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 Newtonsoft.Json;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Trailing Stop Order Type Definition
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/// </summary>
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public class TrailingStopOrder : StopMarketOrder
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{
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/// <summary>
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/// Trailing amount for this trailing stop order
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/// </summary>
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[JsonProperty(PropertyName = "trailingAmount")]
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public decimal TrailingAmount { get; internal set; }
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/// <summary>
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/// Determines whether the <see cref="TrailingAmount"/> is a percentage or an absolute currency value
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/// </summary>
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[JsonProperty(PropertyName = "trailingAsPercentage")]
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public bool TrailingAsPercentage { get; internal set; }
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/// <summary>
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/// StopLimit Order Type
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/// </summary>
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public override OrderType Type
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{
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get { return OrderType.TrailingStop; }
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}
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/// <summary>
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/// Default constructor for JSON Deserialization:
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/// </summary>
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public TrailingStopOrder()
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{
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}
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/// <summary>
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/// New Trailing Stop Market Order constructor
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/// </summary>
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/// <param name="symbol">Symbol asset being traded</param>
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/// <param name="quantity">Quantity of the asset to be traded</param>
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/// <param name="stopPrice">Initial stop price at which the order should be triggered</param>
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/// <param name="trailingAmount">The trailing amount to be used to update the stop price</param>
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/// <param name="trailingAsPercentage">Whether the <paramref name="trailingAmount"/> is a percentage or an absolute currency value</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 properties for this order</param>
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public TrailingStopOrder(Symbol symbol, decimal quantity, decimal stopPrice, decimal trailingAmount, bool trailingAsPercentage,
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DateTime time, string tag = "", IOrderProperties properties = null)
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: base(symbol, quantity, stopPrice, time, tag, properties)
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{
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TrailingAmount = trailingAmount;
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TrailingAsPercentage = trailingAsPercentage;
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}
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/// <summary>
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/// New Trailing Stop Market Order constructor.
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/// It creates a new Trailing Stop Market Order with an initial stop price calculated by subtracting (for a sell) or adding (for a buy) the
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/// trailing amount to the current market price.
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/// </summary>
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/// <param name="symbol">Symbol asset being traded</param>
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/// <param name="quantity">Quantity of the asset to be traded</param>
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/// <param name="trailingAmount">The trailing amount to be used to update the stop price</param>
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/// <param name="trailingAsPercentage">Whether the <paramref name="trailingAmount"/> is a percentage or an absolute currency value</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 properties for this order</param>
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public TrailingStopOrder(Symbol symbol, decimal quantity, decimal trailingAmount, bool trailingAsPercentage,
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DateTime time, string tag = "", IOrderProperties properties = null)
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: this(symbol, quantity, 0, trailingAmount, trailingAsPercentage, time, tag, properties)
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{
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}
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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 override string GetDefaultTag()
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{
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return Messages.TrailingStopOrder.Tag(this);
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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 override void ApplyUpdateOrderRequest(UpdateOrderRequest request)
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{
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base.ApplyUpdateOrderRequest(request);
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if (request.TrailingAmount.HasValue)
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{
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TrailingAmount = request.TrailingAmount.Value;
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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.TrailingStopOrder.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 override Order Clone()
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{
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var order = new TrailingStopOrder
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{
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StopPrice = StopPrice,
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TrailingAmount = TrailingAmount,
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TrailingAsPercentage = TrailingAsPercentage
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};
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CopyTo(order);
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return order;
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}
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/// <summary>
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/// Tries to update the stop price for a trailing stop order given the current market price
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/// </summary>
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/// <param name="currentMarketPrice">The current market price</param>
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/// <param name="currentStopPrice">The current trailing stop order stop price</param>
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/// <param name="trailingAmount">The trailing amount to be used to update the stop price</param>
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/// <param name="trailingAsPercentage">Whether the <paramref name="trailingAmount"/> is a percentage or an absolute currency value</param>
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/// <param name="direction">The order direction</param>
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/// <param name="updatedStopPrice">The updated stop price</param>
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/// <returns>
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/// Whether the stop price was updated.
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/// This only happens when the distance between the current stop price and the current market price is greater than the trailing amount,
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/// which will happen when the market price raises/falls for sell/buy orders respectively.
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/// </returns>
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public static bool TryUpdateStopPrice(decimal currentMarketPrice, decimal currentStopPrice, decimal trailingAmount,
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bool trailingAsPercentage, OrderDirection direction, out decimal updatedStopPrice)
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{
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updatedStopPrice = 0m;
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var distanceToMarketPrice = direction == OrderDirection.Sell
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? currentMarketPrice - currentStopPrice
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: currentStopPrice - currentMarketPrice;
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var stopReference = trailingAsPercentage ? currentMarketPrice * trailingAmount : trailingAmount;
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if (distanceToMarketPrice <= stopReference)
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{
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return false;
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}
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updatedStopPrice = CalculateStopPrice(currentMarketPrice, trailingAmount, trailingAsPercentage, direction);
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return true;
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}
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/// <summary>
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/// Calculates the stop price for a trailing stop order given the current market price
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/// </summary>
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/// <param name="currentMarketPrice">The current market price</param>
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/// <param name="trailingAmount">The trailing amount to be used to update the stop price</param>
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/// <param name="trailingAsPercentage">Whether the <paramref name="trailingAmount"/> is a percentage or an absolute currency value</param>
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/// <param name="direction">The order direction</param>
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/// <returns>The stop price for the order given the current market price</returns>
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public static decimal CalculateStopPrice(decimal currentMarketPrice, decimal trailingAmount, bool trailingAsPercentage,
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OrderDirection direction)
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{
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if (trailingAsPercentage)
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{
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return direction == OrderDirection.Buy
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? currentMarketPrice * (1 + trailingAmount)
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: currentMarketPrice * (1 - trailingAmount);
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}
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return direction == OrderDirection.Buy
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? currentMarketPrice + trailingAmount
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: currentMarketPrice - trailingAmount;
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}
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}
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}
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