wehub-resource-sync
100 lines
4.0 KiB
C#
100 lines
4.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Orders.TimeInForces;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Provides properties specific to interactive brokers
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/// </summary>
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public class InteractiveBrokersFixModel : InteractiveBrokersBrokerageModel
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{
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/// <summary>
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/// Supported time in force
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/// </summary>
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protected override Type[] SupportedTimeInForces { get; } =
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{
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typeof(GoodTilCanceledTimeInForce),
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typeof(DayTimeInForce),
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};
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/// <summary>
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/// Supported order types
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/// </summary>
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protected override HashSet<OrderType> SupportedOrderTypes { get; } = new HashSet<OrderType>
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{
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OrderType.Market,
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OrderType.MarketOnOpen,
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OrderType.MarketOnClose,
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OrderType.Limit,
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OrderType.StopMarket,
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OrderType.StopLimit,
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OrderType.TrailingStop,
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OrderType.ComboMarket,
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OrderType.ComboLimit
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};
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private readonly GroupOrderCacheManager _groupOrderCacheManager = new();
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/// <summary>
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/// Initializes a new instance of the <see cref="InteractiveBrokersFixModel"/> class
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/// </summary>
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/// <param name="accountType">The type of account to be modelled, defaults to
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/// <see cref="AccountType.Margin"/></param>
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public InteractiveBrokersFixModel(AccountType accountType = AccountType.Margin)
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: base(accountType)
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{
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}
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/// <summary>
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/// Returns true if the brokerage could accept this order. This takes into account
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/// order type, security type, and order size limits.
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/// </summary>
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/// <remarks>
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/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
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/// </remarks>
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/// <param name="security">The security being ordered</param>
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/// <param name="order">The order to be processed</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
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/// <returns>True if the brokerage could process the order, false otherwise</returns>
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public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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// only check supported combo order types
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if (order is ComboOrder && order.GroupOrderManager != null && SupportedOrderTypes.Contains(order.Type))
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{
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if (_groupOrderCacheManager.TryGetGroupCachedOrders(order, out var orders))
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{
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// reject combos that mix FutureOption and Future legs
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if (orders.Any(o => o.SecurityType == SecurityType.FutureOption) &&
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orders.Any(o => o.SecurityType == SecurityType.Future))
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.InteractiveBrokersFixModel.UnsupportedFopFutureComboOrders(this, order));
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return false;
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}
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}
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}
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return base.CanSubmitOrder(security, order, out message);
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}
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}
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}
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