Provides a base class for all buying power models More...

Inheritance diagram for QuantConnect.Securities.BuyingPowerModel:

Public Member Functions
	BuyingPowerModel ()
	Initializes a new instance of the BuyingPowerModel with no leverage (1x) More...

	BuyingPowerModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent)
	Initializes a new instance of the BuyingPowerModel More...

	BuyingPowerModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the BuyingPowerModel More...

virtual decimal	GetLeverage (Security security)
	Gets the current leverage of the security More...

virtual void	SetLeverage (Security security, decimal leverage)
	Sets the leverage for the applicable securities, i.e, equities More...

virtual InitialMargin	GetInitialMarginRequiredForOrder (InitialMarginRequiredForOrderParameters parameters)
	Gets the total margin required to execute the specified order in units of the account currency including fees More...

virtual MaintenanceMargin	GetMaintenanceMargin (MaintenanceMarginParameters parameters)
	Gets the margin currently allocated to the specified holding More...

virtual InitialMargin	GetInitialMarginRequirement (InitialMarginParameters parameters)
	The margin that must be held in order to increase the position by the provided quantity More...

virtual HasSufficientBuyingPowerForOrderResult	HasSufficientBuyingPowerForOrder (HasSufficientBuyingPowerForOrderParameters parameters)
	Check if there is sufficient buying power to execute this order. More...

virtual GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForDeltaBuyingPower (GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a delta in the buying power used by a security. The deltas sign defines the position side to apply it to, positive long, negative short. More...

virtual GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForTargetBuyingPower (GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power. More...

decimal	GetAmountToOrder ([NotNull]Security security, decimal targetMargin, decimal marginForOneUnit, out decimal finalMargin)
	Helper function that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always. More...

virtual ReservedBuyingPowerForPosition	GetReservedBuyingPowerForPosition (ReservedBuyingPowerForPositionParameters parameters)
	Gets the amount of buying power reserved to maintain the specified position More...

virtual BuyingPower	GetBuyingPower (BuyingPowerParameters parameters)
	Gets the buying power available for a trade More...

Static Public Attributes
static readonly IBuyingPowerModel	Null = new NullBuyingPowerModel()
	Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power More...

Protected Member Functions
virtual decimal	GetMarginRemaining (SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
	Gets the margin cash available for a trade More...

Properties
decimal	RequiredFreeBuyingPowerPercent `[get, set]`
	The percentage used to determine the required unused buying power for the account. More...

Detailed Description

Provides a base class for all buying power models

Definition at line 27 of file BuyingPowerModel.cs.

Constructor & Destructor Documentation

◆ BuyingPowerModel() [1/3]

QuantConnect.Securities.BuyingPowerModel.BuyingPowerModel ( )

Initializes a new instance of the BuyingPowerModel with no leverage (1x)

Definition at line 46 of file BuyingPowerModel.cs.

◆ BuyingPowerModel() [2/3]

QuantConnect.Securities.BuyingPowerModel.BuyingPowerModel	(	decimal	initialMarginRequirement,
		decimal	maintenanceMarginRequirement,
		decimal	requiredFreeBuyingPowerPercent
	)

Initializes a new instance of the BuyingPowerModel

Parameters

initialMarginRequirement	The percentage of an order's absolute cost that must be held in free cash in order to place the order
maintenanceMarginRequirement	The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call
requiredFreeBuyingPowerPercent	The percentage used to determine the required unused buying power for the account.

Definition at line 60 of file BuyingPowerModel.cs.

◆ BuyingPowerModel() [3/3]

QuantConnect.Securities.BuyingPowerModel.BuyingPowerModel	(	decimal	leverage,
		decimal	requiredFreeBuyingPowerPercent = `0`
	)

Initializes a new instance of the BuyingPowerModel

Parameters

leverage	The leverage
requiredFreeBuyingPowerPercent	The percentage used to determine the required unused buying power for the account.

Definition at line 92 of file BuyingPowerModel.cs.

Member Function Documentation

◆ GetLeverage()

virtual decimal QuantConnect.Securities.BuyingPowerModel.GetLeverage ( Security security )

virtual

Gets the current leverage of the security

Parameters

security The security to get leverage for

Returns: The current leverage in the security

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Future.FutureMarginModel, QuantConnect.Securities.PatternDayTradingMarginModel, QuantConnect.Securities.Option.OptionMarginModel, and QuantConnect.Securities.CashBuyingPowerModel.

