wehub-resource-sync
85 lines
3.2 KiB
C#
85 lines
3.2 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 QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders.Fills
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{
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/// <summary>
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/// Defines the parameters for the <see cref="IFillModel"/> method
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/// </summary>
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public class FillModelParameters
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{
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/// <summary>
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/// Gets the <see cref="Security"/>
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// Gets the <see cref="Order"/>
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/// </summary>
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public Order Order { get; }
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/// <summary>
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/// Gets the <see cref="SubscriptionDataConfig"/> provider
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/// </summary>
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public ISubscriptionDataConfigProvider ConfigProvider { get; }
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/// <summary>
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/// Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
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/// </summary>
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public TimeSpan StalePriceTimeSpan { get; }
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/// <summary>
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/// Gets the collection of securities by order
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/// </summary>
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/// <remarks>We need this so that combo limit orders can access the prices for each security to calculate the price for the fill</remarks>
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public Dictionary<Order, Security> SecuritiesForOrders { get; }
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/// <summary>
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/// Callback to notify when an order is updated by the fill model
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/// </summary>
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public Action<Order> OnOrderUpdated { get; }
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="security">Security asset we're filling</param>
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/// <param name="order">Order packet to model</param>
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/// <param name="configProvider">The <see cref="ISubscriptionDataConfigProvider"/> to use</param>
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/// <param name="stalePriceTimeSpan">The minimum time span elapsed to consider a fill price as stale</param>
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/// <param name="securitiesForOrders">Collection of securities for each order</param>
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public FillModelParameters(
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Security security,
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Order order,
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ISubscriptionDataConfigProvider configProvider,
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TimeSpan stalePriceTimeSpan,
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Dictionary<Order, Security> securitiesForOrders,
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Action<Order> onOrderUpdated = null)
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{
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Security = security;
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Order = order;
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ConfigProvider = configProvider;
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StalePriceTimeSpan = stalePriceTimeSpan;
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SecuritiesForOrders = securitiesForOrders;
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OnOrderUpdated = onOrderUpdated ?? (o => { });
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}
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}
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}
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