private int DecideBuyQuantity(float price, PositionDelta delta, Position?currentPos, float currentAskPrice)
{
IEnumerable <Order> existingBuyOrders = BrokerClient.GetOpenOrdersForSymbol(delta.Symbol)
.Where(order => order.Instruction == InstructionType.BUY_TO_OPEN);
if (existingBuyOrders.Count() >= _config.MaxNumOpenBuyOrdersForSymbol)
{
Log.Warning("Many buy orders encountered: {@BuyOrders}- skipping this order.", existingBuyOrders.ToList());
return(0);
}
float openBuyAlloc = AggregateBuyOrders(existingBuyOrders, currentAskPrice);
float currentPosTotalAlloc = openBuyAlloc + (currentPos != null
? currentPos.LongQuantity * currentPos.AveragePrice * 100
: 0);
int buyQuantity;
if (delta.DeltaType == DeltaType.NEW ||
delta.DeltaType == DeltaType.ADD && currentPosTotalAlloc == 0)
{
float deltaMarketValue = delta.Price * delta.Quantity * 100;
float percentOfMaxSize = deltaMarketValue / _config.LivePortfolioPositionMaxSize;
if (percentOfMaxSize > 1)
{
Log.Warning("New position in live portfolio exceeds expected max size. Delta {@Delta}", delta);
percentOfMaxSize = 1;
}
buyQuantity = (int)Math.Floor((percentOfMaxSize * _config.MyPositionMaxSize) / (price * 100));
}
else if (delta.DeltaType == DeltaType.ADD && currentPosTotalAlloc > 0)
{
float addAlloc = currentPosTotalAlloc * delta.Percent;
buyQuantity = (int)Math.Floor(addAlloc / (price * 100));
}
else
{
Log.Warning("Invalid delta type supplied to DecideBuyQuantity function. Delta {@Delta}", delta);
return(0);
}
float addedAlloc = buyQuantity * price * 100;
float remainingFundsForTrading = BrokerClient.GetAvailableFundsForTrading() - addedAlloc;
float newTotalAllocThisPos = currentPosTotalAlloc + addedAlloc;
if (newTotalAllocThisPos > _config.MyPositionMaxSize)
{
Log.Information("Buying " + buyQuantity + " {Symbol} would exceed maximum allocation of " + _config.MyPositionMaxSize.ToString("0.00"), delta.Symbol);
return(0);
}
else if (remainingFundsForTrading < _config.MinAvailableFundsForTrading)
{
Log.Information("Buying " + buyQuantity + " {Symbol} would put available funds below " + _config.MinAvailableFundsForTrading.ToString("0.00"), delta.Symbol);
return(0);
}
else
{
return(buyQuantity);
}
}
