Alpha holdings state

- Alpha result packet will optionally provide the algorithms portfolio
  state

Common/Extensions.cs

@@ -342,6 +342,12 @@ namespace QuantConnect
                         resultPacket.Orders = resultPacket.Orders.GroupBy(order => order.Id)
                             .Select(ordersGroup => ordersGroup.Last()).ToList();
                     }
+
+                    if (newerPacket.Portfolio != null)
+                    {
+                        // we just keep the newest state if not null
+                        resultPacket.Portfolio = newerPacket.Portfolio;
+                    }
                 }
             }
             return resultPacket;

Common/Packets/AlphaResultPacket.cs

@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -14,15 +14,11 @@
  *
 */
 
-/*
-* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
-* Lean Algorithmic Trading Engine v2.2 Copyright 2015 QuantConnect Corporation.
-*/
-
-using System.Collections.Generic;
 using Newtonsoft.Json;
-using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Orders;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Alphas;
 
 namespace QuantConnect.Packets
 {
@@ -68,6 +64,12 @@ namespace QuantConnect.Packets
         [JsonProperty("orders", DefaultValueHandling = DefaultValueHandling.Ignore)]
         public List<Order> Orders { get; set; }
 
+        /// <summary>
+        /// The algorithms current portfolio state
+        /// </summary>
+        [JsonProperty("portfolio", DefaultValueHandling = DefaultValueHandling.Ignore)]
+        public SecurityPortfolioState Portfolio { get; set; }
+
         /// <summary>
         /// Initializes a new instance of the <see cref="AlphaResultPacket"/> class
         /// </summary>
@@ -84,7 +86,8 @@ namespace QuantConnect.Packets
         /// <param name="insights">Alphas generated by the algorithm</param>
         /// <param name="orderEvents">OrderEvents generated by the algorithm</param>
         /// <param name="orders">Orders generated or updated by the algorithm</param>
-        public AlphaResultPacket(string algorithmId, int userId, List<Insight> insights = null, List<OrderEvent> orderEvents = null, List<Order> orders = null)
+        /// <param name="portfolio">The algorithms current portfolio state</param>
+        public AlphaResultPacket(string algorithmId, int userId, List<Insight> insights = null, List<OrderEvent> orderEvents = null, List<Order> orders = null, SecurityPortfolioState portfolio = null)
             : base(PacketType.AlphaResult)
         {
             UserId = userId;
@@ -92,6 +95,7 @@ namespace QuantConnect.Packets
             Insights = insights;
             OrderEvents = orderEvents;
             Orders = orders;
+            Portfolio = portfolio;
         }
     }
 }

Common/Securities/CashBuyingPowerModel.cs

@@ -26,14 +26,6 @@ namespace QuantConnect.Securities
     /// </summary>
     public class CashBuyingPowerModel : BuyingPowerModel
     {
-        /// <summary>
-        /// Initializes a new instance of the <see cref="CashBuyingPowerModel"/> class
-        /// </summary>
-        public CashBuyingPowerModel()
-            : base(1m, 0m, 0m)
-        {
-        }
-
         /// <summary>
         /// Gets the current leverage of the security
         /// </summary>

