/* * 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 System.Collections.Generic; using QuantConnect.Orders; using QuantConnect.Securities; namespace QuantConnect.Brokerages { /// /// Provides Bloomberg FixNet HUB specific properties. /// public class BloombergFixBrokerageModel : DefaultBrokerageModel { private readonly HashSet _supportedSecurityTypes = new() { SecurityType.Equity, SecurityType.Option, SecurityType.IndexOption, SecurityType.Future, }; private readonly HashSet _supportedOrderTypes = new() { OrderType.Market, OrderType.MarketOnOpen, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, }; /// /// Constructor for Bloomberg FIX brokerage model. /// /// Cash or Margin public BloombergFixBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType) { if (accountType == AccountType.Cash) { throw new NotSupportedException($"Bloomberg FIX brokerage can only be used with a {AccountType.Margin} account type"); } } /// /// Returns true if the brokerage could accept this order. /// /// The security of the order /// The order to be processed /// If this function returns false, a brokerage message detailing why the order may not be submitted public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message) { if (!_supportedSecurityTypes.Contains(security.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security)); return false; } if (!_supportedOrderTypes.Contains(order.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes)); return false; } return base.CanSubmitOrder(security, order, out message); } /// /// Bloomberg FixNet HUB supports cancel/replace (35=G) on order quantity, price, stop price, /// order type and time in force. /// public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message) { message = null; return true; } } }