wehub-resource-sync
87 lines
3.5 KiB
C#
87 lines
3.5 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.Collections.Generic;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Provides Bloomberg EMSX (TerminalLink) specific properties.
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/// </summary>
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public class TerminalLinkBrokerageModel : DefaultBrokerageModel
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{
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private readonly HashSet<SecurityType> _supportedSecurityTypes = new()
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{
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SecurityType.Equity,
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SecurityType.Option,
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SecurityType.Future,
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};
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private readonly HashSet<OrderType> _supportedOrderTypes = new()
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{
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OrderType.Market,
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OrderType.MarketOnOpen,
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OrderType.Limit,
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OrderType.StopMarket,
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OrderType.StopLimit,
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};
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/// <summary>
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/// Initializes a new instance of the <see cref="TerminalLinkBrokerageModel"/> class.
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/// </summary>
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/// <param name="accountType">Cash or Margin</param>
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public TerminalLinkBrokerageModel(AccountType accountType = AccountType.Margin) : 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.
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/// </summary>
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/// <param name="security">The security of the order</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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public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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if (!_supportedSecurityTypes.Contains(security.Type))
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
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return false;
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}
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if (!_supportedOrderTypes.Contains(order.Type))
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes));
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return false;
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}
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return base.CanSubmitOrder(security, order, out message);
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}
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/// <summary>
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/// TerminalLink does not allow modifying live orders; the EMSX brokerage rejects updates.
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/// </summary>
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public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
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return false;
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}
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}
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}
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