/*
* 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.Collections.Generic;
using QuantConnect.Orders;
using QuantConnect.Securities;
namespace QuantConnect.Brokerages
{
///
/// Provides Bloomberg EMSX (TerminalLink) specific properties.
///
public class TerminalLinkBrokerageModel : DefaultBrokerageModel
{
private readonly HashSet _supportedSecurityTypes = new()
{
SecurityType.Equity,
SecurityType.Option,
SecurityType.Future,
};
private readonly HashSet _supportedOrderTypes = new()
{
OrderType.Market,
OrderType.MarketOnOpen,
OrderType.Limit,
OrderType.StopMarket,
OrderType.StopLimit,
};
///
/// Initializes a new instance of the class.
///
/// Cash or Margin
public TerminalLinkBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
{
}
///
/// 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);
}
///
/// TerminalLink does not allow modifying live orders; the EMSX brokerage rejects updates.
///
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
return false;
}
}
}