/*
* 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.Orders;
using QuantConnect.Logging;
using System.Collections.Generic;
namespace QuantConnect.Tests.Brokerages
{
public abstract class BaseOrderTestParameters
{
///
/// Calculates the adjusted limit price for an order based on its direction
/// and a price adjustment factor, ensuring the price moves toward being filled.
///
/// The direction of the order (Buy or Sell).
/// The previous limit price of the order.
/// The target market price used to adjust the limit price.
/// The factor by which the price is adjusted.
/// The new, adjusted limit price.
/// Thrown if the order direction is not Buy or Sell.
protected virtual decimal CalculateAdjustedLimitPrice(OrderDirection orderDirection, decimal previousLimitPrice, decimal targetMarketPrice, decimal priceAdjustmentFactor)
{
var adjustmentLimitPrice = orderDirection switch
{
OrderDirection.Buy => Math.Max(previousLimitPrice * priceAdjustmentFactor, targetMarketPrice * priceAdjustmentFactor),
OrderDirection.Sell => Math.Min(previousLimitPrice / priceAdjustmentFactor, targetMarketPrice / priceAdjustmentFactor),
_ => throw new NotSupportedException("Unsupported order direction: " + orderDirection)
};
Log.Trace($"{nameof(CalculateAdjustedLimitPrice)}: {orderDirection} | Prev: {previousLimitPrice}, Target: {targetMarketPrice}, AdjustmentFactor: {priceAdjustmentFactor}, Result: {adjustmentLimitPrice}");
return adjustmentLimitPrice;
}
///
/// Rounds the given price to the nearest increment defined by the underlying symbol's minimum price variation.
///
/// The original price to round.
/// The minimum tick size or price increment for the symbol.
/// The price rounded to the nearest valid increment.
protected virtual decimal RoundPrice(decimal price, decimal minimumPriceVariation)
{
var roundOffPlaces = minimumPriceVariation.GetDecimalPlaces();
var roundedPrice = Math.Round(price / roundOffPlaces) * roundOffPlaces;
Log.Trace($"{nameof(BaseOrderTestParameters)}.{nameof(RoundPrice)}: Price = {price}, Minimum Price increment = {minimumPriceVariation}, Rounded price = {roundedPrice}");
return roundedPrice;
}
protected void ApplyUpdateOrderRequests(IReadOnlyCollection orders, UpdateOrderFields fields)
{
foreach (var order in orders)
{
ApplyUpdateOrderRequest(order, fields);
}
}
protected void ApplyUpdateOrderRequest(Order order, UpdateOrderFields fields)
{
order.ApplyUpdateOrderRequest(new UpdateOrderRequest(DateTime.UtcNow, order.Id, fields));
}
///
/// Base class for defining order test parameters.
/// Implement to provide a descriptive name
/// for displaying the test case in Visual Studio Test Explorer.
///
/// A string representing the test parameters for display purposes.
public abstract override string ToString();
}
}