/// <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>
/// Gets the margin currently allocated to the specified holding
/// </summary>
/// <param name="parameters">An object containing the security and holdings quantity/cost/value</param>
/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
public virtual MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
return(parameters.AbsoluteHoldingsValue * _maintenanceMarginRequirement);
}
/// <summary>
/// Gets the margin currently allocated to the specified holding
/// </summary>
/// <param name="model">The buying power model</param>
/// <param name="security">The security</param>
/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
public static decimal GetMaintenanceMargin(this IBuyingPowerModel model, Security security)
{
return(model.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(security)));
}