/// <summary>
/// Resolves the position groups that exist within the specified collection of positions.
/// </summary>
/// <param name="positions">The collection of positions</param>
/// <returns>An enumerable of position groups</returns>
public PositionGroupCollection Resolve(PositionCollection positions)
{
var result = new PositionGroupCollection(positions
.Select(position => new PositionGroup(_buyingPowerModel, position)).ToList()
);
positions.Clear();
return(result);
}
/// <summary>
/// Merges this position group collection with the provided <paramref name="other"/> collection.
/// </summary>
public PositionGroupCollection CombineWith(PositionGroupCollection other)
{
var result = this;
foreach (var positionGroup in other)
{
result = result.Add(positionGroup);
}
return(result);
}
/// <summary>
/// Resolves the algorithm's position groups from all of its holdings
/// </summary>
private void ResolvePositionGroups()
{
if (_requiresGroupResolution)
{
_requiresGroupResolution = false;
// TODO : Replace w/ special IPosition impl to always equal security.Quantity and we'll
// use them explicitly for resolution collection so we don't do this each time
var investedPositions = _securities.Where(kvp => kvp.Value.Invested).Select(kvp => (IPosition) new Position(kvp.Value));
var positionsCollection = new PositionCollection(investedPositions);
Groups = ResolvePositionGroups(positionsCollection);
}
}
/// <summary>
/// Attempts to group the specified positions into a new <see cref="IPositionGroup"/> using an
/// appropriate <see cref="IPositionGroupBuyingPowerModel"/> for position groups created via this
/// resolver.
/// </summary>
/// <param name="newPositions">The positions to be grouped</param>
/// <param name="currentPositions">The currently grouped positions</param>
/// <param name="group">The grouped positions when this resolver is able to, otherwise null</param>
/// <returns>True if this resolver can group the specified positions, otherwise false</returns>
public bool TryGroup(IReadOnlyCollection <IPosition> newPositions, PositionGroupCollection currentPositions, out IPositionGroup group)
{
foreach (var resolver in _resolvers)
{
if (resolver.TryGroup(newPositions, currentPositions, out group))
{
return(true);
}
}
group = null;
return(false);
}
/// <summary>
/// Attempts to group the specified positions into a new <see cref="IPositionGroup"/> using an
/// appropriate <see cref="IPositionGroupBuyingPowerModel"/> for position groups created via this
/// resolver.
/// </summary>
/// <param name="newPositions">The positions to be grouped</param>
/// <param name="currentPositions">The currently grouped positions</param>
/// <param name="group">The grouped positions when this resolver is able to, otherwise null</param>
/// <returns>True if this resolver can group the specified positions, otherwise false</returns>
public bool TryGroup(IReadOnlyCollection <IPosition> newPositions, PositionGroupCollection currentPositions, out IPositionGroup group)
{
// we can only create default groupings containing a single security
if (newPositions.Count != 1)
{
group = null;
return(false);
}
var key = new PositionGroupKey(_buyingPowerModel, newPositions);
group = new PositionGroup(key, newPositions.ToDictionary(p => p.Symbol));
return(true);
}
/// <summary>
/// Determines the position groups that would be evaluated for grouping of the specified
/// positions were passed into the <see cref="Resolve"/> method.
/// </summary>
/// <remarks>
/// This function allows us to determine a set of impacted groups and run the resolver on just
/// those groups in order to support what-if analysis
/// </remarks>
/// <param name="groups">The existing position groups</param>
/// <param name="positions">The positions being changed</param>
/// <returns>An enumerable containing the position groups that could be impacted by the specified position changes</returns>
public IEnumerable <IPositionGroup> GetImpactedGroups(PositionGroupCollection groups, IReadOnlyCollection <IPosition> positions)
{
foreach (var resolver in _resolvers)
{
var seen = new HashSet <PositionGroupKey>();
foreach (var group in resolver.GetImpactedGroups(groups, positions))
{
if (seen.Add(group.Key))
{
yield return(group);
}
}
}
}
/// <summary>
/// Resolves the position groups that exist within the specified collection of positions.
/// </summary>
/// <param name="positions">The collection of positions</param>
/// <returns>An enumerable of position groups</returns>
public PositionGroupCollection Resolve(PositionCollection positions)
{
var result = PositionGroupCollection.Empty;
var groups = GetPositionGroups(positions).ToList();
if (groups.Count != 0)
{
result = new PositionGroupCollection(groups);
// we are expected to remove any positions which we resolved into a position group
positions.Remove(result);
}
return(result);
}
/// <summary>
/// Attempts to group the specified positions into a new <see cref="IPositionGroup"/> using an
/// appropriate <see cref="IPositionGroupBuyingPowerModel"/> for position groups created via this
/// resolver.
