from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")

from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import QCAlgorithm
import numpy as np
import decimal as d 
from datetime import datetime, timedelta

### <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.
    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
    """

    def Initialize(self):

        self.SetCash(100000)
        self.SetStartDate(2013,10,1)
        self.SetEndDate(2013,12,11)
        self.AddEquity("SPY", Resolution.Second)
        self.Portfolio.MarginCallModel = MarginCallModel.Null
        # cranking up the leverage increases the odds of a margin call 
        # when the security falls in value
        self.Securities["SPY"].SetLeverage(100)
        
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY",100)
        
    def OnMarginCall(self, requests):
        self.Debug("margin called")
        # 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
            newQuantity = int(np.sign(order.Quantity) * order.Quantity * d.Decimal(1.1))
            requests.remove(order)
            requests.append(SubmitOrderRequest(order.OrderType, order.SecurityType, order.Symbol, newQuantity, order.StopPrice, order.LimitPrice, self.Time, "OnMarginCall"))
        
        return requests
            
    def OnMarginCallWarning(self):
        self.Debug("margin call warning")
        # Margin call warning event handler. 
        # This method is called when Portoflio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue
        # a chance to prevent a margin call from occurring
        
        spyHoldings = self.Securities["SPY"].Holdings.Quantity
        shares = int(-spyHoldings * d.Decimal(0.005))
        self.Error("{0} - OnMarginCallWarning(): Liquidating {1} shares of SPY to avoid margin call.".format(self.Time, shares))
        self.MarketOrder("SPY", shares)