public void PlotNetPosition(Slice slice)
{
_longHoldingsCount.AddPoint(slice.Time, OptionTools.GetHoldingQuantity(this, _primarySymbol, true, false));
_shortHoldingsCount.AddPoint(slice.Time, -OptionTools.GetHoldingQuantity(this, _primarySymbol, false, true));
_longOpenOrdersCount.AddPoint(slice.Time, OptionTools.GetOpenOrderQuantity(this, _primarySymbol, true, false));
_shortOpenOrdersCount.AddPoint(slice.Time, -OptionTools.GetOpenOrderQuantity(this, _primarySymbol, false, true));
}
protected virtual List <IPortfolioTarget> IncrementOptionPositions(QCAlgorithmFramework algorithm, Symbol baseSymbol, IEnumerable <OptionHolding> holdings, Insight insight)
{
//don't touch anything if there are orders still pending
if (OptionTools.GetOpenOrderQuantity(algorithm, baseSymbol, true, true) > 0)
{
return(null);
}
var targets = new List <IPortfolioTarget>();
holdings.All(p =>
{
targets.Add(new PortfolioTarget(p.Symbol, p.Quantity + this.PositionSize));
return(true);
});
return(targets);
}
public sealed override List <IPortfolioTarget> OpenTargetsFromInsight(QCAlgorithmFramework algorithm, Symbol baseSymbol, Insight insight)
{
var currentHoldings = GetOptionHoldings(algorithm, baseSymbol);
var pendingOrderCount = OptionTools.GetOpenOrderQuantity(algorithm, baseSymbol, true, true);
if (this.PrintPosition)
{
algorithm.Log("pending orders: " + pendingOrderCount);
foreach (var holding in currentHoldings)
{
algorithm.Log("holding: " + holding.Symbol + "\t" + holding.Quantity + "\t" + holding.UnrealizedProfit);
}
}
if (currentHoldings.Count() > 0 ||
pendingOrderCount > 0)
{
this.SanityCheckHoldings(algorithm, currentHoldings);
if (insight.Direction == InsightDirection.Flat)
{
//create a target to close holdings
return(this.LiquidateOptions(algorithm, currentHoldings));
}
else
{
//TODO: close pending orders too???
var closingTargets = PossiblyCloseCurrentTargets(algorithm, baseSymbol, currentHoldings, insight);
if (closingTargets == null || closingTargets.Count > 0)
{
return(closingTargets);
}
//if we aren't closing anything, then add to open position
return(this.IncrementOptionPositions(algorithm, baseSymbol, currentHoldings, insight));
}
}
else
{
return(FindPotentialOptions(algorithm, baseSymbol, insight));
}
}