wehub-resource-sync
99 lines
3.7 KiB
C#
99 lines
3.7 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 Newtonsoft.Json;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Combo leg limit order type
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/// </summary>
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/// <remarks>Limit price per leg in the combo order</remarks>
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public class ComboLegLimitOrder : ComboOrder
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{
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/// <summary>
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/// Combo Limit Leg Order Type
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/// </summary>
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public override OrderType Type => OrderType.ComboLegLimit;
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/// <summary>
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/// Limit price for this order.
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/// </summary>
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[JsonProperty(PropertyName = "limitPrice")]
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public decimal LimitPrice { get; internal set; }
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/// <summary>
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/// Added a default constructor for JSON Deserialization:
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/// </summary>
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public ComboLegLimitOrder() : base()
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{
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}
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/// <summary>
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/// New limit order constructor
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/// </summary>
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/// <param name="symbol">Symbol asset we're seeking to trade</param>
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/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
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/// <param name="time">Time the order was placed</param>
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/// <param name="groupOrderManager">Manager for the orders in the group</param>
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/// <param name="limitPrice">Price the order should be filled at if a limit order</param>
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/// <param name="tag">User defined data tag for this order</param>
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/// <param name="properties">The order properties for this order</param>
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public ComboLegLimitOrder(Symbol symbol, decimal quantity, decimal limitPrice, DateTime time, GroupOrderManager groupOrderManager,
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string tag = "", IOrderProperties properties = null)
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: base(symbol, quantity, time, groupOrderManager, tag, properties)
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{
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GroupOrderManager = groupOrderManager;
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LimitPrice = limitPrice;
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}
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/// <summary>
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/// Gets the order value in units of the security's quote currency
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/// </summary>
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/// <param name="security">The security matching this order's symbol</param>
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protected override decimal GetValueImpl(Security security)
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{
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return LimitOrder.CalculateOrderValue(Quantity, LimitPrice, security.Price);
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}
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/// <summary>
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/// Modifies the state of this order to match the update request
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/// </summary>
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/// <param name="request">The request to update this order object</param>
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public override void ApplyUpdateOrderRequest(UpdateOrderRequest request)
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{
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base.ApplyUpdateOrderRequest(request);
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if (request.LimitPrice.HasValue)
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{
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LimitPrice = request.LimitPrice.Value;
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}
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}
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/// <summary>
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/// Creates a deep-copy clone of this order
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/// </summary>
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/// <returns>A copy of this order</returns>
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public override Order Clone()
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{
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var order = new ComboLegLimitOrder { LimitPrice = LimitPrice };
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CopyTo(order);
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return order;
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}
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}
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}
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