wehub-resource-sync
211 lines
11 KiB
C#
211 lines
11 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.Collections.Generic;
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using System.Linq;
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using System.Runtime.CompilerServices;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Securities;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect
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{
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/// <summary>
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/// Provides user-facing message construction methods and static messages for the <see cref="Orders.Fills"/> namespace
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/// </summary>
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public static partial class Messages
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{
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/// <summary>
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/// Provides user-facing messages for the <see cref="Orders.Fills.FillModel"/> class and its consumers or related classes
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/// </summary>
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public static class FillModel
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{
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/// <summary>
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/// Returns a string message warning saying the order was filled at stale price
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledAtStalePrice(Securities.Security security, Prices prices)
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{
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return Invariant($"Warning: fill at stale price ({prices.EndTime.ToStringInvariant()} {security.Exchange.TimeZone})");
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}
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/// <summary>
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/// Returns a string message saying the market never closes for the given symbol, and that an order of the given
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/// type cannot be submitted
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string MarketNeverCloses(Securities.Security security, OrderType orderType)
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{
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return Invariant($"Market never closes for this symbol {security.Symbol}, can no submit a {nameof(orderType)} order.");
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}
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/// <summary>
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/// Returns a string message containing the given subscribedTypes
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static string SubscribedTypesToString(HashSet<Type> subscribedTypes)
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{
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return subscribedTypes == null
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? string.Empty
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: Invariant($" SubscribedTypes: [{string.Join(",", subscribedTypes.Select(type => type.Name))}]");
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}
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/// <summary>
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/// Returns a string message saying it was impossible to get ask price to perform the fill for the given security symbol because
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/// no market data was found
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string NoMarketDataToGetAskPriceForFilling(Securities.Security security, HashSet<Type> subscribedTypes = null)
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{
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return Invariant($"Cannot get ask price to perform fill for {security.Symbol} because no market data was found.") +
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SubscribedTypesToString(subscribedTypes);
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}
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/// <summary>
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/// Returns a string message saying it was impossible to get bid price to perform the fill for the given security symbol because
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/// no market data was found
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string NoMarketDataToGetBidPriceForFilling(Securities.Security security, HashSet<Type> subscribedTypes = null)
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{
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return Invariant($"Cannot get bid price to perform fill for {security.Symbol} because no market data was found.") +
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SubscribedTypesToString(subscribedTypes);
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}
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/// <summary>
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/// Returns a string message saying it was impossible to perform a fill for the given security symbol because
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/// no data subscription was found
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string NoDataSubscriptionFoundForFilling(Securities.Security security)
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{
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return Invariant($"Cannot perform fill for {security.Symbol} because no data subscription were found.");
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}
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}
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/// <summary>
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/// Provides user-facing messages for the <see cref="Orders.Fills.EquityFillModel"/> class and its consumers or related classes
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/// </summary>
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public static class EquityFillModel
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{
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/// <summary>
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/// String message saying: No trade with the OfficialOpen or OpeningPrints flag within the 1-minute timeout
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/// </summary>
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public static string MarketOnOpenFillNoOfficialOpenOrOpeningPrintsWithinOneMinute =
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"No trade with the OfficialOpen or OpeningPrints flag within the 1-minute timeout.";
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/// <summary>
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/// String message saying: No trade with the OfficialClose or ClosingPrints flag within the 1-minute timeout
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/// </summary>
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public static string MarketOnCloseFillNoOfficialCloseOrClosingPrintsWithinOneMinute =
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"No trade with the OfficialClose or ClosingPrints flag within the 1-minute timeout.";
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/// <summary>
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/// String message saying: No trade with the OfficialClose or ClosingPrints flag for data that does not include
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/// extended market hours
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/// </summary>
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public static string MarketOnCloseFillNoOfficialCloseOrClosingPrintsWithoutExtendedMarketHours =
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"No trade with the OfficialClose or ClosingPrints flag for data that does not include extended market hours.";
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/// <summary>
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/// Returns a string message saying the last data (of the given tick type) has been used to fill
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithLastTickTypeData(Tick tick)
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{
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return Invariant($"Fill with last {tick.TickType} data.");
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}
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/// <summary>
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/// Returns a string message warnning the user that no trade information was available, so the order was filled
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/// using quote data
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithQuoteData(Securities.Security security)
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{
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return Invariant($@"Warning: No trade information available at {security.LocalTime.ToStringInvariant()} {
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security.Exchange.TimeZone}, order filled using Quote data");
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}
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/// <summary>
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/// Returns a string message warning the user that the fill is at stale price and that the order will
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/// be filled using quote tick data
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithQuoteTickData(Securities.Security security, Tick quoteTick)
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{
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return Invariant($@"Warning: fill at stale price ({quoteTick.EndTime.ToStringInvariant()} {
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security.Exchange.TimeZone}), using Quote Tick data.");
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}
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/// <summary>
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/// Returns a string message warning the user that no quote information was available, so the order
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/// was filled using trade tick data
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithTradeTickData(Securities.Security security, Tick tradeTick)
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{
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return Invariant($@"Warning: No quote information available at {tradeTick.EndTime.ToStringInvariant()} {
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security.Exchange.TimeZone}, order filled using Trade Tick data");
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}
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/// <summary>
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/// Returns a string message warning the user that the fill was at stale price, so quote bar data
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/// was used to fill the order
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithQuoteBarData(Securities.Security security, QuoteBar quoteBar)
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{
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return Invariant($@"Warning: fill at stale price ({quoteBar.EndTime.ToStringInvariant()} {
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security.Exchange.TimeZone}), using QuoteBar data.");
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}
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/// <summary>
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/// Returns a string message warning the user that no quote information was available, so that trade bar
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/// data was used to fill the order
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithTradeBarData(Securities.Security security, TradeBar tradeBar)
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{
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return Invariant($@"Warning: No quote information available at {tradeBar.EndTime.ToStringInvariant()} {
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security.Exchange.TimeZone}, order filled using TradeBar data");
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}
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/// <summary>
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/// Returns a string message saying that the order was filled using the open price due to a favorable gap
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithOpenDueToFavorableGap(Securities.Security security, TradeBar tradeBar)
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{
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return Invariant($@"Due to a favorable gap at {tradeBar.EndTime.ToStringInvariant()} {security.Exchange.TimeZone}, order filled using the open price ({tradeBar.Open})");
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}
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/// <summary>
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/// Returns a string message saying that the order was filled using the open price due to an unfavorable gap
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string FilledWithOpenDueToUnfavorableGap(Securities.Security security, TradeBar tradeBar)
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{
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return Invariant($@"Due to an unfavorable gap at {tradeBar.EndTime.ToStringInvariant()} {security.Exchange.TimeZone}, order filled using the open price ({tradeBar.Open})");
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}
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}
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}
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}
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