private HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters, OrderTicket ticket,
decimal?freeMarginToUse = null, decimal?initialMarginRequired = null)
{
// When order only reduces or closes a security position, capital is always sufficient
if (parameters.Security.Holdings.Quantity * parameters.Order.Quantity < 0 && Math.Abs(parameters.Security.Holdings.Quantity) >= Math.Abs(parameters.Order.Quantity))
{
return(parameters.Sufficient());
}
var freeMargin = freeMarginToUse ?? GetMarginRemaining(parameters.Portfolio, parameters.Security, parameters.Order.Direction);
var initialMarginRequiredForOrder = initialMarginRequired ?? GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(
parameters.Portfolio.CashBook, parameters.Security, parameters.Order
));
// pro-rate the initial margin required for order based on how much has already been filled
var percentUnfilled = (Math.Abs(parameters.Order.Quantity) - Math.Abs(ticket.QuantityFilled)) / Math.Abs(parameters.Order.Quantity);
var initialMarginRequiredForRemainderOfOrder = percentUnfilled * initialMarginRequiredForOrder;
if (Math.Abs(initialMarginRequiredForRemainderOfOrder) > freeMargin)
{
return(parameters.Insufficient(Invariant($"Id: {parameters.Order.Id}, ") +
Invariant($"Initial Margin: {initialMarginRequiredForRemainderOfOrder.Normalize()}, ") +
Invariant($"Free Margin: {freeMargin.Normalize()}")
));
}
return(parameters.Sufficient());
}
/// <summary>
/// Check if there is sufficient buying power to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>Returns buying power information for an order</returns>
public virtual HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters)
{
// short circuit the div 0 case
if (parameters.Order.Quantity == 0)
{
return(parameters.Sufficient());
}
var ticket = parameters.Portfolio.Transactions.GetOrderTicket(parameters.Order.Id);
if (ticket == null)
{
return(parameters.Insufficient(
$"Null order ticket for id: {parameters.Order.Id}"
));
}
if (parameters.Order.Type == OrderType.OptionExercise)
{
// for option assignment and exercise orders we look into the requirements to process the underlying security transaction
var option = (Option.Option)parameters.Security;
var underlying = option.Underlying;
if (option.IsAutoExercised(underlying.Close) && underlying.IsTradable)
{
var quantity = option.GetExerciseQuantity(parameters.Order.Quantity);
var newOrder = new LimitOrder
{
Id = parameters.Order.Id,
Time = parameters.Order.Time,
LimitPrice = option.StrikePrice,
Symbol = underlying.Symbol,
Quantity = quantity
};
// we continue with this call for underlying
var parametersForUnderlying = parameters.ForUnderlying(newOrder);
var freeMargin = underlying.BuyingPowerModel.GetBuyingPower(parametersForUnderlying.Portfolio, parametersForUnderlying.Security, parametersForUnderlying.Order.Direction);
// we add the margin used by the option itself
freeMargin += GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(option, -parameters.Order.Quantity));
var initialMarginRequired = underlying.BuyingPowerModel.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(parameters.Portfolio.CashBook, underlying, newOrder));
return(HasSufficientBuyingPowerForOrder(parametersForUnderlying, ticket, freeMargin, initialMarginRequired));
}
return(parameters.Sufficient());
}
return(HasSufficientBuyingPowerForOrder(parameters, ticket));
}
/// <summary>
/// Check if there is sufficient buying power to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>Returns buying power information for an order</returns>
public override HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters)
{
var baseCurrency = parameters.Security as IBaseCurrencySymbol;
if (baseCurrency == null)
{
return(parameters.Insufficient($"The '{parameters.Security.Symbol.Value}' security is not supported by this cash model. Currently only SecurityType.Crypto and SecurityType.Forex are supported."));
}
decimal totalQuantity;
decimal orderQuantity;
if (parameters.Order.Direction == OrderDirection.Buy)
{
// quantity available for buying in quote currency
totalQuantity = parameters.Portfolio.CashBook[parameters.Security.QuoteCurrency.Symbol].Amount;
orderQuantity = parameters.Order.AbsoluteQuantity * GetOrderPrice(parameters.Security, parameters.Order);
}
else
{
// quantity available for selling in base currency
totalQuantity = parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount;
orderQuantity = parameters.Order.AbsoluteQuantity;
}
// calculate reserved quantity for open orders (in quote or base currency depending on direction)
var openOrdersReservedQuantity = GetOpenOrdersReservedQuantity(parameters.Portfolio, parameters.Security, parameters.Order);
if (parameters.Order.Direction == OrderDirection.Sell)
{
// can sell available and non-reserved quantities
if (orderQuantity <= totalQuantity - openOrdersReservedQuantity)
{
return(parameters.Sufficient());
}
return(parameters.Insufficient(Invariant($"Your portfolio holds {totalQuantity.Normalize()} {baseCurrency.BaseCurrencySymbol}, {openOrdersReservedQuantity.Normalize()} {baseCurrency.BaseCurrencySymbol} of which are reserved for open orders, but your Sell order is for {orderQuantity.Normalize()} {baseCurrency.BaseCurrencySymbol}. Cash Modeling trading does not permit short holdings so ensure you only sell what you have, including any additional open orders.")));
}
