/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
namespace QuantConnect.Securities.Positions
{
///
/// Represents a position group's model of buying power
///
public interface IPositionGroupBuyingPowerModel : IEquatable
{
///
/// Gets the margin currently allocated to the specified holding
///
/// An object containing the security
/// The maintenance margin required for the
MaintenanceMargin GetMaintenanceMargin(PositionGroupMaintenanceMarginParameters parameters);
///
/// The margin that must be held in order to increase the position by the provided quantity
///
/// An object containing the security and quantity
InitialMargin GetInitialMarginRequirement(PositionGroupInitialMarginParameters parameters);
///
/// Gets the total margin required to execute the specified order in units of the account currency including fees
///
/// An object containing the portfolio, the security and the order
/// The total margin in terms of the currency quoted in the order
InitialMargin GetInitialMarginRequiredForOrder(PositionGroupInitialMarginForOrderParameters parameters);
///
/// Computes the impact on the portfolio's buying power from adding the position group to the portfolio. This is
/// a 'what if' analysis to determine what the state of the portfolio would be if these changes were applied. The
/// delta (before - after) is the margin requirement for adding the positions and if the margin used after the changes
/// are applied is less than the total portfolio value, this indicates sufficient capital.
///
/// An object containing the portfolio and a position group containing the contemplated
/// changes to the portfolio
/// Returns the portfolio's total portfolio value and margin used before and after the position changes are applied
ReservedBuyingPowerImpact GetReservedBuyingPowerImpact(
ReservedBuyingPowerImpactParameters parameters
);
///
/// Check if there is sufficient buying power for the position group to execute this order.
///
/// An object containing the portfolio, the position group and the order
/// Returns buying power information for an order against a position group
HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(
HasSufficientPositionGroupBuyingPowerForOrderParameters parameters
);
///
/// Computes the amount of buying power reserved by the provided position group
///
ReservedBuyingPowerForPositionGroup GetReservedBuyingPowerForPositionGroup(
ReservedBuyingPowerForPositionGroupParameters parameters
);
///
/// Get the maximum position group order quantity to obtain a position with a given buying power
/// percentage. Will not take into account free buying power.
///
/// An object containing the portfolio, the position group and the target
/// signed buying power percentage
/// Returns the maximum allowed market order quantity and if zero, also the reason
GetMaximumLotsResult GetMaximumLotsForTargetBuyingPower(
GetMaximumLotsForTargetBuyingPowerParameters parameters
);
///
/// Get the maximum market position group order quantity to obtain a delta in the buying power used by a position group.
/// The deltas sign defines the position side to apply it to, positive long, negative short.
///
/// An object containing the portfolio, the position group and the delta buying power
/// 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.
GetMaximumLotsResult GetMaximumLotsForDeltaBuyingPower(
GetMaximumLotsForDeltaBuyingPowerParameters parameters
);
///
/// Gets the buying power available for a position group trade
///
/// A parameters object containing the algorithm's portfolio, security, and order direction
/// The buying power available for the trade
PositionGroupBuyingPower GetPositionGroupBuyingPower(PositionGroupBuyingPowerParameters parameters);
}
}