OrderSizing

QuantConnect.Orders.OrderSizing

Bases: Object

Provides methods for computing a maximum order size.

get_unordered_quantity

get_unordered_quantity(
    algorithm: IAlgorithm, target: IPortfolioTarget
) -> float

get_unordered_quantity(
    algorithm: IAlgorithm,
    target: IPortfolioTarget,
    security: Security,
    account_for_fees: bool = False,
) -> float

Gets the remaining quantity to be ordered to reach the specified target quantity.

Parameters:

Name	Type	Description	Default
algorithm	IAlgorithm	The algorithm instance	required
target	IPortfolioTarget	The portfolio target	required
security	Optional[Security]	The target security	None
account_for_fees	Optional[bool]	True for taking into account the fee's in the order quantity.	False

Returns:

Type	Description
float	The signed remaining quantity to be ordered.

adjust_by_lot_size

adjust_by_lot_size(
    security: Security, quantity: float
) -> float

Adjusts the provided order quantity to respect the securities lot size. If the quantity is missing 1M part of the lot size it will be rounded up since we suppose it's due to floating point error, this is required to avoid diff between Py and C#

Parameters:

Name	Type	Description	Default
security	Security	The security instance	required
quantity	float	The desired quantity to adjust, can be signed	required

Returns:

Type	Description
float	The signed adjusted quantity.

get_order_size_for_maximum_value

get_order_size_for_maximum_value(
    security: Security,
    maximum_order_value_in_account_currency: float,
    desired_order_size: float,
) -> float

Adjust the provided order size to respect the maximum total order value

Parameters:

Name	Type	Description	Default
security	Security	The security object	required
maximum_order_value_in_account_currency	float	The maximum order value in units of the account currency	required
desired_order_size	float	The desired order size to adjust	required

Returns:

Type	Description
float	The signed adjusted order size.

get_order_size_for_percent_volume

get_order_size_for_percent_volume(
    security: Security,
    maximum_percent_current_volume: float,
    desired_order_size: float,
) -> float

Adjust the provided order size to respect maximum order size based on a percentage of current volume.

Parameters:

Name	Type	Description	Default
security	Security	The security object	required
maximum_percent_current_volume	float	The maximum percentage of the current bar's volume	required
desired_order_size	float	The desired order size to adjust	required

Returns:

Type	Description
float	The signed adjusted order size.