumOrderMarginPortfolioPercentage, absDifferenceOfMargin))
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
var minimumValue = totalPortfolioValue * parameters.MinimumOrderMarginPortfolioPercentage;
reason = $"The target order margin {absDifferenceOfMargin} is less than the minimum {minimumValue}.";
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// Use the following loop to converge on a value that places us under our target allocation when adjusted for fees
var lastOrderQuantity = 0m; // For safety check
decimal orderFees = 0m;
decimal signedTargetHoldingsMargin;
decimal orderQuantity;
do
{
// Calculate our order quantity
orderQuantity = GetAmountToOrder(parameters.Security, signedTargetFinalMarginValue, absUnitMargin, out signedTargetHoldingsMargin);
if (orderQuantity == 0)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = Invariant($"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} ") +
Invariant($"and has been rounded to zero. Target order margin {signedTargetFinalMarginValue - signedCurrentUsedMargin}. ");
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, utcTime);
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
// Update our target portfolio margin allocated when considering fees, then calculate the new FinalOrderMargin
signedTargetFinalMarginValue = (totalPortfolioValue - orderFees - totalPortfolioValue * RequiredFreeBuyingPowerPercent) * parameters.TargetBuyingPower;
// Start safe check after first loop, stops endless recursion
if (lastOrderQuantity == orderQuantity)
{
var message =
Invariant($"GetMaximumOrderQuantityForTargetBuyingPower failed to converge on the target margin: {signedTargetFinalMarginValue}; ") +
Invariant($"the following information can be used to reproduce the issue. Total Portfolio Cash: {parameters.Portfolio.Cash}; Security : {parameters.Security.Symbol.ID}; ") +
Invariant($"Price : {parameters.Security.Close}; Leverage: {parameters.Security.Leverage}; Order Fee: {orderFees}; Lot Size: {parameters.Security.SymbolProperties.LotSize}; ") +
Invariant($"Current Holdings: {parameters.Security.Holdings.Quantity} @ {parameters.Security.Holdings.AveragePrice}; Target Percentage: %{parameters.TargetBuyingPower * 100};");
// Need to add underlying value to message to reproduce with options
if (parameters.Security is Option.Option option && option.Underlying != null)
{
var underlying = option.Underlying;
message += Invariant($" Underlying Security: {underlying.Symbol.ID}; Underlying Price: {underlying.Close}; Underlying Holdings: {underlying.Holdings.Quantity} @ {underlying.Holdings.AveragePrice};");
}
throw new ArgumentException(message);
}
lastOrderQuantity = orderQuantity;
}
// Ensure that our target holdings margin will be less than or equal to our target allocated margin
while (Math.Abs(signedTargetHoldingsMargin) > Math.Abs(signedTargetFinalMarginValue));
// add directionality back in
return(new GetMaximumOrderQuantityResult(orderQuantity));
}
/// <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 virtual GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
// this is expensive so lets fetch it once
var totalPortfolioValue = parameters.Portfolio.TotalPortfolioValue;
// adjust target buying power to comply with required Free Buying Power Percent
var signedTargetFinalMarginValue =
parameters.TargetBuyingPower * (totalPortfolioValue - totalPortfolioValue * RequiredFreeBuyingPowerPercent);
// if targeting zero, simply return the negative of the quantity
if (signedTargetFinalMarginValue == 0)
{
return(new GetMaximumOrderQuantityResult(-parameters.Security.Holdings.Quantity, string.Empty, false));
}
// we use initial margin requirement here to avoid the duplicate PortfolioTarget.Percent situation:
// PortfolioTarget.Percent(1) -> fills -> PortfolioTarget.Percent(1) _could_ detect free buying power if we use Maintenance requirement here
var currentSignedUsedMargin = GetInitialMarginRequirement(parameters.Security, parameters.Security.Holdings.Quantity);
// remove directionality, we'll work in the land of absolutes
var absFinalOrderMargin = Math.Abs(signedTargetFinalMarginValue - currentSignedUsedMargin);
var direction = signedTargetFinalMarginValue > currentSignedUsedMargin ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var utcTime = parameters.Security.LocalTime.ConvertToUtc(parameters.Security.Exchange.TimeZone);
// determine the margin required for 1 unit, positive since we are working with absolutes
var absUnitMargin = GetInitialMarginRequirement(parameters.Security, 1);
if (absUnitMargin == 0)
{
var reason = $"The price of the {parameters.Security.Symbol.Value} security is zero because it does not have any market " +
"data yet. When the security price is set this security will be ready for trading.";
return(new GetMaximumOrderQuantityResult(0, reason));
}
var minimumValue = absUnitMargin * parameters.Security.SymbolProperties.LotSize;
if (minimumValue > absFinalOrderMargin)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = $"The target order margin {absFinalOrderMargin} is less than the minimum {minimumValue}.";
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
var increasingFinalMargin = Math.Abs(signedTargetFinalMarginValue) > Math.Abs(currentSignedUsedMargin);
// calculate the total margin available, only check if we are going to increase our margin usage
if (increasingFinalMargin &&
GetMarginRemaining(parameters.Portfolio, parameters.Security, direction) <= 0)
{
var reason = "The portfolio does not have enough margin available.";
return(new GetMaximumOrderQuantityResult(0, reason));
}
// continue iterating while we do not have enough margin for the order
decimal orderMargin = 0;
decimal orderFees = 0;
// compute the initial order quantity
var orderQuantity = absFinalOrderMargin / absUnitMargin;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
"and has been rounded to zero.";
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
var loopCount = 0;
// Just in case...
