chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,483 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.Linq;
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using System.Threading;
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using Newtonsoft.Json;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Positions;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Order struct for placing new trade
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/// </summary>
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public abstract class Order
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{
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private volatile int _incrementalId;
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private decimal _quantity;
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private decimal _price;
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private int _id;
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/// <summary>
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/// Order ID.
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/// </summary>
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[JsonProperty(PropertyName = "id")]
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public int Id
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{
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get => _id;
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internal set
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{
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_id = value;
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if (_id != 0 && GroupOrderManager != null)
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{
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lock (GroupOrderManager.OrderIds)
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{
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GroupOrderManager.OrderIds.Add(_id);
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}
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}
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}
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}
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/// <summary>
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/// Order id to process before processing this order.
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/// </summary>
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[JsonProperty(PropertyName = "contingentId")]
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public int ContingentId { get; internal set; }
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/// <summary>
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/// Brokerage Id for this order for when the brokerage splits orders into multiple pieces
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/// </summary>
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[JsonProperty(PropertyName = "brokerId")]
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public List<string> BrokerId { get; internal set; }
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/// <summary>
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/// Symbol of the Asset
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/// </summary>
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[JsonProperty(PropertyName = "symbol")]
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public Symbol Symbol { get; internal set; }
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/// <summary>
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/// Price of the Order.
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/// </summary>
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[JsonProperty(PropertyName = "price")]
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public decimal Price
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{
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get { return _price; }
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internal set { _price = value.Normalize(); }
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}
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/// <summary>
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/// Currency for the order price
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/// </summary>
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[JsonProperty(PropertyName = "priceCurrency")]
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public string PriceCurrency { get; internal set; }
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/// <summary>
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/// Gets the utc time the order was created.
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/// </summary>
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[JsonProperty(PropertyName = "time")]
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public DateTime Time { get; internal set; }
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/// <summary>
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/// Gets the utc time this order was created. Alias for <see cref="Time"/>
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/// </summary>
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[JsonProperty(PropertyName = "createdTime")]
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public DateTime CreatedTime => Time;
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/// <summary>
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/// Gets the utc time the last fill was received, or null if no fills have been received
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/// </summary>
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[JsonProperty(PropertyName = "lastFillTime", NullValueHandling = NullValueHandling.Ignore)]
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public DateTime? LastFillTime { get; internal set; }
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/// <summary>
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/// Gets the utc time this order was last updated, or null if the order has not been updated.
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/// </summary>
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[JsonProperty(PropertyName = "lastUpdateTime", NullValueHandling = NullValueHandling.Ignore)]
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public DateTime? LastUpdateTime { get; internal set; }
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/// <summary>
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/// Gets the utc time this order was canceled, or null if the order was not canceled.
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/// </summary>
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[JsonProperty(PropertyName = "canceledTime", NullValueHandling = NullValueHandling.Ignore)]
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public DateTime? CanceledTime { get; internal set; }
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/// <summary>
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/// Number of shares to execute.
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/// </summary>
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[JsonProperty(PropertyName = "quantity")]
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public virtual decimal Quantity
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{
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get { return _quantity; }
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internal set { _quantity = value.Normalize(); }
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}
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/// <summary>
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/// Order Type
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/// </summary>
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[JsonProperty(PropertyName = "type")]
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public abstract OrderType Type { get; }
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/// <summary>
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/// Status of the Order
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/// </summary>
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[JsonProperty(PropertyName = "status")]
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public OrderStatus Status { get; set; }
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/// <summary>
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/// Order Time In Force
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/// </summary>
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[JsonIgnore]
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public TimeInForce TimeInForce => Properties.TimeInForce;
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/// <summary>
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/// Tag the order with some custom data
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/// </summary>
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[JsonProperty(PropertyName = "tag" ,DefaultValueHandling = DefaultValueHandling.Ignore)]
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public string Tag { get; internal set; }
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/// <summary>
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/// Additional properties of the order
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/// </summary>
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[JsonProperty(PropertyName = "properties")]
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public IOrderProperties Properties { get; private set; }
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/// <summary>
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/// The symbol's security type
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/// </summary>
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[JsonProperty(PropertyName = "securityType")]
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public SecurityType SecurityType => Symbol.ID.SecurityType;
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/// <summary>
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/// Order Direction Property based off Quantity.
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/// </summary>
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[JsonProperty(PropertyName = "direction")]
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public OrderDirection Direction
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{
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get
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{
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if (Quantity > 0)
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{
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return OrderDirection.Buy;
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}
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if (Quantity < 0)
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{
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return OrderDirection.Sell;
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}
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return OrderDirection.Hold;
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}
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}
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/// <summary>
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/// Get the absolute quantity for this order
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/// </summary>
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[JsonIgnore]
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public decimal AbsoluteQuantity => Math.Abs(Quantity);
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/// <summary>
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/// Deprecated
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/// </summary>
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[JsonProperty(PropertyName = "value"), Obsolete("Please use Order.GetValue(security) or security.Holdings.HoldingsValue")]
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public decimal Value => Quantity * Price;
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/// <summary>
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/// Gets the price data at the time the order was submitted
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/// </summary>
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[JsonProperty(PropertyName = "orderSubmissionData")]
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public OrderSubmissionData OrderSubmissionData { get; internal set; }
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/// <summary>
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/// Returns true if the order is a marketable order.
