BuyingPowerModelPythonWrapper.cs

/*
 * 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 Python.Runtime;
using QuantConnect.Securities;
 
namespace QuantConnect.Python
{
    /// <summary>
    /// Wraps a <see cref="PyObject"/> object that represents a security's model of buying power
    /// </summary>
    public class BuyingPowerModelPythonWrapper : BasePythonWrapper<IBuyingPowerModel>, IBuyingPowerModel
    {
        /// <summary>
        /// Constructor for initializing the <see cref="BuyingPowerModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
        /// </summary>
        /// <param name="model">Represents a security's model of buying power</param>
        public BuyingPowerModelPythonWrapper(PyObject model)
            : base(model)
        {
        }
 
        /// <summary>
        /// Gets the buying power available for a trade
        /// </summary>
        /// <param name="parameters">A parameters object containing the algorithm's potrfolio, security, and order direction</param>
        /// <returns>The buying power available for the trade</returns>
        public BuyingPower GetBuyingPower(BuyingPowerParameters parameters)
        {
            return InvokeMethod<BuyingPower>(nameof(GetBuyingPower), parameters);
        }
 
        /// <summary>
        /// Gets the current leverage of the security
        /// </summary>
        /// <param name="security">The security to get leverage for</param>
        /// <returns>The current leverage in the security</returns>
        public decimal GetLeverage(Security security)
        {
            return InvokeMethod<decimal>(nameof(GetLeverage), security);
        }
 
        /// <summary>
        /// Get the maximum market order quantity to obtain a position with a given buying power percentage.
        /// Will not take into account free buying power.
        /// </summary>
        /// <param name="parameters">An object containing the portfolio, the security and the target signed buying power percentage</param>
        /// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
        public GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
        {
            return InvokeMethod<GetMaximumOrderQuantityResult>(nameof(GetMaximumOrderQuantityForTargetBuyingPower), parameters);
        }
 
        /// <summary>
        /// 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.
        /// </summary>
        /// <param name="parameters">An object containing the portfolio, the security and the delta buying power</param>
        /// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
        public GetMaximumOrderQuantityResult GetMaximumOrderQuantityForDeltaBuyingPower(
            GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters)
        {
            return InvokeMethod<GetMaximumOrderQuantityResult>(nameof(GetMaximumOrderQuantityForDeltaBuyingPower), parameters);
        }
 
        /// <summary>
        /// Gets the amount of buying power reserved to maintain the specified position
        /// </summary>
        /// <param name="parameters">A parameters object containing the security</param>
        /// <returns>The reserved buying power in account currency</returns>
        public ReservedBuyingPowerForPosition GetReservedBuyingPowerForPosition(ReservedBuyingPowerForPositionParameters parameters)
        {
            return InvokeMethod<ReservedBuyingPowerForPosition>(nameof(GetReservedBuyingPowerForPosition), parameters);
        }
 
        /// <summary>
        /// Check if there is sufficient buying power to execute this order.
        /// </summary>
        /// <param name="parameters">An object containing the portfolio, the security and the order</param>
        /// <returns>Returns buying power information for an order</returns>
        public HasSufficientBuyingPowerForOrderResult HasSufficientBuyingPowerForOrder(HasSufficientBuyingPowerForOrderParameters parameters)
        {
            return InvokeMethod<HasSufficientBuyingPowerForOrderResult>(nameof(HasSufficientBuyingPowerForOrder), parameters);
        }
 
        /// <summary>
        /// Sets the leverage for the applicable securities, i.e, equities
        /// </summary>
        /// <remarks>
        /// This is added to maintain backwards compatibility with the old margin/leverage system
        /// </remarks>
        /// <param name="security">The security to set leverage for</param>
        /// <param name="leverage">The new leverage</param>
        public void SetLeverage(Security security, decimal leverage)
        {
            InvokeMethod(nameof(SetLeverage), security, leverage);
        }
 
        /// <summary>
        /// Gets the margin currently allocated to the specified holding
        /// </summary>
        /// <param name="parameters">An object containing the security</param>
        /// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
        public MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
        {
            return InvokeMethod<MaintenanceMargin>(nameof(GetMaintenanceMargin), parameters);
        }
 
        /// <summary>
        /// The margin that must be held in order to increase the position by the provided quantity
        /// </summary>
        /// <param name="parameters">An object containing the security and quantity</param>
        /// <returns>The initial margin required for the provided security and quantity</returns>
        public InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
        {
            return InvokeMethod<InitialMargin>(nameof(GetInitialMarginRequirement), parameters);
        }
 
        /// <summary>
        /// Gets the total margin required to execute the specified order in units of the account currency including fees
        /// </summary>
        /// <param name="parameters">An object containing the portfolio, the security and the order</param>
        /// <returns>The total margin in terms of the currency quoted in the order</returns>
        public InitialMargin GetInitialMarginRequiredForOrder(InitialMarginRequiredForOrderParameters parameters)
        {
            return InvokeMethod<InitialMargin>(nameof(GetInitialMarginRequiredForOrder), parameters);
        }
    }
}