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.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Tests.Brokerages
+{
+    public class StopLimitOrderTestParameters : OrderTestParameters
+    {
+        private readonly decimal _highLimit;
+        private readonly decimal _lowLimit;
+
+        public StopLimitOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null)
+            : base(symbol, properties, orderSubmissionData)
+        {
+            _highLimit = highLimit;
+            _lowLimit = lowLimit;
+        }
+
+        public override Order CreateShortOrder(decimal quantity)
+        {
+            return new StopLimitOrder(Symbol, -Math.Abs(quantity), _lowLimit, _highLimit, DateTime.UtcNow, properties: Properties)
+            {
+                Status = OrderStatus.New,
+                OrderSubmissionData = OrderSubmissionData,
+                PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
+            };
+        }
+
+        public override Order CreateLongOrder(decimal quantity)
+        {
+            return new StopLimitOrder(Symbol, Math.Abs(quantity), _highLimit, _lowLimit, DateTime.UtcNow, properties: Properties)
+            {
+                Status = OrderStatus.New,
+                OrderSubmissionData = OrderSubmissionData,
+                PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
+            };
+        }
+
+        public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice)
+        {
+            var roundOffPlaces = GetSymbolProperties(order.Symbol).MinimumPriceVariation.GetDecimalPlaces();
+            var stop = (StopLimitOrder)order;
+            var previousStop = stop.StopPrice;
+            if (order.Quantity > 0)
+            {
+                // for stop buys we need to decrease the stop price
+                stop.StopPrice = Math.Min(stop.StopPrice, Math.Max(stop.StopPrice / 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
+            }
+            else
+            {
+                // for stop sells we need to increase the stop price
+                stop.StopPrice = Math.Max(stop.StopPrice, Math.Min(stop.StopPrice * 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
+            }
+            stop.LimitPrice = stop.StopPrice;
+            return stop.StopPrice != previousStop;
+        }
+
+        // default stop limit orders will only be submitted, not filled
+        public override OrderStatus ExpectedStatus => OrderStatus.Submitted;
+
+        public override bool ExpectedCancellationResult => true;
+
+        public override string ToString()
+        {
+            return $"{OrderType.StopLimit}: {SecurityType}, {Symbol}";
+        }
+    }
+
+    // to be used with brokerages which do not support UpdateOrder
+    public class NonUpdateableStopLimitOrderTestParameters : StopLimitOrderTestParameters
+    {
+        public NonUpdateableStopLimitOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null)
+            : base(symbol, highLimit, lowLimit, properties)
+        {
+        }
+
+        public override bool ModifyUntilFilled => false;
+    }
+}