Model Interest Paid on Leveraged Assets

Implements IMarginInterestModel interface to model interest paid on leveraged assets.
Implements a ConstantMarginInterestModel to model a constant interest paid.
Modifies SecurityPortfolioManager and AlgorithmManager to enable the margin interest modelling.
Adds MarginInterestTests to test the implementation
Ref: issue QuantConnect#32

Common/Orders/MarginInterest/ConstantMarginInterestModel.cs

@@ -0,0 +1,102 @@
+/*
+ * 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 System;
+using QuantConnect.Securities;
+using System.Linq;
+
+namespace QuantConnect.Orders.MarginInterest
+{
+    /// <summary>
+    /// Provides an order margin interest model that always returns the same margin interest.
+    /// </summary>
+    public class ConstantMarginInterestModel : IMarginInterestModel
+    {
+        private const int _daysPerYear = 365;
+        private readonly decimal _marginInterestRate;
+        private decimal _totalInterestPaid;
+
+        /// <summary>
+        /// Total interest paid during the algorithm operation across all securities in portfolio.
+        /// </summary>
+        public decimal TotalInterestPaid
+        {
+            get
+            {
+                return _totalInterestPaid;
+            }
+        } 
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ConstantMarginInterestModel"/> class with the specified <paramref name="marginInterestRate"/>
+        /// </summary>
+        /// <param name="marginInterestRate">The constant annual margin interest rate used by the model</param>
+        public ConstantMarginInterestModel(decimal marginInterestRate)
+        {
+            _marginInterestRate = marginInterestRate;
+            _totalInterestPaid = 0m;
+        }
+
+        /// <summary>
+        /// Gets the margin interest associated with the total loan in our portfolio. 
+        /// This returns the cost of the borrowed money in the account currency
+        /// </summary>
+        /// <param name="securities">Securities collection for the portfolio summation</param>
+        /// <param name="applicationTimeUtc">Time margin interest payment is made</param>
+        /// <param name="totalMarginUsed">Total amount of margin used</param>
+        public decimal PayMarginInterest(SecurityManager securities, DateTime applicationTimeUtc, decimal totalMarginUsed)
+        {
+            if (totalMarginUsed == 0)
+            {
+                return 0m;
+            }
+
+            var totalHoldingsValue = securities.Values.Sum(x => x.Holdings.HoldingsValue);
+            if (totalHoldingsValue <= 0)
+            {
+                return 0m;
+            }
+
+            var holdingDays = int.MaxValue;
+
+            foreach (var security in securities)
+            {
+                // If market was opened this date, check if previous day(s) were closed
+                if (security.Value.Exchange.DateIsOpen(applicationTimeUtc))
+                {
+                    var past = 1;
+                    while (!security.Value.Exchange.DateIsOpen(applicationTimeUtc.AddDays(-past)))
+                    {
+                        past++;
+                    }
+                    holdingDays = Math.Min(holdingDays, past - 1);
+                }
+                else
+                {
+                    holdingDays = -1;
+                }
+            }
+
+            holdingDays++;
+
+            var factor = _marginInterestRate / _daysPerYear * holdingDays;
+            var marginInterest = totalMarginUsed * factor;
+
+            _totalInterestPaid += marginInterest;
+
+            return marginInterest;
+        }
+    }
+}

Common/Orders/MarginInterest/IMarginInterestModel.cs

@@ -0,0 +1,40 @@
+/*
+ * 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 QuantConnect.Securities;
+using System;
+
+namespace QuantConnect.Orders.MarginInterest
+{
+    /// <summary>
+    /// Represents a model the simulates margin interest
+    /// </summary>
+    public interface IMarginInterestModel
+    {
+        /// <summary>
+        /// Total interest paid during the algorithm operation across all securities in portfolio.
+        /// </summary>
+        decimal TotalInterestPaid { get;  }
+
+        /// <summary>
+        /// Gets the margin interest associated with the total loan in our portfolio. 
+        /// This returns the cost of the borrowed money in the account currency
+        /// </summary>
+        /// <param name="securities">Securities collection for the portfolio summation</param>
+        /// <param name="applicationTimeUtc">Time margin interest payment is made</param>
+        /// <param name="totalMarginUsed">Total amount of margin used</param>
+        decimal PayMarginInterest(SecurityManager securities, DateTime applicationTimeUtc, decimal totalMarginUsed);
+    }
+}