var lastOrderQuantity = 0m;
do
{
// Each loop will reduce the order quantity based on the difference between orderMargin and targetOrderMargin
if (orderMargin > absFinalOrderMargin)
{
var currentOrderMarginPerUnit = orderMargin / orderQuantity;
var amountOfOrdersToRemove = (orderMargin - absFinalOrderMargin) / currentOrderMarginPerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always subtract at least 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
if (orderQuantity <= 0)
{
return(new GetMaximumOrderQuantityResult(0,
Invariant($"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} ") +
Invariant($"and has been rounded to zero.Target order margin {absFinalOrderMargin}. Order fees ") +
Invariant($"{orderFees}. Order quantity {orderQuantity}. Margin unit {absUnitMargin}."),
false
));
}
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, utcTime);
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
// The TPV, take out the fees(unscaled) => yields available margin for trading(less fees)
// then scale that by the target -- finally remove currentUsedMargin to get finalOrderMargin
absFinalOrderMargin = Math.Abs(
(totalPortfolioValue - orderFees - totalPortfolioValue * RequiredFreeBuyingPowerPercent)
* parameters.TargetBuyingPower - currentSignedUsedMargin
);
// After the first loop we need to recalculate order quantity since now we have fees included
if (loopCount == 0)
{
// re compute the initial order quantity
orderQuantity = absFinalOrderMargin / absUnitMargin;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
else
{
// Start safe check after first loop
if (lastOrderQuantity == orderQuantity)
{
var message = "GetMaximumOrderQuantityForTargetBuyingPower failed to converge to target order margin " +
Invariant($"{absFinalOrderMargin}. Current order margin is {orderMargin}. Order quantity {orderQuantity}. ") +
Invariant($"Lot size is {parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol ") +
$"{parameters.Security.Symbol}. Margin unit {absUnitMargin}.";
throw new ArgumentException(message);
}
lastOrderQuantity = orderQuantity;
}
orderMargin = orderQuantity * absUnitMargin;
loopCount++;
// we always have to loop at least twice
}while (loopCount < 2 || orderMargin > absFinalOrderMargin);
// add directionality back in
return(new GetMaximumOrderQuantityResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
/// <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>
/// <remarks>This implementation ensures that our resulting holdings is less than the target, but it does not necessarily
/// maximize the holdings to meet the target. To do that we need a minimizing algorithm that reduces the difference between
/// the target final margin value and the target holdings margin.</remarks>
public virtual GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
// this is expensive so lets fetch it once
var totalPortfolioValue = parameters.Portfolio.TotalPortfolioValue;
// adjust target buying power to comply with required Free Buying Power Percent
var signedTargetFinalMarginValue =
parameters.TargetBuyingPower * (totalPortfolioValue - totalPortfolioValue * RequiredFreeBuyingPowerPercent);
// if targeting zero, simply return the negative of the quantity
if (signedTargetFinalMarginValue == 0)
{
return(new GetMaximumOrderQuantityResult(-parameters.Security.Holdings.Quantity, string.Empty, false));
}
// we use initial margin requirement here to avoid the duplicate PortfolioTarget.Percent situation:
// PortfolioTarget.Percent(1) -> fills -> PortfolioTarget.Percent(1) _could_ detect free buying power if we use Maintenance requirement here
var currentSignedUsedMargin = this.GetInitialMarginRequirement(parameters.Security, parameters.Security.Holdings.Quantity);
// remove directionality, we'll work in the land of absolutes
var absFinalOrderMargin = Math.Abs(signedTargetFinalMarginValue - currentSignedUsedMargin);
var direction = signedTargetFinalMarginValue > currentSignedUsedMargin ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var utcTime = parameters.Security.LocalTime.ConvertToUtc(parameters.Security.Exchange.TimeZone);
