/// <summary>
/// Helper method to determine if the requested quantity is above the algorithm minimum order margin portfolio percentage
/// </summary>
/// <param name="portfolioManager">The algorithm's portfolio</param>
/// <param name="minimumOrderMarginPortfolioPercentage">Minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes</param>
/// <param name="absFinalOrderMargin">The calculated order margin value</param>
/// <remarks>If we are trading with negative margin remaining this method will return true always</remarks>
/// <returns>True if this order quantity is above the minimum requested</returns>
public static bool AboveMinimumOrderMarginPortfolioPercentage(SecurityPortfolioManager portfolioManager,
decimal minimumOrderMarginPortfolioPercentage,
decimal absFinalOrderMargin)
{
var minimumValue = portfolioManager.TotalPortfolioValue * minimumOrderMarginPortfolioPercentage;
if (minimumValue > absFinalOrderMargin
// if margin remaining is negative allow the order to pass so we can reduce the position
&& portfolioManager.GetMarginRemaining(portfolioManager.TotalPortfolioValue) > 0)
{
return(false);
}
return(true);
}
/// <summary>
/// Gets the margin cash available for a trade
/// </summary>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="direction">The direction of the trade</param>
/// <returns>The margin available for the trade</returns>
protected virtual decimal GetMarginRemaining(
SecurityPortfolioManager portfolio,
Security security,
OrderDirection direction
)
{
var totalPortfolioValue = portfolio.TotalPortfolioValue;
var result = portfolio.GetMarginRemaining(totalPortfolioValue);
if (direction != OrderDirection.Hold)
{
var holdings = security.Holdings;
//If the order is in the same direction as holdings, our remaining cash is our cash
//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
if (holdings.IsLong)
{
switch (direction)
{
case OrderDirection.Sell:
result +=
// portion of margin to close the existing position
GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security);
break;
}
}
else if (holdings.IsShort)
{
switch (direction)
{
case OrderDirection.Buy:
result +=
// portion of margin to close the existing position
GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security);
break;
}
}
}
result -= totalPortfolioValue * RequiredFreeBuyingPowerPercent;
return(result < 0 ? 0 : result);
}
