QuantConnect.Securities.DefaultMarginCallModel Class Reference

Represents the model responsible for picking which orders should be executed during a margin call More...

Inheritance diagram for QuantConnect.Securities.DefaultMarginCallModel:

Public Member Functions
	DefaultMarginCallModel (SecurityPortfolioManager portfolio, IOrderProperties defaultOrderProperties, decimal marginBuffer=0.10m)
	Initializes a new instance of the DefaultMarginCallModel class More...
List< SubmitOrderRequest >	GetMarginCallOrders (out bool issueMarginCallWarning)
	Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero! If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero. More...
virtual List< OrderTicket >	ExecuteMarginCall (IEnumerable< SubmitOrderRequest > generatedMarginCallOrders)
	Executes synchronous orders to bring the account within margin requirements. More...

Protected Member Functions
virtual IEnumerable< SubmitOrderRequest >	GenerateMarginCallOrders (MarginCallOrdersParameters parameters)
	Generates a new order for the specified security taking into account the total margin used by the account. Returns null when no margin call is to be issued. More...

Properties
SecurityPortfolioManager	Portfolio [get]
	Gets the portfolio that margin calls will be transacted against More...
IOrderProperties	DefaultOrderProperties [get]
	Gets the default order properties to be used in margin call orders More...

Detailed Description

Represents the model responsible for picking which orders should be executed during a margin call

This is a default implementation that orders the generated margin call orders by the unrealized profit (losers first) and executes each order synchronously until we're within the margin requirements

Definition at line 33 of file DefaultMarginCallModel.cs.

Constructor & Destructor Documentation

DefaultMarginCallModel()

QuantConnect.Securities.DefaultMarginCallModel.DefaultMarginCallModel	(	SecurityPortfolioManager	portfolio,
		IOrderProperties	defaultOrderProperties,
		decimal	marginBuffer = 0.10m
	)

Initializes a new instance of the DefaultMarginCallModel class

Parameters

portfolio	The portfolio object to receive margin calls
defaultOrderProperties	The default order properties to be used in margin call orders
marginBuffer	The percent margin buffer to use when checking whether the total margin used is above the total portfolio value to generate margin call orders

Definition at line 60 of file DefaultMarginCallModel.cs.

Member Function Documentation

GetMarginCallOrders()

List<SubmitOrderRequest> QuantConnect.Securities.DefaultMarginCallModel.GetMarginCallOrders

(

out bool

issueMarginCallWarning

)

Scan the portfolio and the updated data for a potential margin call situation which may get the holdings below zero! If there is a margin call, liquidate the portfolio immediately before the portfolio gets sub zero.

Parameters

issueMarginCallWarning

Set to true if a warning should be issued to the algorithm

Returns

True for a margin call on the holdings.

Implements QuantConnect.Securities.IMarginCallModel.

Definition at line 73 of file DefaultMarginCallModel.cs.

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GenerateMarginCallOrders()

virtual IEnumerable<SubmitOrderRequest> QuantConnect.Securities.DefaultMarginCallModel.GenerateMarginCallOrders ( MarginCallOrdersParameters  parameters )

protectedvirtual

Generates a new order for the specified security taking into account the total margin used by the account. Returns null when no margin call is to be issued.

Parameters

parameters

The set of parameters required to generate the margin call orders

Returns

An order object representing a liquidation order to be executed to bring the account within margin requirements

Definition at line 125 of file DefaultMarginCallModel.cs.

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ExecuteMarginCall()

virtual List<OrderTicket> QuantConnect.Securities.DefaultMarginCallModel.ExecuteMarginCall ( IEnumerable< SubmitOrderRequest >  generatedMarginCallOrders )

virtual

Executes synchronous orders to bring the account within margin requirements.

Parameters

generatedMarginCallOrders

These are the margin call orders that were generated by individual security margin models.

Returns

The list of orders that were actually executed

Implements QuantConnect.Securities.IMarginCallModel.

Definition at line 187 of file DefaultMarginCallModel.cs.

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Property Documentation

Portfolio

SecurityPortfolioManager QuantConnect.Securities.DefaultMarginCallModel.Portfolio

getprotected

Gets the portfolio that margin calls will be transacted against

Definition at line 44 of file DefaultMarginCallModel.cs.

DefaultOrderProperties

IOrderProperties QuantConnect.Securities.DefaultMarginCallModel.DefaultOrderProperties

getprotected

Gets the default order properties to be used in margin call orders

Definition at line 49 of file DefaultMarginCallModel.cs.

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

• Common/Securities/DefaultMarginCallModel.cs