/// <summary>
/// Checks if <paramref name="lastOrderQuantity"/> equals <paramref name="positionGroupQuantity"/> indicating we got the same result on this iteration
/// meaning we're unable to converge through iteration. This function was split out to support derived types using the same error message as well
/// as removing the added noise of the check and message creation.
/// </summary>
protected static bool UnableToConverge(decimal lastOrderQuantity, decimal positionGroupQuantity, IPositionGroup groupUnit, SecurityPortfolioManager portfolio, decimal target, decimal orderMargin, decimal absUnitMargin, decimal orderFees, out ArgumentException error)
{
// determine if we're unable to converge by seeing if quantity estimate hasn't changed
if (lastOrderQuantity == positionGroupQuantity)
{
string message;
if (groupUnit.Count == 1)
{
// single security group
var security = portfolio.Securities[groupUnit.Single().Symbol];
message = "GetMaximumPositionGroupOrderQuantityForTargetBuyingPower failed to converge to target order margin " +
Invariant($"{target}. Current order margin is {orderMargin}. Order quantity {positionGroupQuantity}. ") +
Invariant($"Lot size is {security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol ") +
$"{security.Symbol}. Margin unit {absUnitMargin}.";
}
else
{
message = "GetMaximumPositionGroupOrderQuantityForTargetBuyingPower failed to converge to target order margin " +
Invariant($"{target}. Current order margin is {orderMargin}. Order quantity {positionGroupQuantity}. ") +
Invariant($"Position Group Unit is {groupUnit.Key}. Order fees {orderFees}. Position Group Name ") +
$"{groupUnit.GetUserFriendlyName()}. Margin unit {absUnitMargin}.";
}
error = new ArgumentException(message);
return(true);
}
error = null;
return(false);
}
/// <summary>
/// Gets a user friendly name for the provided <paramref name="group"/>
/// </summary>
public static string GetUserFriendlyName(this IPositionGroup group)
{
if (group.Count == 1)
{
return(group.Single().Symbol.ToString());
}
return(string.Join("|", group.Select(p => p.Symbol.ToString())));
}