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.ComponentModel;
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using Newtonsoft.Json;
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using Newtonsoft.Json.Converters;
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namespace QuantConnect.Orders.Serialization
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{
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/// <summary>
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/// Data transfer object used for serializing an <see cref="OrderEvent"/> that was just generated by an algorithm
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/// </summary>
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public class SerializedOrderEvent
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{
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/// <summary>
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/// The unique order event id
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/// </summary>
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[JsonProperty("id")]
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public virtual string Id => $"{AlgorithmId}-{OrderId}-{OrderEventId}";
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/// <summary>
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/// Algorithm Id, BacktestId or DeployId
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/// </summary>
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[JsonProperty("algorithmId")]
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public string AlgorithmId { get; set; }
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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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[JsonProperty("orderId")]
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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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[JsonProperty("orderEventId")]
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public int OrderEventId { 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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[JsonProperty("symbol")]
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public string Symbol { get; set; }
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/// <summary>
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/// The mapped symbol value
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/// </summary>
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[JsonProperty(PropertyName = "symbolValue")]
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public string SymbolValue { get; set; }
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/// <summary>
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/// The symbols permanent ticker. For equities, by convention this is the first ticker symbol for which the security traded
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/// </summary>
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[JsonProperty(PropertyName = "symbolPermtick")]
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public string SymbolPermtick { get; set; }
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/// <summary>
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/// The time of this event in unix timestamp
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/// </summary>
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[JsonProperty("time")]
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public double Time { 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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[JsonProperty("status"), JsonConverter(typeof(StringEnumConverter), true)]
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public OrderStatus Status { get; set; }
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/// <summary>
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/// The fee amount associated with the order
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/// </summary>
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[JsonProperty("orderFeeAmount", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public decimal? OrderFeeAmount { get; set; }
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/// <summary>
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/// The fee currency associated with the order
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/// </summary>
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[JsonProperty("orderFeeCurrency", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public string OrderFeeCurrency { 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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[JsonProperty("fillPrice")]
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public decimal FillPrice { get; set; }
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/// <summary>
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/// Currency for the fill price
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/// </summary>
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[JsonProperty("fillPriceCurrency")]
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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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[JsonProperty("fillQuantity")]
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public decimal FillQuantity { get; set; }
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/// <summary>
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/// Order direction.
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/// </summary>
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[JsonProperty("direction"), JsonConverter(typeof(StringEnumConverter), true)]
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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("message", DefaultValueHandling = DefaultValueHandling.Ignore)]
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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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[JsonProperty("isAssignment")]
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public bool IsAssignment { get; set; }
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/// <summary>
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/// The current order quantity
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/// </summary>
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[JsonProperty("quantity")]
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public decimal Quantity { 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("stopPrice", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public decimal? StopPrice { get; set; }
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/// <summary>
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/// The current limit price
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/// </summary>
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[JsonProperty("limitPrice", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public decimal? LimitPrice { get; set; }
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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("isInTheMoney", DefaultValueHandling = DefaultValueHandling.Ignore)]
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public bool IsInTheMoney { get; set; }
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/// <summary>
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/// Empty constructor required for JSON converter.
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/// </summary>
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public SerializedOrderEvent()
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{
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}
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/// <summary>
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/// Creates a new instances based on the provided order event and algorithm Id
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/// </summary>
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public SerializedOrderEvent(OrderEvent orderEvent, string algorithmId)
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{
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AlgorithmId = algorithmId;
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OrderId = orderEvent.OrderId;
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OrderEventId = orderEvent.Id;
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Symbol = orderEvent.Symbol.ID.ToString();
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SymbolValue = orderEvent.Symbol.Value;
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SymbolPermtick = orderEvent.Symbol.ID.Symbol;
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Time = QuantConnect.Time.DateTimeToUnixTimeStamp(orderEvent.UtcTime);
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Status = orderEvent.Status;
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if (orderEvent.OrderFee.Value.Currency != Currencies.NullCurrency)
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{
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OrderFeeAmount = orderEvent.OrderFee.Value.Amount;
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OrderFeeCurrency = orderEvent.OrderFee.Value.Currency;
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}
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FillPrice = orderEvent.FillPrice;
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FillPriceCurrency = orderEvent.FillPriceCurrency;
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FillQuantity = orderEvent.FillQuantity;
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Direction = orderEvent.Direction;
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Message = orderEvent.Message;
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IsAssignment = orderEvent.IsAssignment;
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IsInTheMoney = orderEvent.IsInTheMoney;
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Quantity = orderEvent.Quantity;
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StopPrice = orderEvent.StopPrice;
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LimitPrice = orderEvent.LimitPrice;
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}
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#region BackwardsCompatibility
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[JsonProperty("algorithm-id")]
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string OldAlgorithmId
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{
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set
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{
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AlgorithmId = value;
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}
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}
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[JsonProperty("order-id")]
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int OldOrderId
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{
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set
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{
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OrderId = value;
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}
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}
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[JsonProperty("order-event-id")]
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int OldOrderEventId
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{
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set
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{
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OrderEventId = value;
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}
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}
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[JsonProperty(PropertyName = "symbol-value")]
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string OldSymbolValue
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{
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set
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{
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SymbolValue = value;
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}
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}
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[JsonProperty(PropertyName = "symbol-permtick")]
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string OldSymbolPermtick
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{
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set
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{
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SymbolPermtick = value;
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}
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}
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[JsonProperty("order-fee-amount", DefaultValueHandling = DefaultValueHandling.Ignore)]
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decimal? OldOrderFeeAmount
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{
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set
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{
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OrderFeeAmount = value;
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}
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}
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[JsonProperty("order-fee-currency", DefaultValueHandling = DefaultValueHandling.Ignore)]
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string OldOrderFeeCurrency
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{
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set
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{
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OrderFeeCurrency = value;
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}
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}
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[JsonProperty("fill-price")]
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decimal OldFillPrice
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{
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set
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{
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FillPrice = value;
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}
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}
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[JsonProperty("fill-price-currency")]
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string OldFillPriceCurrency
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{
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set
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{
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FillPriceCurrency = value;
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}
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}
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[JsonProperty("fill-quantity")]
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decimal OldFillQuantity
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{
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set
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{
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FillQuantity = value;
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}
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}
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[JsonProperty("is-assignment")]
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bool OldIsAssignment
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{
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set
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{
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IsAssignment = value;
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}
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}
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[JsonProperty("stop-price", DefaultValueHandling = DefaultValueHandling.Ignore)]
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decimal? OldStopPrice
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{
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set
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{
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StopPrice = value;
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}
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}
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[JsonProperty("limit-price", DefaultValueHandling = DefaultValueHandling.Ignore)]
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decimal? OldLimitPrice
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{
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set
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{
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LimitPrice = value;
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}
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}
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[JsonProperty("is-in-the-money", DefaultValueHandling = DefaultValueHandling.Ignore)]
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bool OldIsInTheMoney
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{
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set
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{
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IsInTheMoney = value;
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}
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}
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#endregion
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}
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}
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