/// <summary>
/// Immediately submits orders for the specified portfolio targets.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets to be ordered</param>
public override void Execute(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
{
//So target.Quantity represents the ABSOLUTE holding value in the portfolio (usually based on indicator magnitude)
// - the execution model should seek to bring the portfolio in line with it.
_targetsCollection.AddRange(targets);
foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
{
//only care about derivatives
if (!target.Symbol.HasUnderlying)
{
continue;
}
var existing = algorithm.Securities[target.Symbol].Holdings.Quantity
+ algorithm.Transactions.GetOpenOrders(target.Symbol).Sum(o => o.Quantity);
decimal quantity = target.Quantity - existing;
if (quantity != 0)
{
if (target.Quantity == 0)
{
//CLOSING a position, we want to do so immediately
//TODO: maybe skew it?
algorithm.MarketOrder(target.Symbol, quantity);
}
else if (MinutesTilClose(algorithm) <= 30)
{
algorithm.MarketOrder(target.Symbol, target.Quantity);
}
else
{
//Adding or entering new position
QuoteBar quote = algorithm.CurrentSlice[target.Symbol];
algorithm.LimitOrder(target.Symbol, quantity, Math.Round(quote.Bid.Close + (quote.Ask.Close - quote.Bid.Close) / 2, 2));
}
}
}
//TODO: try resubmitting the order to closer to the spread as time goes by before cancelling/market ordering
//convert to market order within 30 mins
foreach (var order in algorithm.Transactions.GetOpenOrders(o => (algorithm.CurrentSlice.Time - o.CreatedTime).TotalMinutes >= 30))
{
algorithm.Transactions.CancelOrder(order.Id);
algorithm.MarketOrder(order.Symbol, order.Quantity);
}
_targetsCollection.Clear();
}
