QuantConnect.Securities.PatternDayTradingMarginModel Class Reference
Represents a simple margining model where margin/leverage depends on market state (open or close). During regular market hours, leverage is 4x, otherwise 2x More...
Inheritance diagram for QuantConnect.Securities.PatternDayTradingMarginModel:
Public Member Functions | |
| PatternDayTradingMarginModel () | |
| Initializes a new instance of the PatternDayTradingMarginModel More... | |
| PatternDayTradingMarginModel (decimal closedMarketLeverage, decimal openMarketLeverage) | |
| Initializes a new instance of the PatternDayTradingMarginModel More... | |
| override void | SetLeverage (Security security, decimal leverage) |
| Sets the leverage for the applicable securities, i.e, equities More... | |
| override decimal | GetLeverage (Security security) |
| Gets the current leverage of the security More... | |
| override InitialMargin | GetInitialMarginRequirement (InitialMarginParameters parameters) |
| The percentage of an order's absolute cost that must be held in free cash in order to place the order More... | |
| override MaintenanceMargin | GetMaintenanceMargin (MaintenanceMarginParameters parameters) |
| The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call More... | |
 Public Member Functions inherited from QuantConnect.Securities.SecurityMarginModel | |
| SecurityMarginModel () | |
| Initializes a new instance of the SecurityMarginModel with no leverage (1x) More... | |
| SecurityMarginModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent) | |
| Initializes a new instance of the SecurityMarginModel More... | |
| SecurityMarginModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0) | |
| Initializes a new instance of the SecurityMarginModel More... | |
| Public Member Functions inherited from QuantConnect.Securities.BuyingPowerModel | |
| 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 InitialMargin | GetInitialMarginRequiredForOrder (InitialMarginRequiredForOrderParameters parameters) |
| Gets the total margin required to execute the specified order in units of the account currency including fees 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... | |
Additional Inherited Members | |
| Static Public Attributes inherited from QuantConnect.Securities.BuyingPowerModel | |
| static readonly IBuyingPowerModel | Null = new NullBuyingPowerModel() |
| Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power More... | |
| Protected Member Functions inherited from QuantConnect.Securities.BuyingPowerModel | |
| virtual decimal | GetMarginRemaining (SecurityPortfolioManager portfolio, Security security, OrderDirection direction) |
| Gets the margin cash available for a trade More... | |
| Properties inherited from QuantConnect.Securities.BuyingPowerModel | |
| decimal | RequiredFreeBuyingPowerPercent [get, set] |
| The percentage used to determine the required unused buying power for the account. More... | |
Detailed Description
Represents a simple margining model where margin/leverage depends on market state (open or close). During regular market hours, leverage is 4x, otherwise 2x
Definition at line 22 of file PatternDayTradingMarginModel.cs.
Constructor & Destructor Documentation
◆ PatternDayTradingMarginModel() [1/2]
| QuantConnect.Securities.PatternDayTradingMarginModel.PatternDayTradingMarginModel | ( | ) |
Initializes a new instance of the PatternDayTradingMarginModel
Definition at line 29 of file PatternDayTradingMarginModel.cs.
◆ PatternDayTradingMarginModel() [2/2]
| QuantConnect.Securities.PatternDayTradingMarginModel.PatternDayTradingMarginModel | ( | decimal | closedMarketLeverage, |
| decimal | openMarketLeverage | ||
| ) |
Initializes a new instance of the PatternDayTradingMarginModel
- Parameters
-
closedMarketLeverage Leverage used outside regular market hours openMarketLeverage Leverage used during regular market hours
Definition at line 39 of file PatternDayTradingMarginModel.cs.
Member Function Documentation
◆ SetLeverage()
|
virtual |
Sets the leverage for the applicable securities, i.e, equities
Do nothing, we use a constant leverage for this model
- Parameters
-
security The security to set leverage to leverage The new leverage
Reimplemented from QuantConnect.Securities.BuyingPowerModel.
Definition at line 53 of file PatternDayTradingMarginModel.cs.
◆ GetLeverage()
|
virtual |
Gets the current leverage of the security
- Parameters
-
security The security to get leverage for
- Returns
- The current leverage in the security
Reimplemented from QuantConnect.Securities.BuyingPowerModel.
Definition at line 62 of file PatternDayTradingMarginModel.cs.
◆ GetInitialMarginRequirement()
|
virtual |
The percentage of an order's absolute cost that must be held in free cash in order to place the order
Reimplemented from QuantConnect.Securities.BuyingPowerModel.
Definition at line 70 of file PatternDayTradingMarginModel.cs.
◆ GetMaintenanceMargin()
|
virtual |
The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call
Reimplemented from QuantConnect.Securities.BuyingPowerModel.
Definition at line 80 of file PatternDayTradingMarginModel.cs.
The documentation for this class was generated from the following file:
- Common/Securities/PatternDayTradingMarginModel.cs
