/// <summary>
/// Get the maximum market order quantity to obtain a position with a given value in account currency
/// </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="target">The target percent holdings</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public static GetMaximumOrderQuantityForTargetValueResult GetMaximumOrderQuantityForTargetValue(
this IBuyingPowerModel model,
SecurityPortfolioManager portfolio,
Security security,
decimal target
)
{
var parameters = new GetMaximumOrderQuantityForTargetValueParameters(portfolio, security, target);
return(model.GetMaximumOrderQuantityForTargetValue(parameters));
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given value in account currency.
/// Will not take into account buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target percentage holdings</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public virtual GetMaximumOrderQuantityForTargetValueResult GetMaximumOrderQuantityForTargetValue(GetMaximumOrderQuantityForTargetValueParameters parameters)
{
// adjust target portfolio value to comply with required Free Buying Power Percent
var targetPortfolioValue =
parameters.Target * (parameters.Portfolio.TotalPortfolioValue - parameters.Portfolio.TotalPortfolioValue * RequiredFreeBuyingPowerPercent);
// if targeting zero, simply return the negative of the quantity
if (targetPortfolioValue == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(-parameters.Security.Holdings.Quantity, string.Empty, false));
}
var currentHoldingsValue = parameters.Security.Holdings.HoldingsValue;
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - currentHoldingsValue);
var direction = targetPortfolioValue > currentHoldingsValue ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = new MarketOrder(parameters.Security.Symbol, 1, DateTime.UtcNow).GetValue(parameters.Security);
if (unitPrice == 0)
{
var reason = $"The price of the {parameters.Security.Symbol.Value} security is zero because it does not have any market " +
"data yet. When the security price is set this security will be ready for trading.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// calculate the total margin available
var marginRemaining = GetMarginRemaining(parameters.Portfolio, parameters.Security, direction);
if (marginRemaining <= 0)
{
var reason = "The portfolio does not have enough margin available.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// continue iterating while we do not have enough margin for the order
decimal orderValue = 0;
decimal orderFees = 0;
// compute the initial order quantity
var orderQuantity = targetOrderValue / unitPrice;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
var reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
"and has been rounded to zero.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason, false));
}
var loopCount = 0;
// Just in case...
var lastOrderQuantity = 0m;
do
{
// Each loop will reduce the order quantity based on the difference between orderValue and targetOrderValue
if (orderValue > targetOrderValue)
{
var currentOrderValuePerUnit = orderValue / orderQuantity;
var amountOfOrdersToRemove = (orderValue - targetOrderValue) / currentOrderValuePerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always substract at leat 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
if (orderQuantity <= 0)
{
var reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
$"and has been rounded to zero.Target order value {targetOrderValue}. Order fees " +
$"{orderFees}. Order quantity {orderQuantity}.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, DateTime.UtcNow);
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
// The TPV, take out the fees(unscaled) => yields available value for trading(less fees)
// then scale that by the target -- finally remove currentHoldingsValue to get targetOrderValue
targetOrderValue = Math.Abs(
(parameters.Portfolio.TotalPortfolioValue - orderFees - parameters.Portfolio.TotalPortfolioValue * RequiredFreeBuyingPowerPercent)
* parameters.Target - currentHoldingsValue
);
// After the first loop we need to recalculate order quantity since now we have fees included
if (loopCount == 0)
{
// re compute the initial order quantity
orderQuantity = targetOrderValue / unitPrice;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
else
{
// Start safe check after first loop
if (lastOrderQuantity == orderQuantity)
{
var message = "GetMaximumOrderQuantityForTargetValue failed to converge to target order value " +
$"{targetOrderValue}. Current order value is {orderValue}. Order quantity {orderQuantity}. " +
$"Lot size is {parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol " +
$"{parameters.Security.Symbol}";
throw new Exception(message);
}
lastOrderQuantity = orderQuantity;
}
orderValue = orderQuantity * unitPrice;
loopCount++;
// we always have to loop at least twice
}while (loopCount < 2 || orderValue > targetOrderValue);
// add directionality back in
