wehub-resource-sync
107 lines
4.3 KiB
C#
107 lines
4.3 KiB
C#
/*
|
|
* 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 QuantConnect.Orders;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Orders.Fees;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Brokerages
|
|
{
|
|
/// <summary>
|
|
/// Wolverine Brokerage model
|
|
/// </summary>
|
|
public class WolverineBrokerageModel : DefaultBrokerageModel
|
|
{
|
|
/// <summary>
|
|
/// Supported order types
|
|
/// </summary>
|
|
private HashSet<OrderType> SupportedOrderTypes { get; } =
|
|
[
|
|
OrderType.Market,
|
|
OrderType.MarketOnClose,
|
|
OrderType.Limit,
|
|
OrderType.StopMarket,
|
|
OrderType.StopLimit
|
|
];
|
|
|
|
/// <summary>
|
|
/// Constructor for Wolverine brokerage model
|
|
/// </summary>
|
|
/// <param name="accountType">Cash or Margin</param>
|
|
public WolverineBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns true if the brokerage could accept this order. This takes into account
|
|
/// order type, security type, and order size limits.
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
|
|
/// </remarks>
|
|
/// <param name="security">The security of the order</param>
|
|
/// <param name="order">The order to be processed</param>
|
|
/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
|
|
/// <returns>True if the brokerage could process the order, false otherwise</returns>
|
|
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
|
|
{
|
|
if (!IsValidOrderSize(security, order.Quantity, out message))
|
|
{
|
|
return false;
|
|
}
|
|
|
|
if (security.Type != SecurityType.Equity && security.Type != SecurityType.Option)
|
|
{
|
|
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);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wolverine does not support update of orders
|
|
/// </summary>
|
|
/// <param name="security">Security</param>
|
|
/// <param name="order">Order that should be updated</param>
|
|
/// <param name="request">Update request</param>
|
|
/// <param name="message">Outgoing message</param>
|
|
/// <returns>Always false as Wolverine does not support update of orders</returns>
|
|
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
|
|
{
|
|
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, 0, Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
|
|
return false;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Provides Wolverine fee model
|
|
/// </summary>
|
|
/// <param name="security">Security</param>
|
|
/// <returns>Wolverine fee model</returns>
|
|
public override IFeeModel GetFeeModel(Security security)
|
|
{
|
|
return new WolverineFeeModel();
|
|
}
|
|
}
|
|
}
|