private bool HasSufficientBuyingPowerForOrder(decimal orderQuantity, Security security, IAlgorithm algo)
{
var order = new MarketOrder(security.Symbol, orderQuantity, DateTime.UtcNow);
_fakeOrderProcessor.AddTicket(order.ToOrderTicket(algo.Transactions));
var hashSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(algo.Portfolio,
security, new MarketOrder(security.Symbol, orderQuantity, DateTime.UtcNow));
return(hashSufficientBuyingPower.IsSufficient);
}
public void NegativeMarginRemaining(bool isError, int target, int side)
{
var algo = GetAlgorithm();
var security = InitAndGetSecurity(algo, 5);
security.Holdings.SetHoldings(security.Price, 1000 * side);
algo.Portfolio.CashBook.Add(algo.AccountCurrency, -100000, 1);
var fakeOrderProcessor = new FakeOrderProcessor();
algo.Transactions.SetOrderProcessor(fakeOrderProcessor);
Assert.IsTrue(algo.Portfolio.MarginRemaining < 0);
var quantity = security.BuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower(
new GetMaximumOrderQuantityForTargetBuyingPowerParameters(algo.Portfolio,
security,
target * side,
0)).Quantity;
if (!isError)
{
Assert.AreEqual(1000 * side * -1, quantity);
}
else
{
// even if we don't have margin 'GetMaximumOrderQuantityForTargetBuyingPower' doesn't care
Assert.AreNotEqual(0, quantity);
}
var order = new MarketOrder(security.Symbol, quantity, new DateTime(2020, 1, 1));
fakeOrderProcessor.AddTicket(order.ToOrderTicket(algo.Transactions));
var actual = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(
new HasSufficientBuyingPowerForOrderParameters(algo.Portfolio,
security,
order));
Assert.AreEqual(!isError, actual.IsSufficient);
}