return(new GetMaximumOrderQuantityForTargetValueResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given value in account currency. Will not take into account buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target percentage holdings</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public override GetMaximumOrderQuantityForTargetValueResult GetMaximumOrderQuantityForTargetValue(GetMaximumOrderQuantityForTargetValueParameters parameters)
{
var targetPortfolioValue = parameters.Target * parameters.Portfolio.TotalPortfolioValue;
// no shorting allowed
if (targetPortfolioValue < 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, "The cash model does not allow shorting."));
}
var baseCurrency = parameters.Security as IBaseCurrencySymbol;
if (baseCurrency == null)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, "The security type must be SecurityType.Crypto or SecurityType.Forex."));
}
// if target value is zero, return amount of base currency available to sell
if (targetPortfolioValue == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(-parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount));
}
// convert base currency cash to account currency
var baseCurrencyPosition = parameters.Portfolio.CashBook.ConvertToAccountCurrency(
parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount,
baseCurrency.BaseCurrencySymbol);
// convert quote currency cash to account currency
var quoteCurrencyPosition = parameters.Portfolio.CashBook.ConvertToAccountCurrency(
parameters.Portfolio.CashBook[parameters.Security.QuoteCurrency.Symbol].Amount,
parameters.Security.QuoteCurrency.Symbol);
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - baseCurrencyPosition);
var direction = targetPortfolioValue > baseCurrencyPosition ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = direction == OrderDirection.Buy ? parameters.Security.AskPrice : parameters.Security.BidPrice;
unitPrice *= parameters.Security.QuoteCurrency.ConversionRate * parameters.Security.SymbolProperties.ContractMultiplier;
if (unitPrice == 0)
{
if (parameters.Security.QuoteCurrency.ConversionRate == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The internal cash feed required for converting {parameters.Security.QuoteCurrency.Symbol} to {CashBook.AccountCurrency} does not have any data yet (or market may be closed)."));
}
if (parameters.Security.SymbolProperties.ContractMultiplier == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The contract multiplier for the {parameters.Security.Symbol.Value} security is zero. The symbol properties database may be out of date."));
}
// security.Price == 0
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The price of the {parameters.Security.Symbol.Value} security is zero because it does not have any market data yet. When the security price is set this security will be ready for trading."));
}
// calculate the total cash available
var cashRemaining = direction == OrderDirection.Buy ? quoteCurrencyPosition : baseCurrencyPosition;
var currency = direction == OrderDirection.Buy ? parameters.Security.QuoteCurrency.Symbol : baseCurrency.BaseCurrencySymbol;
if (cashRemaining <= 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The portfolio does not hold any {currency} for the order."));
}
// continue iterating while we do not have enough cash for the order
decimal orderFees = 0;
decimal currentOrderValue = 0;
// compute the initial order quantity
var orderQuantity = targetOrderValue / unitPrice;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero.", false));
}
// Just in case...
var lastOrderQuantity = 0m;
do
{
// Each loop will reduce the order quantity based on the difference between
// (cashRequired + orderFees) and targetOrderValue
if (currentOrderValue > targetOrderValue)
{
var currentOrderValuePerUnit = currentOrderValue / orderQuantity;
var amountOfOrdersToRemove = (currentOrderValue - targetOrderValue) / currentOrderValuePerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always substract at leat 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
}
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity <= 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(0, $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero." +
$"Target order value {targetOrderValue}. Order fees {orderFees}. Order quantity {orderQuantity}."));
}
if (lastOrderQuantity == orderQuantity)
{
throw new Exception($"GetMaximumOrderQuantityForTargetValue failed to converge to target order value {targetOrderValue}. " +
$"Current order value is {currentOrderValue}. Order quantity {orderQuantity}. Lot size is " +
$"{parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol {parameters.Security.Symbol}");
}
lastOrderQuantity = orderQuantity;
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, DateTime.UtcNow);
var orderValue = orderQuantity * unitPrice;
orderFees = parameters.Security.FeeModel.GetOrderFee(parameters.Security, order);
currentOrderValue = orderValue + orderFees;
} while (currentOrderValue > targetOrderValue);
// add directionality back in
return(new GetMaximumOrderQuantityForTargetValueResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
