public void ReducesPositionWhenMarginAboveTargetBasedOnSetting(decimal holdings, decimal minimumOrderMarginPortfolioPercentage)
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
var model = new SecurityMarginModel();
security.Holdings.SetHoldings(security.Price, holdings);
var currentSignedUsedMargin = model.GetInitialMarginRequirement(security, security.Holdings.Quantity);
var totalPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var sign = Math.Sign(security.Holdings.Quantity) == 0 ? 1 : Math.Sign(security.Holdings.Quantity);
// we inverse the sign here so that new target is less than current, we expect a reduction
var newTarget = currentSignedUsedMargin / (totalPortfolioValue) + 0.00001m * sign * -1;
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, newTarget, minimumOrderMarginPortfolioPercentage);
if (minimumOrderMarginPortfolioPercentage == 0)
{
// Reproduces GH issue #5763 a small Reduction in the target should reduce the position
Assert.AreEqual(1m * sign * -1, result.Quantity);
Assert.IsFalse(result.IsError);
}
else
{
Assert.AreEqual(0, result.Quantity);
Assert.IsFalse(result.IsError);
}
}
/// <summary>
/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
/// For cash accounts, leverage = 1 is used.
/// </summary>
/// <param name="security">The security to get a buying power model for</param>
/// <returns>The buying power model for this brokerage/security</returns>
public virtual IBuyingPowerModel GetBuyingPowerModel(Security security)
{
var leverage = GetLeverage(security);
IBuyingPowerModel model;
switch (security.Type)
{
case SecurityType.Crypto:
model = new CashBuyingPowerModel();
break;
case SecurityType.Forex:
case SecurityType.Cfd:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
case SecurityType.Option:
model = new OptionMarginModel(RequiredFreeBuyingPowerPercent);
break;
case SecurityType.FutureOption:
model = new FuturesOptionsMarginModel(RequiredFreeBuyingPowerPercent, (Option)security);
break;
case SecurityType.Future:
model = new FutureMarginModel(RequiredFreeBuyingPowerPercent, security);
break;
default:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
}
return(model);
}
public void ReducesPositionWhenMarginAboveTargetWhenNegativeFreeMargin(decimal holdings)
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
var model = new SecurityMarginModel();
security.Holdings.SetHoldings(security.Price, holdings);
var security2 = InitAndGetSecurity(algorithm, 0, symbol: "AAPL");
// eat up all our TPV
security2.Holdings.SetHoldings(security.Price, (algorithm.Portfolio.TotalPortfolioValue / security.Price) * 2);
var currentSignedUsedMargin = model.GetInitialMarginRequirement(security, security.Holdings.Quantity);
var totalPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var sign = Math.Sign(security.Holdings.Quantity) == 0 ? 1 : Math.Sign(security.Holdings.Quantity);
// we inverse the sign here so that new target is less than current, we expect a reduction
var newTarget = currentSignedUsedMargin / (totalPortfolioValue) + 0.00001m * sign * -1;
Assert.IsTrue(0 > algorithm.Portfolio.MarginRemaining);
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, newTarget, 0);
// Reproduces GH issue #5763 a small Reduction in the target should reduce the position
Assert.AreEqual(1m * sign * -1, result.Quantity);
Assert.IsFalse(result.IsError);
}
public void ReturnsMinimumOrderValueReason()
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
var model = new SecurityMarginModel();
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, 0.00000001m);
Assert.AreEqual(0m, result.Quantity);
Assert.IsFalse(result.IsError);
Assert.IsTrue(result.Reason.Contains("is less than the minimum"));
}
public void ZeroTargetWithZeroHoldingsIsNotAnError()
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
var model = new SecurityMarginModel();
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, 0, 0);
Assert.AreEqual(0, result.Quantity);
Assert.IsTrue(result.Reason.IsNullOrEmpty());
Assert.IsFalse(result.IsError);
}
public void ZeroTargetWithZeroHoldingsIsNotAnError()
{
var algorithm = new QCAlgorithm();
var security = algorithm.AddEquity("SPY");
var model = new SecurityMarginModel();
var result = model.GetMaximumOrderQuantityForTargetValue(algorithm.Portfolio, security, 0);
Assert.AreEqual(0, result.Quantity);
Assert.AreEqual(string.Empty, result.Reason);
Assert.AreEqual(false, result.IsError);
}
public void ZeroTargetWithNonZeroHoldingsReturnsNegativeOfQuantity()
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
security.Holdings.SetHoldings(200, 10);
var model = new SecurityMarginModel();
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, 0, 0);
Assert.AreEqual(-10, result.Quantity);
Assert.IsTrue(result.Reason.IsNullOrEmpty());
Assert.IsFalse(result.IsError);
}
public void ZeroTargetWithNonZeroHoldingsReturnsNegativeOfQuantity()
{
var algorithm = new QCAlgorithm();
var security = algorithm.AddEquity("SPY");
security.Holdings.SetHoldings(200, 10);
var model = new SecurityMarginModel();
var result = model.GetMaximumOrderQuantityForTargetValue(algorithm.Portfolio, security, 0);
Assert.AreEqual(-10, result.Quantity);
Assert.AreEqual(string.Empty, result.Reason);
Assert.AreEqual(false, result.IsError);
}
public void ReturnsMinimumOrderValueReason(decimal holdings)
{
var algorithm = GetAlgorithm();
var security = InitAndGetSecurity(algorithm, 0);
var model = new SecurityMarginModel();
security.Holdings.SetHoldings(security.Price, holdings);
var currentSignedUsedMargin = model.GetInitialMarginRequirement(security, security.Holdings.Quantity);
var totalPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var sign = Math.Sign(security.Holdings.Quantity) == 0 ? 1 : Math.Sign(security.Holdings.Quantity);
// we increase it slightly, should not trigger a new order because it's increasing final margin usage, rounds down
var newTarget = currentSignedUsedMargin / (totalPortfolioValue) + 0.00001m * sign;
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, security, newTarget, 0);
Assert.AreEqual(0m, result.Quantity);
Assert.IsFalse(result.IsError);
Assert.IsTrue(result.Reason.Contains("The order quantity is less than the lot size of", StringComparison.InvariantCultureIgnoreCase));
}
