Etoro cash-account targets size against combined crypto inventory rather than per-instrument holdings

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Evaluación

Dificultad
4/5
Tiempo estimado
3-5 días
Aptitud para principiantes
56/100
Tipo de issue
Error
Claridad
Bien especificado
Estado de actividad
Activo
Stack tecnológico
csharp
Área
backend, databases

Línea de trabajo

Read Common/Securities/CashBuyingPowerModel.cs:206-219, EtoroBrokerageModel.cs, and SecurityPortfolioModel.cs:75-79 to trace cash-account sizing and instrument holdings. Start by comparing eToro's sizing model with existing position-based sizing and check how spot exchanges use the generic cash model. Add regression coverage for zero and nonzero targets across two instruments sharing a base currency; done when those targets use each instrument's position and spot-exchange behavior remains unchanged.

Escrito por el modelo de indexación a partir del texto del issue.

Descripción

What happens

On EtoroBrokerageModel(AccountType.Cash), crypto target sizing uses the combined base-currency cash balance instead of the holdings of the requested instrument. eToro's order model treats positions as instrument-specific and rejects a market order that crosses zero, so this can either prevent a close or trade in the wrong direction.

Synthetic reproduction against Lean 2d730d56e (no brokerage connection or live trade):

  • USD cash: 10,000.
  • BTC cash: 2, conversion rate 10,000 USD/BTC.
  • EUR cash: 0, conversion rate 1 USD/EUR.
  • BTCUSD and BTCEUR: one BTC held on each, each priced at 10,000 in its quote currency.
  • Both securities use the buying-power and fee models returned by EtoroBrokerageModel(AccountType.Cash); portfolio free-value and minimum-order buffers are zero.
  • Total portfolio value: 30,000 USD.

Actual output:

CalculateOrderQuantity(BTCUSD, 0) = -2
CanSubmitOrder = false (cross-zero rejection; BTCUSD holds only 1)

CalculateOrderQuantity(BTCUSD, 0.5) = -0.4950495
CanSubmitOrder = true

The zero target should close the one BTCUSD unit, not also attempt to sell the BTC represented by BTCEUR. The 50% target should increase BTCUSD from 10,000 toward 15,000 USD, not reduce it.

Source

  • Common/Securities/CashBuyingPowerModel.cs:206-219: the zero target returns -BaseCurrency.Amount; other targets compare against the value of that same combined currency balance.
  • Common/Brokerages/EtoroBrokerageModel.cs: inherits this cash-account buying-power model, but its CanSubmitOrder checks cross-zero against the instrument's holdings.
  • Common/Securities/SecurityPortfolioModel.cs:75-79: ordinary crypto fills already add units to the shared base-currency cash balance, so this can arise in an uninterrupted running algorithm too.

What a fix must achieve

Keep the cash book's combined coin inventory and valuation, while sizing eToro portfolio targets against the requested instrument's position. Cover a zero and a nonzero target with two instruments sharing the same base currency, and leave spot-exchange behavior unchanged.

Suggestion only: evaluate a position-aware buying-power model for eToro, reusing existing position-based sizing where possible rather than changing the generic spot-cash model.

This is distinct from #1860, which addressed initial virtual holdings: here both holdings are populated and the base-currency balance is correct.

Lenguaje dominante
C#
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