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/// </summary>
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[JsonProperty(PropertyName = "isMarketable")]
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public bool IsMarketable
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{
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get
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{
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if (Type == OrderType.Limit)
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{
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// check if marketable limit order using bid/ask prices
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var limitOrder = (LimitOrder)this;
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return OrderSubmissionData != null &&
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(Direction == OrderDirection.Buy && limitOrder.LimitPrice >= OrderSubmissionData.AskPrice ||
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Direction == OrderDirection.Sell && limitOrder.LimitPrice <= OrderSubmissionData.BidPrice);
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}
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return Type == OrderType.Market || Type == OrderType.ComboMarket;
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}
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}
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/// <summary>
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/// Manager for the orders in the group if this is a combo order
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/// </summary>
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[JsonProperty(PropertyName = "groupOrderManager", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public GroupOrderManager GroupOrderManager { get; set; }
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/// <summary>
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/// The adjustment mode used on the order fill price
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/// </summary>
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[JsonProperty(PropertyName = "priceAdjustmentMode")]
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public DataNormalizationMode PriceAdjustmentMode { get; set; }
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/// <summary>
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/// Added a default constructor for JSON Deserialization:
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/// </summary>
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protected Order()
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{
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Time = new DateTime();
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PriceCurrency = string.Empty;
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Symbol = Symbol.Empty;
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Status = OrderStatus.None;
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Tag = string.Empty;
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BrokerId = new List<string>();
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Properties = new OrderProperties();
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GroupOrderManager = null;
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}
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/// <summary>
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/// New order constructor
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/// </summary>
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/// <param name="symbol">Symbol asset we're seeking to trade</param>
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/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
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/// <param name="time">Time the order was placed</param>
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/// <param name="groupOrderManager">Manager for the orders in the group if this is a combo order</param>
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/// <param name="tag">User defined data tag for this order</param>
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/// <param name="properties">The order properties for this order</param>
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protected Order(Symbol symbol, decimal quantity, DateTime time, GroupOrderManager groupOrderManager, string tag = "",
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IOrderProperties properties = null)
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{
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Time = time;
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PriceCurrency = string.Empty;
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Quantity = quantity;
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Symbol = symbol;
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Status = OrderStatus.None;
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Tag = tag;
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BrokerId = new List<string>();
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Properties = properties ?? new OrderProperties();
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GroupOrderManager = groupOrderManager;
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}
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/// <summary>
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/// New order constructor
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/// </summary>
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/// <param name="symbol">Symbol asset we're seeking to trade</param>
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/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
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/// <param name="time">Time the order was placed</param>
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/// <param name="tag">User defined data tag for this order</param>
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/// <param name="properties">The order properties for this order</param>
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protected Order(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
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: this(symbol, quantity, time, null, tag, properties)
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{
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}
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/// <summary>
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/// Creates an enumerable containing each position resulting from executing this order.
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/// </summary>
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/// <remarks>
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/// This is provided in anticipation of a new combo order type that will need to override this method,
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/// returning a position for each 'leg' of the order.
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/// </remarks>
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/// <returns>An enumerable of positions matching the results of executing this order</returns>
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public virtual IEnumerable<IPosition> CreatePositions(SecurityManager securities)
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{
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var security = securities[Symbol];
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yield return new Position(security, Quantity);
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}
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/// <summary>
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/// Gets the value of this order at the given market price in units of the account currency
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/// NOTE: Some order types derive value from other parameters, such as limit prices
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/// </summary>
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/// <param name="security">The security matching this order's symbol</param>
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/// <returns>The value of this order given the current market price</returns>
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/// <remarks>TODO: we should remove this. Only used in tests</remarks>
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public decimal GetValue(Security security)
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{
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var value = GetValueImpl(security);
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return value*security.QuoteCurrency.ConversionRate*security.SymbolProperties.ContractMultiplier;
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}
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/// <summary>
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/// Gets the order value in units of the security's quote currency for a single unit.
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/// A single unit here is a single share of stock, or a single barrel of oil, or the
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/// cost of a single share in an option contract.
