iframe-proxy | Sunbelt Computer Software

History

92 lines (85 loc) · 4.38 KB

Raw

* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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.Collections.Generic;

using System.Linq;

using QuantConnect.Data.Market;

using QuantConnect.Orders;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// This algorithm showcases two margin related event handlers.

/// OnMarginCallWarning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value

/// OnMarginCall: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation

/// </summary>

public class MarginCallEventsAlgorithm : QCAlgorithm

{

/// <summary>

/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

/// </summary>

public override void Initialize()

{

SetStartDate(2013, 10, 01); //Set Start Date

SetEndDate(2013, 12, 11); //Set End Date

SetCash(100000); //Set Strategy Cash

// Find more symbols here: http://quantconnect.com/data

AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);

// cranking up the leverage increases the odds of a margin call when the security falls in value

Securities["SPY"].SetLeverage(100);

}

/// <summary>

/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

/// </summary>

/// <param name="data">TradeBars IDictionary object with your stock data</param>

public void OnData(TradeBars data)

{

if (!Portfolio.Invested)

{

Liquidate();

SetHoldings("SPY", 1);

}

/// <summary>

/// Margin call event handler. This method is called right before the margin call orders are placed in the market.

/// </summary>

/// <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>

public override void OnMarginCall(List<SubmitOrderRequest> requests)

{

// this code gets called BEFORE the orders are placed, so we can try to liquidate some of our positions

// before we get the margin call orders executed. We could also modify these orders by changing their

// quantities

foreach (var order in requests.ToList())

{

// liquidate an extra 10% each time we get a margin call to give us more padding

var newQuantity = (int)(Math.Sign(order.Quantity) * order.Quantity * 1.1m);

requests.Remove(order);

requests.Add(new SubmitOrderRequest(order.OrderType, order.SecurityType, order.Symbol, newQuantity, order.StopPrice, order.LimitPrice, Time, "OnMarginCall"));

}

/// <summary>

/// Margin call warning event handler. This method is called when Portoflio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue

/// </summary>

public override void OnMarginCallWarning()

{

// this code gets called when the margin remaining drops below 5% of our total portfolio value, it gives the algorithm

// a chance to prevent a margin call from occurring

// prevent margin calls by responding to the warning and increasing margin remaining

var spyHoldings = Securities["SPY"].Holdings.Quantity;

var shares = (int)(-spyHoldings * .005m);

Error(string.Format("{0} - OnMarginCallWarning(): Liquidating {1} shares of SPY to avoid margin call.", Time, shares));

MarketOrder("SPY", shares);

}

Sunbelt Computer Software

PL/B Language Development and Support

Navigation Menu

Sunbelt Computer Software

PL/B Language Development and Support

FilesExpand file tree

MarginCallEventsAlgorithm.cs

Latest commit

History

MarginCallEventsAlgorithm.cs

File metadata and controls