// determine the margin required for 1 unit, positive since we are working with absolutes
var absUnitMargin = this.GetInitialMarginRequirement(parameters.Security, 1);
if (absUnitMargin == 0)
{
return(new GetMaximumOrderQuantityResult(0, parameters.Security.Symbol.GetZeroPriceMessage()));
}
var minimumValue = absUnitMargin * parameters.Security.SymbolProperties.LotSize;
if (minimumValue > absFinalOrderMargin)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = $"The target order margin {absFinalOrderMargin} is less than the minimum {minimumValue}.";
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// compute the initial order quantity
var absOrderQuantity = Math.Abs(GetAmountToOrder(currentSignedUsedMargin, signedTargetFinalMarginValue, absUnitMargin,
parameters.Security.SymbolProperties.LotSize));
if (absOrderQuantity == 0)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
"and has been rounded to zero.";
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// Use the following loop to converge on a value that places us under our target allocation when adjusted for fees
var lastOrderQuantity = 0m; // For safety check
var signedTargetHoldingsMargin = ((direction == OrderDirection.Sell ? -1 : 1) * absOrderQuantity + parameters.Security.Holdings.Quantity) * absUnitMargin;
decimal orderFees = 0;
do
{
// If our order target holdings is larger than our target margin allocated we need to recalculate our order size
if (Math.Abs(signedTargetHoldingsMargin) > Math.Abs(signedTargetFinalMarginValue))
{
absOrderQuantity = Math.Abs(GetAmountToOrder(currentSignedUsedMargin, signedTargetFinalMarginValue, absUnitMargin,
parameters.Security.SymbolProperties.LotSize, absOrderQuantity * (direction == OrderDirection.Sell ? -1 : 1)));
}
if (absOrderQuantity <= 0)
{
var sign = direction == OrderDirection.Buy ? 1 : -1;
return(new GetMaximumOrderQuantityResult(0,
Invariant($"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} ") +
Invariant($"and has been rounded to zero.Target order margin {absFinalOrderMargin * sign}. Order fees ") +
Invariant($"{orderFees}. Order quantity {absOrderQuantity * sign}. Margin unit {absUnitMargin}."),
false
));
}
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, absOrderQuantity, utcTime);
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
// Update our target portfolio margin allocated when considering fees, then calculate the new FinalOrderMargin
signedTargetFinalMarginValue = (totalPortfolioValue - orderFees - totalPortfolioValue * RequiredFreeBuyingPowerPercent) * parameters.TargetBuyingPower;
absFinalOrderMargin = Math.Abs(signedTargetFinalMarginValue - currentSignedUsedMargin);
// Start safe check after first loop
if (lastOrderQuantity == absOrderQuantity)
{
var sign = direction == OrderDirection.Buy ? 1 : -1;
var message =
Invariant($"GetMaximumOrderQuantityForTargetBuyingPower failed to converge on the target margin: {signedTargetFinalMarginValue}; ") +
Invariant($"the following information can be used to reproduce the issue. Total Portfolio Cash: {parameters.Portfolio.Cash}; ") +
Invariant($"Leverage: {parameters.Security.Leverage}; Order Fee: {orderFees}; Lot Size: {parameters.Security.SymbolProperties.LotSize}; ") +
Invariant($"Per Unit Margin: {absUnitMargin}; Current Holdings: {parameters.Security.Holdings}; Target Percentage: %{parameters.TargetBuyingPower * 100}; ") +
Invariant($"Current Order Target Margin: {absFinalOrderMargin * sign}; Current Order Margin: {absOrderQuantity * absUnitMargin * sign}");
throw new ArgumentException(message);
}
lastOrderQuantity = absOrderQuantity;
// Update our target holdings margin
signedTargetHoldingsMargin = ((direction == OrderDirection.Sell ? -1 : 1) * absOrderQuantity + parameters.Security.Holdings.Quantity) * absUnitMargin;
}
// Ensure that our target holdings margin will be less than or equal to our target allocated margin
while (Math.Abs(signedTargetHoldingsMargin) > Math.Abs(signedTargetFinalMarginValue));
// add directionality back in
return(new GetMaximumOrderQuantityResult((direction == OrderDirection.Sell ? -1 : 1) * absOrderQuantity));
}