/*
* 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;
using System.Linq;
using System.Collections.Generic;
namespace QuantConnect.Securities.Positions
{
///
/// Defines a unique and deterministic key for
///
public sealed class PositionGroupKey : IEquatable
{
///
/// Gets whether or not this key defines a default group
///
public bool IsDefaultGroup { get; }
///
/// Gets the being used by the group
///
public IPositionGroupBuyingPowerModel BuyingPowerModel { get; }
///
/// Gets the unit quantities defining the ratio between position quantities in the group
///
public IReadOnlyList> UnitQuantities { get; }
///
/// Initializes a new instance of the class for groups with a single security
///
/// The group's buying power model
/// The security
public PositionGroupKey(IPositionGroupBuyingPowerModel buyingPowerModel, Security security)
{
IsDefaultGroup = buyingPowerModel.GetType() == typeof(SecurityPositionGroupBuyingPowerModel);
BuyingPowerModel = buyingPowerModel;
UnitQuantities = new[]
{
Tuple.Create(security.Symbol, security.SymbolProperties.LotSize)
};
}
///
/// Initializes a new instance of the class
///
/// The group's buying power model
/// The positions comprising the group
public PositionGroupKey(IPositionGroupBuyingPowerModel buyingPowerModel, IReadOnlyCollection positions)
{
BuyingPowerModel = buyingPowerModel;
if(positions.Count == 1)
{
var position = positions.First();
UnitQuantities = new[]
{
Tuple.Create(position.Symbol, position.UnitQuantity)
};
}
else
{
// these have to be sorted for determinism
UnitQuantities = positions.OrderBy(x => x.Symbol).Select(p => Tuple.Create(p.Symbol, p.UnitQuantity)).ToList();
}
IsDefaultGroup = UnitQuantities.Count == 1 && BuyingPowerModel.GetType() == typeof(SecurityPositionGroupBuyingPowerModel);
}
///
/// Creates a new array of empty positions with unit quantities according to this key
///
public IPosition[] CreateEmptyPositions()
{
var positions = new IPosition[UnitQuantities.Count];
for (var i = 0; i < UnitQuantities.Count; i++)
{
var unitQuantity = UnitQuantities[i];
positions[i] = new Position(unitQuantity.Item1, 0m, unitQuantity.Item2);
}
return positions;
}
/// Indicates whether the current object is equal to another object of the same type.
/// An object to compare with this object.
/// true if the current object is equal to the parameter; otherwise, false.
public bool Equals(PositionGroupKey other)
{
if (ReferenceEquals(null, other))
{
return false;
}
if (ReferenceEquals(this, other))
{
return true;
}
return BuyingPowerModel.Equals(other.BuyingPowerModel)
&& UnitQuantities.ListEquals(other.UnitQuantities);
}
/// Determines whether the specified object is equal to the current object.
/// The object to compare with the current object.
/// true if the specified object is equal to the current object; otherwise, false.
public override bool Equals(object obj)
{
if (ReferenceEquals(null, obj))
{
return false;
}
if (ReferenceEquals(this, obj))
{
return true;
}
return obj is PositionGroupKey && Equals((PositionGroupKey) obj);
}
/// Serves as the default hash function.
/// A hash code for the current object.
public override int GetHashCode()
{
unchecked
{
return (BuyingPowerModel.GetHashCode() * 397) ^ UnitQuantities.GetListHashCode();
}
}
/// Returns a string that represents the current object.
/// A string that represents the current object.
public override string ToString()
{
return $"{string.Join("|", UnitQuantities.Select(x => $"{x.Item1}:{x.Item2.Normalize()}"))}";
}
///
/// Equals operator
///
public static bool operator ==(PositionGroupKey left, PositionGroupKey right)
{
return Equals(left, right);
}
///
/// Not equals operator
///
public static bool operator !=(PositionGroupKey left, PositionGroupKey right)
{
return !Equals(left, right);
}
}
}