/// <summary>
/// Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group.
/// The deltas sign defines the position side to apply it to, positive long, negative short.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the position group and the delta buying power</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
/// <remarks>Used by the margin call model to reduce the position by a delta percent.</remarks>
public override GetMaximumLotsResult GetMaximumLotsForDeltaBuyingPower(
GetMaximumLotsForDeltaBuyingPowerParameters 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];
var result = security.BuyingPowerModel.GetMaximumOrderQuantityForDeltaBuyingPower(
new GetMaximumOrderQuantityForDeltaBuyingPowerParameters(
parameters.Portfolio, security, parameters.DeltaBuyingPower, parameters.MinimumOrderMarginPortfolioPercentage
)
);
var quantity = result.Quantity * security.SymbolProperties.LotSize;
return(new GetMaximumLotsResult(quantity, result.Reason, result.IsError));
}
/// <summary>
/// Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group.
/// The deltas sign defines the position side to apply it to, positive long, negative short.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the position group and the delta buying power</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
/// <remarks>Used by the margin call model to reduce the position by a delta percent.</remarks>
public virtual GetMaximumLotsResult GetMaximumLotsForDeltaBuyingPower(
GetMaximumLotsForDeltaBuyingPowerParameters parameters
)
{
// we convert this delta request into a target buying power request through projection
// by determining the currently used (reserved) buying power and adding the delta to
// arrive at a target buying power percentage
var currentPositionGroup = parameters.Portfolio.Positions[parameters.PositionGroup.Key];
var usedBuyingPower = parameters.PositionGroup.BuyingPowerModel.GetReservedBuyingPowerForPositionGroup(
parameters.Portfolio, currentPositionGroup
);
var signedUsedBuyingPower = Math.Sign(currentPositionGroup.Quantity) * usedBuyingPower;
var targetBuyingPower = signedUsedBuyingPower + parameters.DeltaBuyingPower;
var targetBuyingPowerPercent = parameters.Portfolio.TotalPortfolioValue != 0
? targetBuyingPower / parameters.Portfolio.TotalPortfolioValue
: 0;
return(GetMaximumLotsForTargetBuyingPower(new GetMaximumLotsForTargetBuyingPowerParameters(
parameters.Portfolio, parameters.PositionGroup, targetBuyingPowerPercent, parameters.MinimumOrderMarginPortfolioPercentage
)));
}
