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 QuantConnect.Securities;
+
+namespace QuantConnect.Orders.TimeInForces
+{
+    /// <summary>
+    /// Day Time In Force - order expires at market close
+    /// </summary>
+    public class DayTimeInForce : TimeInForce
+    {
+        /// <summary>
+        /// Checks if an order is expired
+        /// </summary>
+        /// <param name="security">The security matching the order</param>
+        /// <param name="order">The order to be checked</param>
+        /// <returns>Returns true if the order has expired, false otherwise</returns>
+        public override bool IsOrderExpired(Security security, Order order)
+        {
+            var exchangeHours = security.Exchange.Hours;
+
+            var orderTime = order.Time.ConvertFromUtc(exchangeHours.TimeZone);
+            var time = security.LocalTime;
+
+            bool expired;
+            switch (order.SecurityType)
+            {
+                case SecurityType.Forex:
+                case SecurityType.Cfd:
+                    // With real brokerages (IB, Oanda, FXCM have been verified) FX orders expire at 5 PM NewYork time.
+                    // For now we use this fixed cut-off time, in future we might get this value from brokerage models,
+                    // to support custom brokerage implementations.
+
+                    var cutOffTimeZone = TimeZones.NewYork;
+                    var cutOffTimeSpan = TimeSpan.FromHours(17);
+
+                    orderTime = order.Time.ConvertFromUtc(cutOffTimeZone);
+                    var expiryTime = orderTime.Date.Add(cutOffTimeSpan);
+                    if (orderTime.TimeOfDay > cutOffTimeSpan)
+                    {
+                        // order submitted after 5 PM, expiry on next date
+                        expiryTime = expiryTime.AddDays(1);
+                    }
+
+                    expired = time.ConvertTo(exchangeHours.TimeZone, cutOffTimeZone) >= expiryTime;
+                    break;
+
+                case SecurityType.Crypto:
+                case SecurityType.CryptoFuture:
+                    // expires at midnight UTC
+                    expired = time.Date > orderTime.Date;
+                    break;
+
+                case SecurityType.Equity:
+                case SecurityType.Option:
+                case SecurityType.Future:
+                case SecurityType.FutureOption:
+                case SecurityType.IndexOption:
+                default:
+                    // expires at market close
+                    expired = time >= exchangeHours.GetLastDailyMarketClose(orderTime, false);
+                    break;
+            }
+
+            return expired;
+        }
+
+        /// <summary>
+        /// Checks if an order fill is valid
+        /// </summary>
+        /// <param name="security">The security matching the order</param>
+        /// <param name="order">The order to be checked</param>
+        /// <param name="fill">The order fill to be checked</param>
+        /// <returns>Returns true if the order fill can be emitted, false otherwise</returns>
+        public override bool IsFillValid(Security security, Order order, OrderEvent fill)
+        {
+            return true;
+        }
+    }
+}