/// <summary>
/// Provides a mechanism for derived types to add their own buying power for order checks without needing to
/// recompute the available buying power. Implementations should return null if all checks pass and should
/// return an instance of <see cref="HasSufficientBuyingPowerForOrderResult"/> with IsSufficient=false if it
/// fails.
/// </summary>
protected virtual HasSufficientBuyingPowerForOrderResult PassesPositionGroupSpecificBuyingPowerForOrderChecks(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters,
decimal availableBuyingPower
)
{
return(null);
}
/// <summary>
/// Additionally check initial margin requirements if the algorithm only has default position groups
/// </summary>
protected override HasSufficientBuyingPowerForOrderResult PassesPositionGroupSpecificBuyingPowerForOrderChecks(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters,
decimal availableBuyingPower
)
{
// only check initial margin requirements when the algorithm is only using default position groups
if (!parameters.Portfolio.Positions.IsOnlyDefaultGroups)
{
return(null);
}
var symbol = parameters.PositionGroup.Single().Symbol;
var security = parameters.Portfolio.Securities[symbol];
return(security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
parameters.Portfolio, security, parameters.Order
));
}
/// <summary>
/// Check if there is sufficient buying power for the position group to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the position group and the order</param>
/// <returns>Returns buying power information for an order against a position group</returns>
public override HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
)
{
if (parameters.PositionGroup.Count != 1)
{
return(parameters.Error(
$"{nameof(SecurityPositionGroupBuyingPowerModel)} only supports position groups containing exactly one position."
));
}
var position = parameters.PositionGroup.Single();
var security = parameters.Portfolio.Securities[position.Symbol];
return(security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
parameters.Portfolio, security, parameters.Order
));
}
/// <summary>
/// Check if there is sufficient buying power for the position group to execute this order.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the position group and the order</param>
/// <returns>Returns buying power information for an order against a position group</returns>
public virtual HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
)
{
// The addition of position groups requires that we not only check initial margin requirements, but also
// that we confirm that after the changes have been applied and the new groups resolved our maintenance
// margin is still in a valid range (less than TPV). For this model, we use the security's sufficient buying
// power impl to confirm initial margin requirements and lean heavily on GetReservedBuyingPowerImpact for
// help with confirming that our expected maintenance margin is still less than TPV.
// 1. Confirm we have sufficient buying power to execute the trade using security's BP model
// 2. Confirm we pass position group specific checks
// 3. Confirm we haven't exceeded maintenance margin limits via GetReservedBuyingPowerImpact's delta
// 1. Confirm we meet initial margin requirements, accounting for buffer
var availableBuyingPower = this.GetPositionGroupBuyingPower(
parameters.Portfolio, parameters.PositionGroup, parameters.Order.Direction
);
// 2. Confirm we pass position group specific checks
var result = PassesPositionGroupSpecificBuyingPowerForOrderChecks(parameters, availableBuyingPower);
if (result?.IsSufficient == false)
{
return(result);
}
// 3. Confirm that the new groupings arising from the change doesn't make maintenance margin exceed TPV
var args = new ReservedBuyingPowerImpactParameters(parameters.Portfolio, parameters.PositionGroup, parameters.Order);
var deltaBuyingPower = GetReservedBuyingPowerImpact(args).Delta;
if (deltaBuyingPower <= availableBuyingPower)
{
return(parameters.Sufficient());
}
return(parameters.Insufficient(Invariant(
$"Id: {parameters.Order.Id}, Maintenance Margin Delta: {deltaBuyingPower.Normalize()}, Free Margin: {availableBuyingPower.Value.Normalize()}"
)));
}
