/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
public InitialMargin GetInitialMarginRequiredForOrder(InitialMarginRequiredForOrderParameters parameters)
{
using (Py.GIL())
{
return((_model.GetInitialMarginRequiredForOrder(parameters) as PyObject)
.GetAndDispose <InitialMargin>());
}
}
/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
protected override decimal GetInitialMarginRequiredForOrder(
InitialMarginRequiredForOrderParameters parameters)
{
//Get the order value from the non-abstract order classes (MarketOrder, LimitOrder, StopMarketOrder)
//Market order is approximated from the current security price and set in the MarketOrder Method in QCAlgorithm.
var orderFees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security, parameters.Order));
var value = parameters.Order.GetValue(parameters.Security);
var orderValue = value * GetInitialMarginRequirement(parameters.Security, value);
return(orderValue + Math.Sign(orderValue) * orderFees.Value.Amount);
}
/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the order</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
protected override decimal GetInitialMarginRequiredForOrder(
InitialMarginRequiredForOrderParameters parameters)
{
//Get the order value from the non-abstract order classes (MarketOrder, LimitOrder, StopMarketOrder)
//Market order is approximated from the current security price and set in the MarketOrder Method in QCAlgorithm.
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
parameters.Order)).Value;
var feesInAccountCurrency = parameters.CurrencyConverter.
ConvertToAccountCurrency(fees).Amount;
var orderMargin = GetInitialMarginRequirement(parameters.Security, parameters.Order.Quantity);
return(orderMargin + Math.Sign(orderMargin) * feesInAccountCurrency);
}
public InitialMargin GetInitialMarginRequiredForOrder(InitialMarginRequiredForOrderParameters parameters)
{
reentry = true;
EnsureSecurityExists(parameters.Security);
var expected = SecurityModel.GetInitialMarginRequiredForOrder(parameters);
if (reentry)
{
return(expected);
}
var actual = PositionGroupModel.GetInitialMarginRequiredForOrder(new PositionGroupInitialMarginForOrderParameters(
Portfolio, new PositionGroup(PositionGroupModel, new Position(parameters.Security, parameters.Order.Quantity)), parameters.Order
));
Assert.AreEqual(expected.Value, actual.Value,
$"{PositionGroupModel.GetType().Name}:{nameof(GetInitialMarginRequiredForOrder)}"
);
reentry = false;
return(expected);
}
public new decimal GetInitialMarginRequiredForOrder(
InitialMarginRequiredForOrderParameters parameters)
{
return(base.GetInitialMarginRequiredForOrder(parameters).Value);
}
