wehub-resource-sync
81 lines
3.1 KiB
C#
81 lines
3.1 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.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Statistics;
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namespace QuantConnect.Interfaces
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{
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/// <summary>
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/// Generates trades from executions and market price updates
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/// </summary>
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public interface ITradeBuilder
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{
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/// <summary>
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/// Sets the security manager instance
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/// </summary>
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/// <param name="securities">The security manager</param>
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void SetSecurityManager(SecurityManager securities);
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/// <summary>
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/// Sets the live mode flag
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/// </summary>
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/// <param name="live">The live mode flag</param>
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void SetLiveMode(bool live);
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/// <summary>
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/// The list of closed trades
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/// </summary>
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List<Trade> ClosedTrades { get; }
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/// <summary>
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/// Returns true if there is an open position for the symbol
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <returns>true if there is an open position for the symbol</returns>
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bool HasOpenPosition(Symbol symbol);
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/// <summary>
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/// Sets the current market price for the symbol
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/// </summary>
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/// <param name="symbol"></param>
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/// <param name="price"></param>
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void SetMarketPrice(Symbol symbol, decimal price);
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/// <summary>
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/// Applies a split to the trade builder
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/// </summary>
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/// <param name="split">The split to be applied</param>
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/// <param name="liveMode">True if live mode, false for backtest</param>
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/// <param name="dataNormalizationMode">The <see cref="DataNormalizationMode"/> for this security</param>
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void ApplySplit(Split split, bool liveMode, DataNormalizationMode dataNormalizationMode);
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/// <summary>
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/// Processes a new fill, eventually creating new trades
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/// </summary>
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/// <param name="fill">The new fill order event</param>
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/// <param name="securityConversionRate">The current security market conversion rate into the account currency</param>
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/// <param name="feeInAccountCurrency">The current order fee in the account currency</param>
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/// <param name="multiplier">The contract multiplier</param>
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void ProcessFill(OrderEvent fill,
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decimal securityConversionRate,
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decimal feeInAccountCurrency,
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decimal multiplier = 1.0m);
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}
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}
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