wehub-resource-sync
92 lines
3.4 KiB
C#
92 lines
3.4 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 QuantConnect.Interfaces;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Combo order type
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/// </summary>
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public abstract class ComboOrder : Order
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{
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private decimal _ratio;
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/// <summary>
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/// Number of shares to execute.
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/// For combo orders, we store the ratio of each leg instead of the quantity,
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/// and the actual quantity is calculated when requested using the group order manager quantity.
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/// This allows for a single quantity update to be applied to all the legs of the combo.
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/// </summary>
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public override decimal Quantity
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{
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get
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{
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return _ratio.GetOrderLegGroupQuantity(GroupOrderManager).Normalize();
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}
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internal set
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{
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_ratio = value.GetOrderLegRatio(GroupOrderManager);
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}
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}
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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 ComboOrder() : base()
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{
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}
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/// <summary>
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/// New market 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="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 ComboOrder(Symbol symbol, decimal quantity, DateTime time, GroupOrderManager groupOrderManager, string tag = "",
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IOrderProperties properties = null)
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: base(symbol, 0m, time, tag, properties)
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{
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GroupOrderManager = groupOrderManager;
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Quantity = quantity;
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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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if (request.OrderId != Id)
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{
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throw new ArgumentException("Attempted to apply updates to the incorrect order!");
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}
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if (request.Tag != null)
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{
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Tag = request.Tag;
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}
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if (request.Quantity.HasValue)
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{
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// For combo orders, the updated quantity is the quantity of the group
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GroupOrderManager.Quantity = request.Quantity.Value;
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}
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}
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}
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}
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