Common/Securities/SecurityPortfolioState.cs

@@ -0,0 +1,128 @@
+/*
+ * 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 Newtonsoft.Json;
+using System.Collections.Generic;
+using QuantConnect.Securities.Positions;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Snapshot of an algorithms portfolio state
+    /// </summary>
+    public class SecurityPortfolioState
+    {
+        /// <summary>
+        /// Portfolio state id
+        /// </summary>
+        public int Id { get; set; }
+
+        /// <summary>
+        /// Algorithms account currency
+        /// </summary>
+        public string AccountCurrency { get; set; }
+
+        /// <summary>
+        /// The utc time this state was captured
+        /// </summary>
+        public DateTime UtcTime { get; set; }
+
+        /// <summary>
+        /// The current total portfolio value
+        /// </summary>
+        public decimal TotalPortfolioValue { get; set; }
+
+        /// <summary>
+        /// The margin used
+        /// </summary>
+        public decimal TotalMarginUsed { get; set; }
+
+        /// <summary>
+        /// The different positions groups
+        /// </summary>
+        [JsonProperty("positionGroups", DefaultValueHandling = DefaultValueHandling.Ignore)]
+        public List<PositionGroupState> PositionGroups { get; set; }
+
+        /// <summary>
+        /// Gets the cash book that keeps track of all currency holdings (only settled cash)
+        /// </summary>
+        [JsonProperty("cashBook", DefaultValueHandling = DefaultValueHandling.Ignore)]
+        public Dictionary<string, Cash> CashBook { get; set; }
+
+        /// <summary>
+        /// Gets the cash book that keeps track of all currency holdings (only unsettled cash)
+        /// </summary>
+        [JsonProperty("unsettledCashBook", DefaultValueHandling = DefaultValueHandling.Ignore)]
+        public Dictionary<string, Cash> UnsettledCashBook { get; set; }
+    }
+
+    /// <summary>
+    /// Snapshot of a position group state
+    /// </summary>
+    public class PositionGroupState
+    {
+        /// <summary>
+        /// Currently margin used
+        /// </summary>
+        public decimal MarginUsed { get; set; }
+
+        /// <summary>
+        /// The margin used by this position in relation to the total portfolio value
+        /// </summary>
+        public decimal PortfolioValuePercentage { get; set; }
+
+        /// <summary>
+        /// THe positions which compose this group
+        /// </summary>
+        public List<PositionState> Positions { get; set; }
+    }
+
+    /// <summary>
+    /// Snapshot of a position state
+    /// </summary>
+    public class PositionState : IPosition
+    {
+        /// <summary>
+        /// The symbol
+        /// </summary>
+        public Symbol Symbol { get; set; }
+
+        /// <summary>
+        /// The quantity
+        /// </summary>
+        public decimal Quantity { get; set; }
+
+        /// <summary>
+        /// The unit quantity. The unit quantities of a group define the group. For example, a covered
+        /// call has 100 units of stock and -1 units of call contracts.
+        /// </summary>
+        public decimal UnitQuantity { get; set; }
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        public static PositionState Create(IPosition position)
+        {
+            return new PositionState
+            {
+                Symbol = position.Symbol,
+                Quantity = position.Quantity,
+                UnitQuantity = position.UnitQuantity
+            };
+        }
+    }
+}

Tests/Common/Util/ExtensionsTests.cs

@@ -67,15 +67,16 @@ namespace QuantConnect.Tests.Common.Util
             };
             var orders = new List<Order> { new MarketOrder(btcusd, 1000, DateTime.UtcNow, "ExpensiveOrder") { Id = 1 } };
 
-            var packet1 = new AlphaResultPacket("1", 1, insights: insights);
+            var packet1 = new AlphaResultPacket("1", 1, insights: insights, portfolio: new SecurityPortfolioState { TotalPortfolioValue = 11 });
             var packet2 = new AlphaResultPacket("1", 1, orders: orders);
-            var packet3 = new AlphaResultPacket("1", 1, orderEvents: orderEvents);
+            var packet3 = new AlphaResultPacket("1", 1, orderEvents: orderEvents, portfolio: new SecurityPortfolioState { TotalPortfolioValue = 12 });
 
             var result = new List<AlphaResultPacket> { packet1, packet2, packet3 }.Batch();
 
             Assert.AreEqual(2, result.Insights.Count);
             Assert.AreEqual(2, result.OrderEvents.Count);
             Assert.AreEqual(1, result.Orders.Count);
+            Assert.AreEqual(12, result.Portfolio.TotalPortfolioValue);
 
             Assert.IsTrue(result.Insights.SequenceEqual(insights));
             Assert.IsTrue(result.OrderEvents.SequenceEqual(orderEvents));