/// </summary>
/// <param name="newPositions">The positions to be grouped</param>
/// <param name="currentPositions">The currently grouped positions</param>
/// <param name="group">The grouped positions when this resolver is able to, otherwise null</param>
/// <returns>True if this resolver can group the specified positions, otherwise false</returns>
public bool TryGroup(IReadOnlyCollection <IPosition> newPositions, PositionGroupCollection currentPositions, out IPositionGroup @group)
{
var impactedGroups = GetImpactedGroups(currentPositions, newPositions);
var positionsToConsiderInNewGroup = impactedGroups.SelectMany(positionGroup => positionGroup.Positions);
@group = GetPositionGroups(newPositions.Concat(positionsToConsiderInNewGroup)).Where(positionGroup =>
{
// from the resolved position groups we will take those which use our buying power model and which are related to the new positions to be executed
if (positionGroup.BuyingPowerModel.GetType() == typeof(OptionStrategyPositionGroupBuyingPowerModel))
{
return(newPositions.Any(position => positionGroup.TryGetPosition(position.Symbol, out position)));
}
return(false);
}).FirstOrDefault();
return(@group != null);
}
/// <summary>
/// Initializes a new instance of the <see cref="PositionManager"/> class
/// </summary>
/// <param name="securities">The algorithm's security manager</param>
public PositionManager(SecurityManager securities)
{
_securities = securities;
Groups = PositionGroupCollection.Empty;
_defaultModel = new SecurityPositionGroupBuyingPowerModel();
_resolver = new CompositePositionGroupResolver(new OptionStrategyPositionGroupResolver(securities),
new SecurityPositionGroupResolver(_defaultModel));
// we must be notified each time our holdings change, so each time a security is added, we
// want to bind to its SecurityHolding.QuantityChanged event so we can trigger the resolver
securities.CollectionChanged += (sender, args) =>
{
var items = args.NewItems ?? new List <object>();
if (args.OldItems != null)
{
foreach (var item in args.OldItems)
{
items.Add(item);
}
}
foreach (Security security in items)
{
if (args.Action == NotifyCollectionChangedAction.Add)
{
security.Holdings.QuantityChanged += HoldingsOnQuantityChanged;
if (security.Invested)
{
// if this security has holdings then we'll need to resolve position groups
_requiresGroupResolution = true;
}
}
else if (args.Action == NotifyCollectionChangedAction.Remove)
{
security.Holdings.QuantityChanged -= HoldingsOnQuantityChanged;
if (security.Invested)
{
// only trigger group resolution if we had holdings in the removed security
_requiresGroupResolution = true;
}
}
}
};
}
/// <summary>
/// Determines the position groups that would be evaluated for grouping of the specified
/// positions were passed into the <see cref="Resolve"/> method.
/// </summary>
/// <remarks>
/// This function allows us to determine a set of impacted groups and run the resolver on just
/// those groups in order to support what-if analysis
/// </remarks>
/// <param name="groups">The existing position groups</param>
/// <param name="positions">The positions being changed</param>
/// <returns>An enumerable containing the position groups that could be impacted by the specified position changes</returns>
public IEnumerable <IPositionGroup> GetImpactedGroups(PositionGroupCollection groups, IReadOnlyCollection <IPosition> positions)
{
var symbolsSet = positions.Where(position => position.Symbol.SecurityType.HasOptions() || position.Symbol.SecurityType.IsOption())
.SelectMany(position =>
{
return(position.Symbol.HasUnderlying ? new[] { position.Symbol, position.Symbol.Underlying } : new[] { position.Symbol });
})
.ToHashSet();
if (symbolsSet.Count == 0)
{
return(Enumerable.Empty <IPositionGroup>());
}
// will select groups for which we actually hold some security quantity and any of the changed symbols or underlying are in it if they are options
return(groups.Where(group => group.Quantity != 0 &&
group.Positions.Any(position1 => symbolsSet.Contains(position1.Symbol) ||
position1.Symbol.HasUnderlying && position1.Symbol.SecurityType.IsOption() && symbolsSet.Contains(position1.Symbol.Underlying))));
}
/// <summary>
/// Determines the position groups that would be evaluated for grouping of the specified
/// positions were passed into the <see cref="IPositionGroupResolver.Resolve"/> method.
/// </summary>
/// <remarks>
/// This function allows us to determine a set of impacted groups and run the resolver on just
/// those groups in order to support what-if analysis
/// </remarks>
/// <param name="groups">The existing position groups</param>
/// <param name="positions">The positions being changed</param>
/// <returns>An enumerable containing the position groups that could be impacted by the specified position changes</returns>
public IEnumerable <IPositionGroup> GetImpactedGroups(
PositionGroupCollection groups,
IReadOnlyCollection <IPosition> positions
)
{
var seen = new HashSet <PositionGroupKey>();
foreach (var position in positions)
{
IReadOnlyCollection <IPositionGroup> groupsForSymbol;
if (!groups.TryGetGroups(position.Symbol, out groupsForSymbol))
{
continue;
}
foreach (var group in groupsForSymbol)
{
if (seen.Add(group.Key))
{
yield return(group);
}
}
}
}