Definition at line 114 of file BuyingPowerModel.cs.

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◆ SetLeverage()

virtual void QuantConnect.Securities.BuyingPowerModel.SetLeverage	(	Security	security,
		decimal	leverage
	)

virtual

Sets the leverage for the applicable securities, i.e, equities

This is added to maintain backwards compatibility with the old margin/leverage system

Parameters

security
leverage	The new leverage

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Future.FutureMarginModel, QuantConnect.Securities.Option.OptionMarginModel, QuantConnect.Securities.CashBuyingPowerModel, QuantConnect.Securities.PatternDayTradingMarginModel, and QuantConnect.Securities.ConstantBuyingPowerModel.

Definition at line 127 of file BuyingPowerModel.cs.

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◆ GetInitialMarginRequiredForOrder()

virtual InitialMargin QuantConnect.Securities.BuyingPowerModel.GetInitialMarginRequiredForOrder ( InitialMarginRequiredForOrderParameters parameters )

virtual

Gets the total margin required to execute the specified order in units of the account currency including fees

Parameters

parameters An object containing the portfolio, the security and the order

Returns: The total margin in terms of the currency quoted in the order

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Future.FutureMarginModel, and QuantConnect.Securities.Option.OptionMarginModel.

Definition at line 144 of file BuyingPowerModel.cs.

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◆ GetMaintenanceMargin()

virtual MaintenanceMargin QuantConnect.Securities.BuyingPowerModel.GetMaintenanceMargin ( MaintenanceMarginParameters parameters )

virtual

Gets the margin currently allocated to the specified holding

Parameters

parameters An object containing the security and holdings quantity/cost/value

Returns: The maintenance margin required for the provided holdings quantity/cost/value

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Future.FutureMarginModel, QuantConnect.Securities.Option.OptionMarginModel, QuantConnect.Securities.PatternDayTradingMarginModel, QuantConnect.Securities.Option.FuturesOptionsMarginModel, QuantConnect.Securities.ConstantBuyingPowerModel, QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel, and QuantConnect.Securities.NullBuyingPowerModel.

Definition at line 167 of file BuyingPowerModel.cs.

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◆ GetMarginRemaining()

virtual decimal QuantConnect.Securities.BuyingPowerModel.GetMarginRemaining	(	SecurityPortfolioManager	portfolio,
		Security	security,
		OrderDirection	direction
	)

protectedvirtual

Gets the margin cash available for a trade

Parameters

portfolio	The algorithm's portfolio
security	The security to be traded
direction	The direction of the trade

Returns: The margin available for the trade

Reimplemented in QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel.

Definition at line 179 of file BuyingPowerModel.cs.

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◆ GetInitialMarginRequirement()

virtual InitialMargin QuantConnect.Securities.BuyingPowerModel.GetInitialMarginRequirement ( InitialMarginParameters parameters )

virtual

The margin that must be held in order to increase the position by the provided quantity

Parameters

parameters An object containing the security and quantity of shares

Returns: The initial margin required for the provided security and quantity

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.Future.FutureMarginModel, QuantConnect.Securities.Option.OptionMarginModel, QuantConnect.Securities.Option.FuturesOptionsMarginModel, QuantConnect.Securities.PatternDayTradingMarginModel, QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel, QuantConnect.Securities.CashBuyingPowerModel, and QuantConnect.Securities.ConstantBuyingPowerModel.

Definition at line 230 of file BuyingPowerModel.cs.

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◆ HasSufficientBuyingPowerForOrder()

virtual HasSufficientBuyingPowerForOrderResult QuantConnect.Securities.BuyingPowerModel.HasSufficientBuyingPowerForOrder ( HasSufficientBuyingPowerForOrderParameters parameters )

virtual

Check if there is sufficient buying power to execute this order.

Parameters

parameters An object containing the portfolio, the security and the order

Returns: Returns buying power information for an order

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.CashBuyingPowerModel, and QuantConnect.Securities.NullBuyingPowerModel.

Definition at line 246 of file BuyingPowerModel.cs.

