/// <summary>
/// Gets the margin available for trading a specific symbol in a specific direction.
/// </summary>
/// <param name="symbol">The symbol to compute margin remaining for</param>
/// <param name="direction">The order/trading direction</param>
/// <returns>The maximum order size that is currently executable in the specified direction</returns>
public decimal GetMarginRemaining(Symbol symbol, OrderDirection direction = OrderDirection.Buy)
{
var security = Securities[symbol];
var context = new BuyingPowerContext(this, security, direction);
return(security.BuyingPowerModel.GetBuyingPower(context).Value);
}
/// <summary>
/// Gets the buying power available for a trade
/// </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="direction">The direction of the trade</param>
/// <returns>The buying power available for the trade</returns>
public static decimal GetBuyingPower(
this IBuyingPowerModel model,
SecurityPortfolioManager portfolio,
Security security,
OrderDirection direction
)
{
var context = new BuyingPowerContext(portfolio, security, direction);
var buyingPower = model.GetBuyingPower(context);
// existing implementations assume certain non-account currency units, so return raw value
return(buyingPower.Value);
}
/// <summary>
/// Gets the buying power available for a trade
/// </summary>
/// <param name="context">A context object containing the algorithm's potrfolio, security, and order direction</param>
/// <returns>The buying power available for the trade</returns>
public override BuyingPower GetBuyingPower(BuyingPowerContext context)
{
var security = context.Security;
var portfolio = context.Portfolio;
var direction = context.Direction;
var baseCurrency = security as IBaseCurrencySymbol;
if (baseCurrency == null)
{
return(context.ResultInAccountCurrency(0m));
}
var baseCurrencyPosition = portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount;
var quoteCurrencyPosition = portfolio.CashBook[security.QuoteCurrency.Symbol].Amount;
// determine the unit price in terms of the quote currency
var unitPrice = new MarketOrder(security.Symbol, 1, DateTime.UtcNow).GetValue(security) / security.QuoteCurrency.ConversionRate;
if (unitPrice == 0)
{
return(context.ResultInAccountCurrency(0m));
}
// NOTE: This is returning in units of the BASE currency
if (direction == OrderDirection.Buy)
{
// invert units for math, 6500USD per BTC, currency pairs aren't real fractions
// (USD)/(BTC/USD) => 10kUSD/ (6500 USD/BTC) => 10kUSD * (1BTC/6500USD) => ~ 1.5BTC
return(context.Result(quoteCurrencyPosition / unitPrice, baseCurrency.BaseCurrencySymbol));
}
if (direction == OrderDirection.Sell)
{
return(context.Result(baseCurrencyPosition, baseCurrency.BaseCurrencySymbol));
}
return(context.ResultInAccountCurrency(0m));
}
/// <summary>
/// Gets the buying power available for a trade
/// </summary>
/// <param name="context">A context object containing the algorithm's potrfolio, security, and order direction</param>
/// <returns>The buying power available for the trade</returns>
public virtual BuyingPower GetBuyingPower(BuyingPowerContext context)
{
var marginRemaining = GetMarginRemaining(context.Portfolio, context.Security, context.Direction);
return(context.ResultInAccountCurrency(marginRemaining));
}
