chore: import upstream snapshot with attribution

Common/Orders/GroupOrderExtensions.cs

@@ -0,0 +1,160 @@
+/*
+ * 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.Logging;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Orders
+{
+    /// <summary>
+    /// Group (combo) orders extension methods for easiest combo order manipulation
+    /// </summary>
+    public static class GroupOrderExtensions
+    {
+        /// <summary>
+        /// Gets the grouped orders (legs) of a group order
+        /// </summary>
+        /// <param name="order">Target order, which can be any of the legs of the combo</param>
+        /// <param name="orderProvider">Order provider to use to access the existing orders</param>
+        /// <param name="orders">List of orders in the combo</param>
+        /// <returns>False if any of the orders in the combo is not yet found in the order provider. True otherwise</returns>
+        /// <remarks>If the target order is not a combo order, the resulting list will contain that single order alone</remarks>
+        public static bool TryGetGroupOrders(this Order order, Func<int, Order> orderProvider, out List<Order> orders)
+        {
+            orders = new List<Order> { order };
+            if (order.GroupOrderManager != null)
+            {
+                lock (order.GroupOrderManager.OrderIds)
+                {
+                    foreach (var otherOrdersId in order.GroupOrderManager.OrderIds.Where(id => id != order.Id))
+                    {
+                        var otherOrder = orderProvider(otherOrdersId);
+                        if (otherOrder != null)
+                        {
+                            orders.Add(otherOrder);
+                        }
+                        else
+                        {
+                            // this will happen while all the orders haven't arrived yet, we will retry
+                            return false;
+                        }
+                    }
+                }
+
+                if (order.GroupOrderManager.Count != orders.Count)
+                {
+                    if (Log.DebuggingEnabled)
+                    {
+                        Log.Debug($"GroupOrderExtensions.TryGetGroupOrders(): missing orders of group {order.GroupOrderManager.Id}." +
+                            $" We have {orders.Count}/{order.GroupOrderManager.Count} orders will skip");
+                    }
+                    return false;
+                }
+            }
+
+            orders.Sort((x, y) => x.Id.CompareTo(y.Id));
+
+            return true;
+        }
+
+        /// <summary>
+        /// Gets the securities corresponding to each order in the group
+        /// </summary>
+        /// <param name="orders">List of orders to map</param>
+        /// <param name="securityProvider">The security provider to use</param>
+        /// <param name="securities">The resulting map of order to security</param>
+        /// <returns>True if the mapping is successful, false otherwise.</returns>
+        public static bool TryGetGroupOrdersSecurities(this List<Order> orders, ISecurityProvider securityProvider, out Dictionary<Order, Security> securities)
+        {
+            securities = new(orders.Count);
+            for (var i = 0; i < orders.Count; i++)
+            {
+                var order = orders[i];
+                var security = securityProvider.GetSecurity(order.Symbol);
+
+                if (security == null)
+                {
+                    return false;
+                }
+                securities[order] = security;
+            }
+            return true;
+        }
+
+        /// <summary>
+        /// Returns an error string message saying there is insufficient buying power for the given orders associated with their respective
+        /// securities
+        /// </summary>
+        public static string GetErrorMessage(this Dictionary<Order, Security> securities, HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult)
+        {
+            return Messages.GroupOrderExtensions.InsufficientBuyingPowerForOrders(securities, hasSufficientBuyingPowerResult);
+        }
+
+        /// <summary>
+        /// Gets the combo order leg group quantity, that is, the total number of shares to be bought/sold from this leg,
+        /// from its ratio and the group order quantity
+        /// </summary>
+        /// <param name="legRatio">The leg ratio</param>
+        /// <param name="groupOrderManager">The group order manager</param>
+        /// <returns>The total number of shares to be bought/sold from this leg</returns>
+        public static decimal GetOrderLegGroupQuantity(this decimal legRatio, GroupOrderManager groupOrderManager)
+        {
+            return groupOrderManager != null ? legRatio * groupOrderManager.Quantity : legRatio;
+        }
+
+        /// <summary>
+        /// Gets the combo order leg ratio from its group quantity and the group order quantity
+        /// </summary>
+        /// <param name="legGroupQuantity">
+        /// The total number of shares to be bought/sold from this leg, that is, the result of the let ratio times the group quantity
+        /// </param>
+        /// <param name="groupOrderManager">The group order manager</param>
+        /// <returns>The ratio of this combo order leg</returns>
+        public static decimal GetOrderLegRatio(this decimal legGroupQuantity, GroupOrderManager groupOrderManager)
+        {
+            return groupOrderManager != null ? legGroupQuantity / groupOrderManager.Quantity : legGroupQuantity;
+        }
+
+        /// <summary>
+        /// Calculates the greatest common divisor (GCD) of the provided leg quantities
+        /// and returns it as a signed quantity based on the <see cref="OrderDirection"/>.
+        /// </summary>
+        /// <param name="legQuantity">A collection of leg quantities.</param>
+        /// <param name="orderDirection">
+        /// Determines the sign of the returned quantity:
+        /// <see cref="OrderDirection.Buy"/> returns a positive quantity,
+        /// <see cref="OrderDirection.Sell"/> returns a negative quantity.
+        /// </param>
+        /// <returns>
+        /// The greatest common divisor of the leg quantities, signed according to <paramref name="orderDirection"/>.
+        /// </returns>
+        /// <exception cref="ArgumentException">
+        /// Thrown when <paramref name="orderDirection"/> has an unsupported value.
+        /// </exception>
+        public static decimal GetGroupQuantityByEachLegQuantity(IEnumerable<decimal> legQuantity, OrderDirection orderDirection)
+        {
+            var groupQuantity = Extensions.GreatestCommonDivisor(legQuantity.Select(Math.Abs));
+            return orderDirection switch
+            {
+                OrderDirection.Buy => groupQuantity,
+                OrderDirection.Sell => decimal.Negate(groupQuantity),
+                _ => throw new ArgumentException($"Unsupported {nameof(OrderDirection)} value: '{orderDirection}'.", nameof(orderDirection))
+            };
+        }
+    }
+}