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 Newtonsoft.Json;
+using System.Collections.Generic;
+
+namespace QuantConnect.Orders
+{
+    /// <summary>
+    /// Manager of a group of orders
+    /// </summary>
+    public class GroupOrderManager
+    {
+        /// <summary>
+        /// The unique order group Id
+        /// </summary>
+        [JsonProperty(PropertyName = "id")]
+        public int Id { get; internal set; }
+
+        /// <summary>
+        /// The group order quantity
+        /// </summary>
+        [JsonProperty(PropertyName = "quantity")]
+        public decimal Quantity { get; internal set; }
+
+        /// <summary>
+        /// The total order count associated with this order group
+        /// </summary>
+        [JsonProperty(PropertyName = "count")]
+        public int Count { get; }
+
+        /// <summary>
+        /// The limit price associated with this order group if any
+        /// </summary>
+        [JsonProperty(PropertyName = "limitPrice")]
+        public decimal LimitPrice { get; set; }
+
+        /// <summary>
+        /// The order Ids in this group
+        /// </summary>
+        /// <remarks>In live trading we process orders in a dedicated thread so we need to be thread safe</remarks>
+        [JsonProperty(PropertyName = "orderIds")]
+        public HashSet<int> OrderIds { get; }
+
+        /// <summary>
+        /// Order Direction Property based off Quantity.
+        /// </summary>
+        [JsonProperty(PropertyName = "direction")]
+        public OrderDirection Direction
+        {
+            get
+            {
+                if (Quantity > 0)
+                {
+                    return OrderDirection.Buy;
+                }
+                if (Quantity < 0)
+                {
+                    return OrderDirection.Sell;
+                }
+                return OrderDirection.Hold;
+            }
+        }
+
+        /// <summary>
+        /// Get the absolute quantity for this combo order
+        /// </summary>
+        [JsonIgnore]
+        public decimal AbsoluteQuantity => Math.Abs(Quantity);
+
+        /// <summary>
+        /// Creates a new empty instance
+        /// </summary>
+        public GroupOrderManager()
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of <see cref="GroupOrderManager"/>
+        /// </summary>
+        /// <param name="id">This order group unique Id</param>
+        /// <param name="legCount">The order leg count</param>
+        /// <param name="quantity">The group order quantity</param>
+        /// <param name="limitPrice">The limit price associated with this order group if any</param>
+        public GroupOrderManager(int id, int legCount, decimal quantity, decimal limitPrice = 0) : this(legCount, quantity, limitPrice)
+        {
+            Id = id;
+        }
+
+        /// <summary>
+        /// Creates a new instance of <see cref="GroupOrderManager"/>
+        /// </summary>
+        /// <param name="legCount">The order leg count</param>
+        /// <param name="quantity">The group order quantity</param>
+        /// <param name="limitPrice">The limit price associated with this order group if any</param>
+        public GroupOrderManager(int legCount, decimal quantity, decimal limitPrice = 0)
+        {
+            Count = legCount;
+            Quantity = quantity;
+            LimitPrice = limitPrice;
+            OrderIds = new(capacity: legCount);
+        }
+    }
+}