chore: import upstream snapshot with attribution
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wehub-resource-sync
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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.ComponentModel;
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using Newtonsoft.Json;
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using ProtoBuf;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Serialization;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Order Event - Messaging class signifying a change in an order state and record the change in the user's algorithm portfolio
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/// </summary>
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[ProtoContract(SkipConstructor = true)]
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public class OrderEvent
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{
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private decimal _fillPrice;
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private decimal _fillQuantity;
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private decimal _quantity;
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private decimal? _limitPrice;
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private decimal? _triggerPrice;
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private decimal? _stopPrice;
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private decimal? _trailingAmount;
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private bool? _trailingAsPercentage;
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/// <summary>
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/// Id of the order this event comes from.
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/// </summary>
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[ProtoMember(1)]
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public int OrderId { get; set; }
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/// <summary>
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/// The unique order event id for each order
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/// </summary>
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[ProtoMember(2)]
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public int Id { get; set; }
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/// <summary>
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/// Easy access to the order symbol associated with this event.
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/// </summary>
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[ProtoMember(3)]
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public Symbol Symbol { get; set; }
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/// <summary>
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/// The date and time of this event (UTC).
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/// </summary>
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[ProtoMember(4)]
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public DateTime UtcTime { get; set; }
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/// <summary>
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/// Status message of the order.
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/// </summary>
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[ProtoMember(5)]
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public OrderStatus Status { get; set; }
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/// <summary>
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/// The fee associated with the order
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/// </summary>
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[ProtoMember(6)]
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public OrderFee OrderFee { get; set; }
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/// <summary>
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/// Fill price information about the order
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/// </summary>
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[ProtoMember(7)]
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public decimal FillPrice
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{
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get { return _fillPrice; }
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set { _fillPrice = value.Normalize(); }
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}
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/// <summary>
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/// Currency for the fill price
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/// </summary>
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[ProtoMember(8)]
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public string FillPriceCurrency { get; set; }
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/// <summary>
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/// Number of shares of the order that was filled in this event.
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/// </summary>
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[ProtoMember(9)]
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public decimal FillQuantity
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{
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get { return _fillQuantity; }
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set { _fillQuantity = value.Normalize(); }
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}
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/// <summary>
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/// Public Property Absolute Getter of Quantity -Filled
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/// </summary>
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[JsonIgnore]
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public decimal AbsoluteFillQuantity => Math.Abs(FillQuantity);
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/// <summary>
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/// Order direction.
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/// </summary>
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[ProtoMember(10)]
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public OrderDirection Direction { get; set; }
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/// <summary>
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/// Any message from the exchange.
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/// </summary>
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[DefaultValue(""), JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(11)]
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public string Message { get; set; }
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/// <summary>
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/// True if the order event is an assignment
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/// </summary>
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[ProtoMember(12)]
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public bool IsAssignment { get; set; }
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/// <summary>
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/// The current stop price
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(13)]
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public decimal? StopPrice
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{
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get { return _stopPrice; }
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set
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{
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if (value.HasValue)
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{
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_stopPrice = value.Value.Normalize();
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}
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}
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}
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/// <summary>
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/// The current trigger price
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(14)]
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public decimal? TriggerPrice
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{
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get { return _triggerPrice; }
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set
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{
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if (value.HasValue)
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{
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_triggerPrice = value.Value.Normalize();
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}
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}
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}
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/// <summary>
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/// The current limit price
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(15)]
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public decimal? LimitPrice
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{
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get { return _limitPrice; }
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set
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{
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if (value.HasValue)
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{
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_limitPrice = value.Value.Normalize();
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}
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}
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}
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/// <summary>
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/// The current order quantity
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/// </summary>
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[ProtoMember(16)]
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public decimal Quantity
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{
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get { return _quantity; }
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set { _quantity = value.Normalize(); }
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}
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/// <summary>
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/// True if the order event's option is In-The-Money (ITM)
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(17)]
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public bool IsInTheMoney { get; set; }
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/// <summary>
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/// The trailing stop amount
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(18)]
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public decimal? TrailingAmount
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{
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get { return _trailingAmount; }
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set
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{
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if (value.HasValue)
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{
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_trailingAmount = value.Value.Normalize();
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}
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}
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}
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/// <summary>
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/// Whether the <see cref="TrailingAmount"/> is a percentage or an absolute currency value
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/// </summary>
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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[ProtoMember(19)]
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public bool? TrailingAsPercentage
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{
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get { return _trailingAsPercentage; }
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set
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{
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if (value.HasValue)
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{
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_trailingAsPercentage = value.Value;
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}
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}
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}
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/// <summary>
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/// The order ticket associated to the order
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/// </summary>
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[JsonIgnore]
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public OrderTicket Ticket { get; set; }
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/// <summary>
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/// Order Event empty constructor required for json converter
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/// </summary>
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public OrderEvent()
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{
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}
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/// <summary>
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/// Order Event Constructor.
