chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating how to setup a custom brokerage message handler. Using the custom messaging
+    /// handler you can ensure your algorithm continues operation through connection failures.
+    /// </summary>
+    /// <meta name="tag" content="trading and orders" />
+    /// <meta name="tag" content="brokerage models" />
+    public class CustomBrokerageErrorHandlerAlgorithm : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2013, 1, 1);
+            SetEndDate(DateTime.Now.Date.AddDays(-1));
+            SetCash(25000);
+            AddSecurity(SecurityType.Equity, "SPY");
+
+            //Set the brokerage message handler:
+            SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.HoldStock) return;
+            Order("SPY", 100);
+            Debug("Purchased SPY on " + Time.ToShortDateString());
+        }
+    }
+
+    /// <summary>
+    /// Handle the error messages in a custom manner
+    /// </summary>
+    public class CustomBrokerageMessageHandler : IBrokerageMessageHandler
+    {
+        private readonly IAlgorithm _algo;
+        public CustomBrokerageMessageHandler(IAlgorithm algo) { _algo = algo; }
+
+        /// <summary>
+        /// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
+        /// </summary>
+        /// <param name="message">Message object</param>
+        public void HandleMessage(BrokerageMessageEvent message)
+        {
+            var toLog = $"{_algo.Time.ToStringInvariant("o")} Event: {message.Message}";
+            _algo.Debug(toLog);
+            _algo.Log(toLog);
+        }
+
+        /// <summary>
+        /// Handles a new order placed manually in the brokerage side
+        /// </summary>
+        /// <param name="eventArgs">The new order event</param>
+        /// <returns>Whether the order should be added to the transaction handler</returns>
+        public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
+        {
+            return true;
+        }
+    }
+}