QuantConnect.Orders.OrderSizing Class Reference

Provides methods for computing a maximum order size. More...

Static Public Member Functions
static decimal	GetOrderSizeForPercentVolume (Security security, decimal maximumPercentCurrentVolume, decimal desiredOrderSize)
	Adjust the provided order size to respect maximum order size based on a percentage of current volume. More...
static decimal	GetOrderSizeForMaximumValue (Security security, decimal maximumOrderValueInAccountCurrency, decimal desiredOrderSize)
	Adjust the provided order size to respect the maximum total order value More...
static decimal	GetUnorderedQuantity (IAlgorithm algorithm, IPortfolioTarget target)
	Gets the remaining quantity to be ordered to reach the specified target quantity. More...
static decimal	GetUnorderedQuantity (IAlgorithm algorithm, IPortfolioTarget target, Security security, bool accountForFees=false)
	Gets the remaining quantity to be ordered to reach the specified target quantity. More...
static decimal	AdjustByLotSize (Security security, decimal quantity)
	Adjusts the provided order quantity to respect the securities lot size. If the quantity is missing 1M part of the lot size it will be rounded up since we suppose it's due to floating point error, this is required to avoid diff between Py and C# More...

Detailed Description

Provides methods for computing a maximum order size.

Definition at line 28 of file OrderSizing.cs.

Member Function Documentation

GetOrderSizeForPercentVolume()

static decimal QuantConnect.Orders.OrderSizing.GetOrderSizeForPercentVolume ( Security  security, decimal  maximumPercentCurrentVolume, decimal  desiredOrderSize  )

static

Adjust the provided order size to respect maximum order size based on a percentage of current volume.

Parameters

security	The security object
maximumPercentCurrentVolume	The maximum percentage of the current bar's volume
desiredOrderSize	The desired order size to adjust

Returns

The signed adjusted order size

Definition at line 37 of file OrderSizing.cs.

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GetOrderSizeForMaximumValue()

static decimal QuantConnect.Orders.OrderSizing.GetOrderSizeForMaximumValue ( Security  security, decimal  maximumOrderValueInAccountCurrency, decimal  desiredOrderSize  )

static

Adjust the provided order size to respect the maximum total order value

Parameters

security	The security object
maximumOrderValueInAccountCurrency	The maximum order value in units of the account currency
desiredOrderSize	The desired order size to adjust

Returns

The signed adjusted order size

Definition at line 52 of file OrderSizing.cs.

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GetUnorderedQuantity() [1/2]

static decimal QuantConnect.Orders.OrderSizing.GetUnorderedQuantity ( IAlgorithm  algorithm, IPortfolioTarget  target  )

static

Gets the remaining quantity to be ordered to reach the specified target quantity.

Parameters

algorithm	The algorithm instance
target	The portfolio target

Returns

The signed remaining quantity to be ordered

Definition at line 75 of file OrderSizing.cs.

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GetUnorderedQuantity() [2/2]

static decimal QuantConnect.Orders.OrderSizing.GetUnorderedQuantity ( IAlgorithm  algorithm, IPortfolioTarget  target, Security  security, bool  accountForFees = false  )

static

Gets the remaining quantity to be ordered to reach the specified target quantity.

Parameters

algorithm	The algorithm instance
target	The portfolio target
security	The target security
accountForFees	True for taking into account the fee's in the order quantity. False, otherwise.

Returns

The signed remaining quantity to be ordered

Definition at line 91 of file OrderSizing.cs.

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AdjustByLotSize()

static decimal QuantConnect.Orders.OrderSizing.AdjustByLotSize ( Security  security, decimal  quantity  )

static

Adjusts the provided order quantity to respect the securities lot size. If the quantity is missing 1M part of the lot size it will be rounded up since we suppose it's due to floating point error, this is required to avoid diff between Py and C#

Parameters

security	The security instance
quantity	The desired quantity to adjust, can be signed

Returns

The signed adjusted quantity

Definition at line 121 of file OrderSizing.cs.

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The documentation for this class was generated from the following file:

• Common/Orders/OrderSizing.cs