Provides an implementation of ISecurityPortfolioModel for options that supports default fills as well as option exercising. More...

Inheritance diagram for QuantConnect.Securities.Option.OptionPortfolioModel:

Public Member Functions
override void	ProcessFill (SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
	Performs application of an OrderEvent to the portfolio More...

Protected Member Functions
override ConvertibleCashAmount	ProcessCloseTradeProfit (SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
	Helper method to determine the close trade profit More...

Detailed Description

Provides an implementation of ISecurityPortfolioModel for options that supports default fills as well as option exercising.

Definition at line 24 of file OptionPortfolioModel.cs.

Member Function Documentation

override void QuantConnect.Securities.Option.OptionPortfolioModel.ProcessFill	(	SecurityPortfolioManager	portfolio,
		Security	security,
		OrderEvent	fill
	)

virtual

Performs application of an OrderEvent to the portfolio

Parameters

portfolio	The algorithm's portfolio
security	Option security
fill	The order event fill object to be applied

Definition at line 32 of file OptionPortfolioModel.cs.

override ConvertibleCashAmount QuantConnect.Securities.Option.OptionPortfolioModel.ProcessCloseTradeProfit	(	SecurityPortfolioManager	portfolio,
		Security	security,
		OrderEvent	fill
	)

protectedvirtual

Helper method to determine the close trade profit

For SettlementType.Cash we apply funds and add in the result to the profit

Definition at line 49 of file OptionPortfolioModel.cs.

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