Common/QuantConnect.csproj

@@ -220,6 +220,8 @@
     <Compile Include="Orders\Fees\IFeeModel.cs" />
     <Compile Include="Orders\Fills\ImmediateFillModel.cs" />
     <Compile Include="Orders\Fills\IFillModel.cs" />
+    <Compile Include="Orders\MarginInterest\ConstantMarginInterestModel.cs" />
+    <Compile Include="Orders\MarginInterest\IMarginInterestModel.cs" />
     <Compile Include="Orders\MarketOnCloseOrder.cs" />
     <Compile Include="Orders\MarketOnOpenOrder.cs" />
     <Compile Include="Orders\OrderField.cs" />

Common/Securities/SecurityPortfolioManager.cs

@@ -19,6 +19,7 @@
 using System.Linq;
 using QuantConnect.Data.Market;
 using QuantConnect.Orders;
+using QuantConnect.Orders.MarginInterest;
 
 namespace QuantConnect.Securities 
 {
@@ -48,6 +49,11 @@ public class SecurityPortfolioManager : IDictionary<Symbol, SecurityHolding>, IS
         /// </summary>
         public CashBook UnsettledCashBook { get; private set; }
 
+        /// <summary>
+        /// Models the margin interest paid on leveraged assets
+        /// </summary>
+        public IMarginInterestModel MarginInterestModel { get; set; }
+
         /// <summary>
         /// The list of pending funds waiting for settlement time
         /// </summary>
@@ -59,7 +65,7 @@ public class SecurityPortfolioManager : IDictionary<Symbol, SecurityHolding>, IS
         // Record keeping variables
         private readonly Cash _baseCurrencyCash;
         private readonly Cash _baseCurrencyUnsettledCash;
-
+        
         /// <summary>
         /// Initialise security portfolio manager.
         /// </summary>
@@ -71,6 +77,7 @@ public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransac
 
             CashBook = new CashBook();
             UnsettledCashBook = new CashBook();
+            MarginInterestModel = new ConstantMarginInterestModel(0m);
             _unsettledCashAmounts = new List<UnsettledCashAmount>();
 
             _baseCurrencyCash = CashBook[CashBook.AccountCurrency];
@@ -384,6 +391,17 @@ public decimal TotalFees
             }
         }
 
+        /// <summary>
+        /// Total interest paid during the algorithm operation across all securities in portfolio.
+        /// </summary>
+        public decimal TotalInterestPaid
+        {
+            get
+            {
+                return MarginInterestModel.TotalInterestPaid;
+            }
+        }
+
         /// <summary>
         /// Sum of all gross profit across all securities in portfolio.
         /// </summary>
@@ -392,7 +410,7 @@ public decimal TotalProfit
             get 
             {
                 return (from position in Securities.Values
-                        select position.Holdings.Profit).Sum();
+                        select position.Holdings.Profit).Sum() - TotalInterestPaid;
             }
         }
 
@@ -584,6 +602,16 @@ public List<SubmitOrderRequest> ScanForMarginCall(out bool issueMarginCallWarnin
             return marginCallOrders;
         }
 
+        /// <summary>
+        /// Pay interest on the borrowed funds (margin interest)
+        /// </summary>
+        /// <param name="time">Time margin interest is payed</param>
+        public void PayMarginInterest(DateTime time)
+        {
+            var marginInterestPayment = MarginInterestModel.PayMarginInterest(Securities, time, TotalMarginUsed);
+            _baseCurrencyCash.AddAmount(-marginInterestPayment);
+        }
+
         /// <summary>
         /// Applies a dividend to the portfolio
         /// </summary>

Engine/AlgorithmManager.cs

@@ -140,6 +140,7 @@ public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, I
             var nextMarginCallTime = DateTime.MinValue;
             var settlementScanFrequency = TimeSpan.FromMinutes(30);
             var nextSettlementScanTime = DateTime.MinValue;
+            var nextMidnight = DateTime.MinValue;
 
             var delistingTickets = new List<OrderTicket>();
 
@@ -358,6 +359,13 @@ public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, I
                     break;
                 }
 
+                // perform overnight updates
+                if (time >= nextMidnight)
+                {
+                    algorithm.Portfolio.PayMarginInterest(time);
+                    nextMidnight = time.Date.AddDays(1);
+                }
+
                 // perform margin calls, in live mode we can also use realtime to emit these
                 if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
                 {