/// <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>
/// 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(
$"Null order ticket for id: {parameters.Order.Id}"
));
}
if (parameters.Order.Type == OrderType.OptionExercise)
{
// for option assignment and exercise orders we look into the requirements to process the underlying security transaction
var option = (Option.Option)parameters.Security;
var underlying = option.Underlying;
if (option.IsAutoExercised(underlying.Close) && underlying.IsTradable)
{
var quantity = option.GetExerciseQuantity(parameters.Order.Quantity);
var newOrder = new LimitOrder
{
Id = parameters.Order.Id,
Time = parameters.Order.Time,
LimitPrice = option.StrikePrice,
Symbol = underlying.Symbol,
Quantity = option.Symbol.ID.OptionRight == OptionRight.Call ? quantity : -quantity
};
// we continue with this call for underlying
return(underlying.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
parameters.ForUnderlying(newOrder)
));
}
return(parameters.Sufficient());
}
// When order only reduces or closes a security position, capital is always sufficient
if (parameters.Security.Holdings.Quantity * parameters.Order.Quantity < 0 && Math.Abs(parameters.Security.Holdings.Quantity) >= Math.Abs(parameters.Order.Quantity))
{
return(parameters.Sufficient());
}
var freeMargin = GetMarginRemaining(parameters.Portfolio, parameters.Security, parameters.Order.Direction);
var initialMarginRequiredForOrder = GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(
parameters.Portfolio.CashBook, parameters.Security, parameters.Order
));
// pro-rate the initial margin required for order based on how much has already been filled
var percentUnfilled = (Math.Abs(parameters.Order.Quantity) - Math.Abs(ticket.QuantityFilled)) / Math.Abs(parameters.Order.Quantity);
var initialMarginRequiredForRemainderOfOrder = percentUnfilled * initialMarginRequiredForOrder;
if (Math.Abs(initialMarginRequiredForRemainderOfOrder) > freeMargin)
{
return(parameters.Insufficient(Invariant($"Id: {parameters.Order.Id}, ") +
Invariant($"Initial Margin: {initialMarginRequiredForRemainderOfOrder.Normalize()}, ") +
Invariant($"Free Margin: {freeMargin.Normalize()}")
));
}
return(parameters.Sufficient());
}
