PositionGroupKey.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.Linq;
using System.Collections.Generic;
 
namespace QuantConnect.Securities.Positions
{
    /// <summary>
    /// Defines a unique and deterministic key for <see cref="IPositionGroup"/>
    /// </summary>
    public sealed class PositionGroupKey : IEquatable<PositionGroupKey>
    {
        /// <summary>
        /// Gets whether or not this key defines a default group
        /// </summary>
        public bool IsDefaultGroup { get; }
 
        /// <summary>
        /// Gets the <see cref="IPositionGroupBuyingPowerModel"/> being used by the group
        /// </summary>
        public IPositionGroupBuyingPowerModel BuyingPowerModel { get; }
 
        /// <summary>
        /// Gets the unit quantities defining the ratio between position quantities in the group
        /// </summary>
        public IReadOnlyList<Tuple<Symbol, decimal>> UnitQuantities { get; }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="PositionGroupKey"/> class for groups with a single security
        /// </summary>
        /// <param name="buyingPowerModel">The group's buying power model</param>
        /// <param name="security">The security</param>
        public PositionGroupKey(IPositionGroupBuyingPowerModel buyingPowerModel, Security security)
        {
            IsDefaultGroup = buyingPowerModel.GetType() == typeof(SecurityPositionGroupBuyingPowerModel);
            BuyingPowerModel = buyingPowerModel;
            UnitQuantities = new[]
            {
                Tuple.Create(security.Symbol, security.SymbolProperties.LotSize)
            };
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="PositionGroupKey"/> class
        /// </summary>
        /// <param name="buyingPowerModel">The group's buying power model</param>
        /// <param name="positions">The positions comprising the group</param>
        public PositionGroupKey(IPositionGroupBuyingPowerModel buyingPowerModel, IReadOnlyCollection<IPosition> positions)
        {
            BuyingPowerModel = buyingPowerModel;
            if(positions.Count == 1)
            {
                var position = positions.First();
                UnitQuantities = new[]
                {
                    Tuple.Create(position.Symbol, position.UnitQuantity)
                };
            }
            else
            {
                // these have to be sorted for determinism
                UnitQuantities = positions.OrderBy(x => x.Symbol).Select(p => Tuple.Create(p.Symbol, p.UnitQuantity)).ToList();
            }
            IsDefaultGroup = UnitQuantities.Count == 1 && BuyingPowerModel.GetType() == typeof(SecurityPositionGroupBuyingPowerModel);
        }
 
        /// <summary>
        /// Creates a new array of empty positions with unit quantities according to this key
        /// </summary>
        public IPosition[] CreateEmptyPositions()
        {
            var positions = new IPosition[UnitQuantities.Count];
            for (var i = 0; i < UnitQuantities.Count; i++)
            {
                var unitQuantity = UnitQuantities[i];
                positions[i] = new Position(unitQuantity.Item1, 0m, unitQuantity.Item2);
            }
            return positions;
        }
 
        /// <summary>Indicates whether the current object is equal to another object of the same type.</summary>
        /// <param name="other">An object to compare with this object.</param>
        /// <returns>true if the current object is equal to the <paramref name="other" /> parameter; otherwise, false.</returns>
        public bool Equals(PositionGroupKey other)
        {
            if (ReferenceEquals(null, other))
            {
                return false;
            }
 
            if (ReferenceEquals(this, other))
            {
                return true;
            }
 
            return BuyingPowerModel.Equals(other.BuyingPowerModel)
                && UnitQuantities.ListEquals(other.UnitQuantities);
        }
 
        /// <summary>Determines whether the specified object is equal to the current object.</summary>
        /// <param name="obj">The object to compare with the current object. </param>
        /// <returns>true if the specified object  is equal to the current object; otherwise, false.</returns>
        public override bool Equals(object obj)
        {
            if (ReferenceEquals(null, obj))
            {
                return false;
            }
 
            if (ReferenceEquals(this, obj))
            {
                return true;
            }
 
            return obj is PositionGroupKey && Equals((PositionGroupKey) obj);
        }
 
        /// <summary>Serves as the default hash function. </summary>
        /// <returns>A hash code for the current object.</returns>
        public override int GetHashCode()
        {
            unchecked
            {
                return (BuyingPowerModel.GetHashCode() * 397) ^ UnitQuantities.GetListHashCode();
            }
        }
 
        /// <summary>Returns a string that represents the current object.</summary>
        /// <returns>A string that represents the current object.</returns>
        public override string ToString()
        {
            return $"{string.Join("|", UnitQuantities.Select(x => $"{x.Item1}:{x.Item2.Normalize()}"))}";
        }
 
        /// <summary>
        /// Equals operator
        /// </summary>
        public static bool operator ==(PositionGroupKey left, PositionGroupKey right)
        {
            return Equals(left, right);
        }
 
        /// <summary>
        /// Not equals operator
        /// </summary>
        public static bool operator !=(PositionGroupKey left, PositionGroupKey right)
        {
            return !Equals(left, right);
        }
    }
}