/* * 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.Logging; using QuantConnect.Orders; namespace QuantConnect.Tests.Brokerages { /// /// Provides configuration parameters used to test behavior, /// including price bounds, trailing values, and modification thresholds. /// public class TrailingStopOrderTestParameters : OrderTestParameters { private readonly decimal _highLimit; private readonly decimal _lowLimit; /// /// Whether is a percentage (true) or absolute value (false). /// private readonly decimal _trailingAmount; /// /// Factor used to adjust the trailing stop during fill simulations (e.g., 0.001 = 0.1%, 1 = $1). /// private readonly bool _trailingAsPercentage; /// /// The offset amount used when adjusting the trailing stop order during fill simulations. /// Typically a small value such as 0.001m (for 0.1%) or 1m (for $1). /// private readonly decimal _trailingOffsetAmount; /// /// Initializes a new instance of the class. /// /// The symbol associated with the order under test. /// The upper price boundary for the simulated test environment. /// The lower price boundary for the simulated test environment. /// The trailing stop amount, expressed as either a fixed offset or percentage. /// If true, the is a percentage; otherwise, it’s an absolute price offset. /// Optional order properties used to customize the test order (such as time in force or brokerage-specific parameters). /// Optional submission data containing fill and price context at order creation time. /// /// Optional offset amount applied when simulating trailing stop order modifications during tests. /// Defaults to a typical small value such as 0.001m (0.1%) or 1m ($1), depending on . /// public TrailingStopOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, decimal trailingAmount, bool trailingAsPercentage, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null, decimal? trailingOffsetAmount = null) : base(symbol, properties, orderSubmissionData) { _highLimit = highLimit; _lowLimit = lowLimit; _trailingAmount = trailingAmount; _trailingAsPercentage = trailingAsPercentage; // trailingAsPercentage ? 0.001m (0.1%) or 1$ _trailingOffsetAmount = trailingOffsetAmount ?? (trailingAsPercentage ? 0.001m : 0.5m); } public override Order CreateShortOrder(decimal quantity) { return new TrailingStopOrder(Symbol, -Math.Abs(quantity), _lowLimit, _trailingAmount, _trailingAsPercentage, DateTime.UtcNow, properties: Properties) { Status = OrderStatus.New, OrderSubmissionData = OrderSubmissionData, PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency }; } public override Order CreateLongOrder(decimal quantity) { return new TrailingStopOrder(Symbol, Math.Abs(quantity), _highLimit, _trailingAmount, _trailingAsPercentage, DateTime.UtcNow, properties: Properties) { Status = OrderStatus.New, OrderSubmissionData = OrderSubmissionData, PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency }; } public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice) { var trailingStopOrder = order as TrailingStopOrder; if (trailingStopOrder.TrailingAmount == _trailingOffsetAmount) { Log.Trace($"{nameof(TrailingStopOrderTestParameters)}.{nameof(ModifyOrderToFill)}: Trailing amount already equals modification factor for order {trailingStopOrder.Id}."); return false; } if (!TrailingStopOrder.TryUpdateStopPrice(lastMarketPrice, trailingStopOrder.StopPrice, _trailingOffsetAmount, trailingStopOrder.TrailingAsPercentage, trailingStopOrder.Direction, out var updatedStopPrice)) { Log.Error($"Failed to compute updated stop price for order {trailingStopOrder.Id}. " + $"Inputs: LastMarketPrice={lastMarketPrice}, CurrentStopPrice={trailingStopOrder.StopPrice}, " + $"TrailingModificationFactor={_trailingOffsetAmount}, IsPercentage={trailingStopOrder.TrailingAsPercentage}, Direction={trailingStopOrder.Direction}."); return false; } var updateFields = new UpdateOrderFields() { StopPrice = updatedStopPrice, TrailingAmount = _trailingOffsetAmount }; ApplyUpdateOrderRequest(order, updateFields); return true; } public override OrderStatus ExpectedStatus => OrderStatus.Submitted; public override bool ExpectedCancellationResult => true; public override string ToString() { return $"{OrderType.TrailingStop}: {SecurityType}, {Symbol}"; } } }