public GetMaximumOrderQuantityResult GetMaximumOrderQuantityForDeltaBuyingPower(
GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters
)
{
EnsureSecurityExists(parameters.Security);
var expected = SecurityModel.GetMaximumOrderQuantityForDeltaBuyingPower(parameters);
if (reentry)
{
return(expected);
}
reentry = true;
var security = parameters.Security;
var positionGroup = Portfolio.Positions[new PositionGroupKey(PositionGroupModel, security)];
var actual = PositionGroupModel.GetMaximumLotsForDeltaBuyingPower(
new GetMaximumLotsForDeltaBuyingPowerParameters(
parameters.Portfolio,
positionGroup,
parameters.DeltaBuyingPower,
parameters.MinimumOrderMarginPortfolioPercentage,
parameters.SilenceNonErrorReasons
)
);
var lotSize = security.SymbolProperties.LotSize;
Assert.AreEqual(expected.IsError, actual.IsError,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForDeltaBuyingPower)}: " +
$"ExpectedQuantity: {expected.Quantity} ActualQuantity: {actual.NumberOfLots * lotSize} {Environment.NewLine}" +
$"ExpectedReason: {expected.Reason}{Environment.NewLine}" +
$"ActualReason: {actual.Reason}"
);
// we're not comparing group quantities, which is the number of position lots, but rather the implied
// position quantities resulting from having that many lots.
var resizedPositionGroup = positionGroup.WithQuantity(actual.NumberOfLots);
var position = resizedPositionGroup.GetPosition(security.Symbol);
var bpmOrder = new MarketOrder(security.Symbol, expected.Quantity, parameters.Portfolio.Securities.UtcTime);
var pgbpmOrder = new MarketOrder(security.Symbol, position.Quantity, parameters.Portfolio.Securities.UtcTime);
var bpmMarginRequired = security.BuyingPowerModel.GetInitialMarginRequirement(security, bpmOrder.Quantity);
var pgbpmMarginRequired = PositionGroupModel.GetInitialMarginRequiredForOrder(Portfolio, resizedPositionGroup, pgbpmOrder);
var availableBuyingPower = security.BuyingPowerModel.GetBuyingPower(parameters.Portfolio, security, bpmOrder.Direction);
Assert.AreEqual(expected.Quantity, position.Quantity,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForDeltaBuyingPower)}: " +
$"ExpectedReason: {expected.Reason}{Environment.NewLine}" +
$"ActualReason: {actual.Reason}"
);
Assert.AreEqual(expected.Reason, actual.Reason,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaximumOrderQuantityForDeltaBuyingPower)}"
);
reentry = false;
return(expected);
}
