DelayedSettlementModel.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using System.Collections.Generic;
using System.Linq;
 
namespace QuantConnect.Securities
{
    /// <summary>
    /// Represents the model responsible for applying cash settlement rules
    /// </summary>
    /// <remarks>This model applies cash settlement after T+N days</remarks>
    public class DelayedSettlementModel : ISettlementModel
    {
        private readonly int _numberOfDays;
        private readonly TimeSpan _timeOfDay;
        private CashBook _cashBook;
 
        /// <summary>
        /// The list of pending funds waiting for settlement time
        /// </summary>
        private readonly Queue<UnsettledCashAmount> _unsettledCashAmounts;
 
        /// <summary>
        /// Creates an instance of the <see cref="DelayedSettlementModel"/> class
        /// </summary>
        /// <param name="numberOfDays">The number of days required for settlement</param>
        /// <param name="timeOfDay">The time of day used for settlement</param>
        public DelayedSettlementModel(int numberOfDays, TimeSpan timeOfDay)
        {
            _timeOfDay = timeOfDay;
            _numberOfDays = numberOfDays;
            _unsettledCashAmounts = new();
        }
 
        /// <summary>
        /// Applies cash settlement rules
        /// </summary>
        /// <param name="applyFundsParameters">The funds application parameters</param>
        public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
        {
            var currency = applyFundsParameters.CashAmount.Currency;
            var amount = applyFundsParameters.CashAmount.Amount;
            var security = applyFundsParameters.Security;
            var portfolio = applyFundsParameters.Portfolio;
            if (amount > 0)
            {
                // positive amount: sell order filled
 
                portfolio.UnsettledCashBook[currency].AddAmount(amount);
 
                // find the correct settlement date (usually T+3 or T+1)
                var settlementDate = applyFundsParameters.UtcTime.ConvertFromUtc(security.Exchange.TimeZone).Date;
                for (var i = 0; i < _numberOfDays; i++)
                {
                    settlementDate = settlementDate.AddDays(1);
 
                    // only count days when market is open
                    if (!security.Exchange.Hours.IsDateOpen(settlementDate))
                        i--;
                }
 
                // use correct settlement time
                var settlementTimeUtc = settlementDate.Add(_timeOfDay).ConvertToUtc(security.Exchange.Hours.TimeZone);
 
                lock (_unsettledCashAmounts)
                {
                    _unsettledCashAmounts.Enqueue(new UnsettledCashAmount(settlementTimeUtc, currency, amount));
                }
            }
            else
            {
                // negative amount: buy order filled
 
                portfolio.CashBook[currency].AddAmount(amount);
            }
 
            // We just keep it to use currency conversion in GetUnsettledCash method
            if (_cashBook == null)
            {
                _cashBook = portfolio.UnsettledCashBook;
            }
        }
 
        /// <summary>
        /// Scan for pending settlements
        /// </summary>
        /// <param name="settlementParameters">The settlement parameters</param>
        public void Scan(ScanSettlementModelParameters settlementParameters)
        {
            lock (_unsettledCashAmounts)
            {
                while (_unsettledCashAmounts.TryPeek(out var item)
                    // check if settlement time has passed
                    && settlementParameters.UtcTime >= item.SettlementTimeUtc)
                {
                    // remove item from unsettled funds list
                    _unsettledCashAmounts.Dequeue();
 
                    // update unsettled cashbook
                    settlementParameters.Portfolio.UnsettledCashBook[item.Currency].AddAmount(-item.Amount);
 
                    // update settled cashbook
                    settlementParameters.Portfolio.CashBook[item.Currency].AddAmount(item.Amount);
                }
            }
        }
 
        /// <summary>
        /// Gets the unsettled cash amount for the security
        /// </summary>
        public CashAmount GetUnsettledCash()
        {
            var accountCurrency = _cashBook != null ? _cashBook.AccountCurrency : Currencies.USD;
 
            lock (_unsettledCashAmounts)
            {
                if (_unsettledCashAmounts.Count == 0)
                {
                    return default;
                }
 
                return new CashAmount(_unsettledCashAmounts.Sum(x => _cashBook.ConvertToAccountCurrency(x.Amount, x.Currency)), accountCurrency);
            }
 
        }
    }
}