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/// </summary>
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/// <param name="security">The security matching this order's symbol</param>
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protected abstract decimal GetValueImpl(Security security);
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/// <summary>
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/// Gets the default tag for this order
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/// </summary>
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/// <returns>The default tag</returns>
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public virtual string GetDefaultTag()
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{
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return string.Empty;
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}
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/// <summary>
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/// Gets a new unique incremental id for this order
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/// </summary>
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/// <returns>Returns a new id for this order</returns>
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internal int GetNewId()
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{
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return Interlocked.Increment(ref _incrementalId);
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}
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/// <summary>
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/// Modifies the state of this order to match the update request
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/// </summary>
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/// <param name="request">The request to update this order object</param>
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public virtual void ApplyUpdateOrderRequest(UpdateOrderRequest request)
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{
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if (request.OrderId != Id)
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{
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throw new ArgumentException("Attempted to apply updates to the incorrect order!");
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}
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if (request.Quantity.HasValue)
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{
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Quantity = request.Quantity.Value;
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}
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if (request.Tag != null)
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{
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Tag = request.Tag;
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}
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return Messages.Order.ToString(this);
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}
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/// <summary>
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/// Creates a deep-copy clone of this order
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/// </summary>
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/// <returns>A copy of this order</returns>
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public abstract Order Clone();
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/// <summary>
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/// Copies base Order properties to the specified order
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/// </summary>
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/// <param name="order">The target of the copy</param>
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protected void CopyTo(Order order)
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{
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order.Id = Id;
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// The group order manager has to be set before the quantity,
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// since combo orders might need it to calculate the quantity in the Quantity setter.
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order.GroupOrderManager = GroupOrderManager;
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order.Time = Time;
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order.LastFillTime = LastFillTime;
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order.LastUpdateTime = LastUpdateTime;
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order.CanceledTime = CanceledTime;
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order.BrokerId = BrokerId.ToList();
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order.ContingentId = ContingentId;
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order.Price = Price;
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order.PriceCurrency = PriceCurrency;
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order.Quantity = Quantity;
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order.Status = Status;
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order.Symbol = Symbol;
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order.Tag = Tag;
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order.Properties = Properties.Clone();
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order.OrderSubmissionData = OrderSubmissionData?.Clone();
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order.PriceAdjustmentMode = PriceAdjustmentMode;
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}
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/// <summary>
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/// Creates an <see cref="Order"/> to match the specified <paramref name="request"/>
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/// </summary>
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/// <param name="request">The <see cref="SubmitOrderRequest"/> to create an order for</param>
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/// <returns>The <see cref="Order"/> that matches the request</returns>
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public static Order CreateOrder(SubmitOrderRequest request)
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{
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return CreateOrder(request.OrderId, request.OrderType, request.Symbol, request.Quantity, request.Time,
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request.Tag, request.OrderProperties, request.LimitPrice, request.StopPrice, request.TriggerPrice, request.TrailingAmount,
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request.TrailingAsPercentage, request.GroupOrderManager);
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}
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private static Order CreateOrder(int orderId, OrderType type, Symbol symbol, decimal quantity, DateTime time,
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string tag, IOrderProperties properties, decimal limitPrice, decimal stopPrice, decimal triggerPrice, decimal trailingAmount,
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bool trailingAsPercentage, GroupOrderManager groupOrderManager)
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{
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Order order;
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switch (type)
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{
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case OrderType.Market:
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order = new MarketOrder(symbol, quantity, time, tag, properties);
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break;
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case OrderType.Limit:
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order = new LimitOrder(symbol, quantity, limitPrice, time, tag, properties);
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break;
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case OrderType.StopMarket:
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order = new StopMarketOrder(symbol, quantity, stopPrice, time, tag, properties);
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break;
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case OrderType.StopLimit:
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order = new StopLimitOrder(symbol, quantity, stopPrice, limitPrice, time, tag, properties);
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break;
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case OrderType.TrailingStop:
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order = new TrailingStopOrder(symbol, quantity, stopPrice, trailingAmount, trailingAsPercentage, time, tag, properties);
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break;
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case OrderType.LimitIfTouched:
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order = new LimitIfTouchedOrder(symbol, quantity, triggerPrice, limitPrice, time, tag, properties);
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break;
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case OrderType.MarketOnOpen:
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order = new MarketOnOpenOrder(symbol, quantity, time, tag, properties);
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break;
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case OrderType.MarketOnClose:
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order = new MarketOnCloseOrder(symbol, quantity, time, tag, properties);
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break;
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case OrderType.OptionExercise:
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order = new OptionExerciseOrder(symbol, quantity, time, tag, properties);
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break;
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case OrderType.ComboLimit:
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order = new ComboLimitOrder(symbol, quantity, limitPrice, time, groupOrderManager, tag, properties);
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break;
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case OrderType.ComboLegLimit:
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order = new ComboLegLimitOrder(symbol, quantity, limitPrice, time, groupOrderManager, tag, properties);
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break;
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case OrderType.ComboMarket:
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order = new ComboMarketOrder(symbol, quantity, time, groupOrderManager, tag, properties);
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break;
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default:
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throw new ArgumentOutOfRangeException();
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}
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order.Status = OrderStatus.New;
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order.Id = orderId;
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return order;
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}
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}
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}
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Block a user