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/// </summary>
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/// <param name="orderId">Id of the parent order</param>
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/// <param name="symbol">Asset Symbol</param>
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/// <param name="utcTime">Date/time of this event</param>
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/// <param name="status">Status of the order</param>
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/// <param name="direction">The direction of the order this event belongs to</param>
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/// <param name="fillPrice">Fill price information if applicable.</param>
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/// <param name="fillQuantity">Fill quantity</param>
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/// <param name="orderFee">The order fee</param>
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/// <param name="message">Message from the exchange</param>
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public OrderEvent(int orderId,
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Symbol symbol,
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DateTime utcTime,
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OrderStatus status,
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OrderDirection direction,
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decimal fillPrice,
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decimal fillQuantity,
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OrderFee orderFee,
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string message = ""
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)
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{
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OrderId = orderId;
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Symbol = symbol;
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UtcTime = utcTime;
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Status = status;
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Direction = direction;
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FillPrice = fillPrice;
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FillPriceCurrency = string.Empty;
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FillQuantity = fillQuantity;
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OrderFee = orderFee;
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Message = message;
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IsAssignment = false;
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}
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/// <summary>
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/// Helper Constructor using Order to Initialize.
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/// </summary>
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/// <param name="order">Order for this order status</param>
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/// <param name="utcTime">Date/time of this event</param>
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/// <param name="orderFee">The order fee</param>
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/// <param name="message">Message from exchange or QC.</param>
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public OrderEvent(Order order, DateTime utcTime, OrderFee orderFee, string message = "")
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{
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OrderId = order.Id;
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Symbol = order.Symbol;
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Status = order.Status;
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Quantity = order.Quantity;
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Direction = order.Direction;
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//Initialize to zero, manually set fill quantity
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FillQuantity = 0;
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FillPrice = 0;
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FillPriceCurrency = order.PriceCurrency;
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UtcTime = utcTime;
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OrderFee = orderFee;
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Message = message;
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IsAssignment = false;
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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.OrderEvent.ToString(this);
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}
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/// <summary>
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/// Returns a short string that represents the current object.
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/// </summary>
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public string ShortToString()
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{
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return Messages.OrderEvent.ShortToString(this);
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}
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/// <summary>
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/// Returns a clone of the current object.
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/// </summary>
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/// <returns>The new clone object</returns>
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public OrderEvent Clone()
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{
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return (OrderEvent) MemberwiseClone();
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}
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/// <summary>
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/// Creates a new instance based on the provided serialized order event
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/// </summary>
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public static OrderEvent FromSerialized(SerializedOrderEvent serializedOrderEvent)
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{
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var sid = SecurityIdentifier.Parse(serializedOrderEvent.Symbol);
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var symbol = new Symbol(sid, sid.Symbol);
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var orderFee = OrderFee.Zero;
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if (serializedOrderEvent.OrderFeeAmount.HasValue)
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{
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orderFee = new OrderFee(new CashAmount(serializedOrderEvent.OrderFeeAmount.Value,
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serializedOrderEvent.OrderFeeCurrency));
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}
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var orderEvent = new OrderEvent(serializedOrderEvent.OrderId,
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symbol,
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DateTime.SpecifyKind(Time.UnixTimeStampToDateTime(serializedOrderEvent.Time), DateTimeKind.Utc),
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serializedOrderEvent.Status,
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serializedOrderEvent.Direction,
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serializedOrderEvent.FillPrice,
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serializedOrderEvent.FillQuantity,
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orderFee,
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serializedOrderEvent.Message)
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{
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IsAssignment = serializedOrderEvent.IsAssignment,
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IsInTheMoney = serializedOrderEvent.IsInTheMoney,
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LimitPrice = serializedOrderEvent.LimitPrice,
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StopPrice = serializedOrderEvent.StopPrice,
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FillPriceCurrency = serializedOrderEvent.FillPriceCurrency,
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Id = serializedOrderEvent.OrderEventId,
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Quantity = serializedOrderEvent.Quantity
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};
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return orderEvent;
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}
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}
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}
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