# 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.

from AlgorithmImports import *

### <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>
### <meta name="tag" content="securities and portfolio" />
### <meta name="tag" content="margin models" />
class MarginCallEventsAlgorithm(QCAlgorithm):
 """
 This algorithm showcases two margin related event handlers.
 on_margin_call_warning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value
 on_margin_call: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation
 """

 def initialize(self):
 self.set_cash(100000)
 self.set_start_date(2013,10,1)
 self.set_end_date(2013,12,11)
 self.add_equity("SPY", Resolution.SECOND)
 # cranking up the leverage increases the odds of a margin call
 # when the security falls in value
 self.securities["SPY"].set_leverage(100)

 def on_data(self, data):
 if not self.portfolio.invested:
 self.set_holdings("SPY",100)

 def on_margin_call(self, requests):
 # Margin call event handler. This method is called right before the margin call orders are placed in the market.
 # <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
 # 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
 for order in requests:

 # liquidate an extra 10% each time we get a margin call to give us more padding
 new_quantity = int(order.quantity * 1.1)
 requests.remove(order)
 requests.append(SubmitOrderRequest(order.order_type, order.security_type, order.symbol, new_quantity, order.stop_price, order.limit_price, self.time, "on_margin_call"))

 return requests

 def on_margin_call_warning(self):
 # Margin call warning event handler.
 # This method is called when portfolio.margin_remaining is under 5% of your portfolio.total_portfolio_value
 # a chance to prevent a margin call from occurring

 spy_holdings = self.securities["SPY"].holdings.quantity
 shares = int(-spy_holdings * 0.005)
 self.error("{0} - on_margin_call_warning(): Liquidating {1} shares of SPY to avoid margin call.".format(self.time, shares))
 self.market_order("SPY", shares)