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◆ GetMaximumOrderQuantityForDeltaBuyingPower()

virtual GetMaximumOrderQuantityResult QuantConnect.Securities.BuyingPowerModel.GetMaximumOrderQuantityForDeltaBuyingPower ( GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters )

virtual

Get the maximum market order quantity to obtain a delta in the buying power used by a security. The deltas sign defines the position side to apply it to, positive long, negative short.

Parameters

parameters An object containing the portfolio, the security and the delta buying power

Returns: Returns the maximum allowed market order quantity and if zero, also the reason

Used by the margin call model to reduce the position by a delta percent.

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.CashBuyingPowerModel.

Definition at line 333 of file BuyingPowerModel.cs.

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◆ GetMaximumOrderQuantityForTargetBuyingPower()

virtual GetMaximumOrderQuantityResult QuantConnect.Securities.BuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower ( GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters )

virtual

Get the maximum market order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power.

Parameters

parameters An object containing the portfolio, the security and the target signed buying power percentage

Returns: Returns the maximum allowed market order quantity and if zero, also the reason

This implementation ensures that our resulting holdings is less than the target, but it does not necessarily maximize the holdings to meet the target. To do that we need a minimizing algorithm that reduces the difference between the target final margin value and the target holdings margin.

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.CashBuyingPowerModel, and QuantConnect.Securities.Future.FutureMarginModel.

Definition at line 366 of file BuyingPowerModel.cs.

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◆ GetAmountToOrder()

decimal QuantConnect.Securities.BuyingPowerModel.GetAmountToOrder	(	[NotNull] Security	security,
		decimal	targetMargin,
		decimal	marginForOneUnit,
		out decimal	finalMargin
	)

Helper function that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always.

Parameters

security	Security we are to determine order size for
targetMargin	Target margin allocated
marginForOneUnit	Margin requirement for one unit; used in our initial order guess
finalMargin	Output the final margin allocated to this security

Returns: The size of the order to get safely to our target

Definition at line 480 of file BuyingPowerModel.cs.

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◆ GetReservedBuyingPowerForPosition()

virtual ReservedBuyingPowerForPosition QuantConnect.Securities.BuyingPowerModel.GetReservedBuyingPowerForPosition ( ReservedBuyingPowerForPositionParameters parameters )

virtual

Gets the amount of buying power reserved to maintain the specified position

Parameters

parameters A parameters object containing the security

Returns: The reserved buying power in account currency

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.CashBuyingPowerModel.

Definition at line 549 of file BuyingPowerModel.cs.

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◆ GetBuyingPower()

virtual BuyingPower QuantConnect.Securities.BuyingPowerModel.GetBuyingPower ( BuyingPowerParameters parameters )

virtual

Gets the buying power available for a trade

Parameters

parameters A parameters object containing the algorithm's portfolio, security, and order direction

Returns: The buying power available for the trade

Implements QuantConnect.Securities.IBuyingPowerModel.

Reimplemented in QuantConnect.Securities.CashBuyingPowerModel.

Definition at line 560 of file BuyingPowerModel.cs.

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Member Data Documentation

◆ Null

readonly IBuyingPowerModel QuantConnect.Securities.BuyingPowerModel.Null = new NullBuyingPowerModel()

static

Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power

Definition at line 33 of file BuyingPowerModel.cs.

Property Documentation

◆ RequiredFreeBuyingPowerPercent

decimal QuantConnect.Securities.BuyingPowerModel.RequiredFreeBuyingPowerPercent

getsetprotected

The percentage used to determine the required unused buying power for the account.

Definition at line 41 of file BuyingPowerModel.cs.

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

Common/Securities/BuyingPowerModel.cs

Public Member Functions

Static Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ BuyingPowerModel() [1/3]

◆ BuyingPowerModel() [2/3]

◆ BuyingPowerModel() [3/3]

Member Function Documentation

◆ GetLeverage()

◆ SetLeverage()

◆ GetInitialMarginRequiredForOrder()

◆ GetMaintenanceMargin()

◆ GetMarginRemaining()

◆ GetInitialMarginRequirement()

◆ HasSufficientBuyingPowerForOrder()

◆ GetMaximumOrderQuantityForDeltaBuyingPower()

◆ GetMaximumOrderQuantityForTargetBuyingPower()

◆ GetAmountToOrder()

◆ GetReservedBuyingPowerForPosition()

◆ GetBuyingPower()

Member Data Documentation

◆ Null

Property Documentation

◆ RequiredFreeBuyingPowerPercent