if (parameters.Order.Type == OrderType.Market)
{
// include existing holdings (in quote currency)
var holdingsValue =
parameters.Portfolio.CashBook.Convert(
parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount, baseCurrency.BaseCurrencySymbol, parameters.Security.QuoteCurrency.Symbol);
// find a target value in account currency for buy market orders
var targetValue =
parameters.Portfolio.CashBook.ConvertToAccountCurrency(totalQuantity - openOrdersReservedQuantity + holdingsValue,
parameters.Security.QuoteCurrency.Symbol);
// convert the target into a percent in relation to TPV
var targetPercent = parameters.Portfolio.TotalPortfolioValue == 0 ? 0 : targetValue / parameters.Portfolio.TotalPortfolioValue;
// maximum quantity that can be bought (in quote currency)
var maximumQuantity =
GetMaximumOrderQuantityForTargetBuyingPower(
new GetMaximumOrderQuantityForTargetBuyingPowerParameters(parameters.Portfolio, parameters.Security, targetPercent, 0)).Quantity *GetOrderPrice(parameters.Security, parameters.Order);
if (orderQuantity <= Math.Abs(maximumQuantity))
{
return(parameters.Sufficient());
}
return(parameters.Insufficient(Invariant($"Your portfolio holds {totalQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol}, {openOrdersReservedQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol} of which are reserved for open orders, but your Buy order is for {parameters.Order.AbsoluteQuantity.Normalize()} {baseCurrency.BaseCurrencySymbol}. Your order requires a total value of {orderQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol}, but only a total value of {Math.Abs(maximumQuantity).Normalize()} {parameters.Security.QuoteCurrency.Symbol} is available.")));
}
// for limit orders, add fees to the order cost
var orderFee = 0m;
if (parameters.Order.Type == OrderType.Limit)
{
var fee = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
parameters.Order)).Value;
orderFee = parameters.Portfolio.CashBook.Convert(
fee.Amount,
fee.Currency,
parameters.Security.QuoteCurrency.Symbol);
}
if (orderQuantity <= totalQuantity - openOrdersReservedQuantity - orderFee)
{
return(parameters.Sufficient());
}
return(parameters.Insufficient(Invariant($"Your portfolio holds {totalQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol}, {openOrdersReservedQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol} of which are reserved for open orders, but your Buy order is for {parameters.Order.AbsoluteQuantity.Normalize()} {baseCurrency.BaseCurrencySymbol}. Your order requires a total value of {orderQuantity.Normalize()} {parameters.Security.QuoteCurrency.Symbol}, but only a total value of {(totalQuantity - openOrdersReservedQuantity - orderFee).Normalize()} {parameters.Security.QuoteCurrency.Symbol} is available.")));
}
/// <summary>
/// Check if there is sufficient buying power to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>Returns buying power information for an order</returns>
public virtual HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters)
{
// short circuit the div 0 case
if (parameters.Order.Quantity == 0)
{
return(parameters.Sufficient());
}
var ticket = parameters.Portfolio.Transactions.GetOrderTicket(parameters.Order.Id);
if (ticket == null)
{
return(parameters.Insufficient(
$"Null order ticket for id: {parameters.Order.Id}"
));
}
if (parameters.Order.Type == OrderType.OptionExercise)
{
// for option assignment and exercise orders we look into the requirements to process the underlying security transaction
var option = (Option.Option)parameters.Security;
var underlying = option.Underlying;
if (option.IsAutoExercised(underlying.Close) && underlying.IsTradable)
{
var quantity = option.GetExerciseQuantity(parameters.Order.Quantity);
var newOrder = new LimitOrder
{
Id = parameters.Order.Id,
Time = parameters.Order.Time,
LimitPrice = option.StrikePrice,
Symbol = underlying.Symbol,
Quantity = option.Symbol.ID.OptionRight == OptionRight.Call ? quantity : -quantity
};
// we continue with this call for underlying
return(underlying.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
parameters.ForUnderlying(newOrder)
));
}
return(parameters.Sufficient());
}
// When order only reduces or closes a security position, capital is always sufficient
if (parameters.Security.Holdings.Quantity * parameters.Order.Quantity < 0 && Math.Abs(parameters.Security.Holdings.Quantity) >= Math.Abs(parameters.Order.Quantity))
{
return(parameters.Sufficient());
}
var freeMargin = GetMarginRemaining(parameters.Portfolio, parameters.Security, parameters.Order.Direction);
var initialMarginRequiredForOrder = GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(
parameters.Portfolio.CashBook, parameters.Security, parameters.Order
));
// pro-rate the initial margin required for order based on how much has already been filled
var percentUnfilled = (Math.Abs(parameters.Order.Quantity) - Math.Abs(ticket.QuantityFilled)) / Math.Abs(parameters.Order.Quantity);
var initialMarginRequiredForRemainderOfOrder = percentUnfilled * initialMarginRequiredForOrder;
if (Math.Abs(initialMarginRequiredForRemainderOfOrder) > freeMargin)
{
return(parameters.Insufficient(Invariant($"Id: {parameters.Order.Id}, ") +
Invariant($"Initial Margin: {initialMarginRequiredForRemainderOfOrder.Normalize()}, ") +
Invariant($"Free Margin: {freeMargin.Normalize()}")
));
}
return(parameters.Sufficient());
}