chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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 System.Linq;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Orders.TimeInForces;
+
+namespace QuantConnect.Brokerages
+{
+    /// <summary>
+    /// Provides properties specific to interactive brokers
+    /// </summary>
+    public class InteractiveBrokersFixModel : InteractiveBrokersBrokerageModel
+    {
+        /// <summary>
+        /// Supported time in force
+        /// </summary>
+        protected override Type[] SupportedTimeInForces { get; } =
+        {
+            typeof(GoodTilCanceledTimeInForce),
+            typeof(DayTimeInForce),
+        };
+
+        /// <summary>
+        /// Supported order types
+        /// </summary>
+        protected override HashSet<OrderType> SupportedOrderTypes { get; } = new HashSet<OrderType>
+        {
+            OrderType.Market,
+            OrderType.MarketOnOpen,
+            OrderType.MarketOnClose,
+            OrderType.Limit,
+            OrderType.StopMarket,
+            OrderType.StopLimit,
+            OrderType.TrailingStop,
+            OrderType.ComboMarket,
+            OrderType.ComboLimit
+        };
+
+        private readonly GroupOrderCacheManager _groupOrderCacheManager = new();
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="InteractiveBrokersFixModel"/> class
+        /// </summary>
+        /// <param name="accountType">The type of account to be modelled, defaults to
+        /// <see cref="AccountType.Margin"/></param>
+        public InteractiveBrokersFixModel(AccountType accountType = AccountType.Margin)
+            : base(accountType)
+        {
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage could accept this order. This takes into account
+        /// order type, security type, and order size limits.
+        /// </summary>
+        /// <remarks>
+        /// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
+        /// </remarks>
+        /// <param name="security">The security being ordered</param>
+        /// <param name="order">The order to be processed</param>
+        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
+        /// <returns>True if the brokerage could process the order, false otherwise</returns>
+        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+        {
+            // only check supported combo order types
+            if (order is ComboOrder && order.GroupOrderManager != null && SupportedOrderTypes.Contains(order.Type))
+            {
+                if (_groupOrderCacheManager.TryGetGroupCachedOrders(order, out var orders))
+                {
+                    // reject combos that mix FutureOption and Future legs
+                    if (orders.Any(o => o.SecurityType == SecurityType.FutureOption) &&
+                        orders.Any(o => o.SecurityType == SecurityType.Future))
+                    {
+                        message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                            Messages.InteractiveBrokersFixModel.UnsupportedFopFutureComboOrders(this, order));
+                        return false;
+                    }
+                }
+            }
+
+            return base.CanSubmitOrder(security, order, out message);
+        }
+    }
+}