wehub-resource-sync
102 lines
4.0 KiB
C#
102 lines
4.0 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.Linq;
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using QuantConnect.Data.Market;
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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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/// This fill model is provided for cases where the trade/quote distinction should be
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/// ignored and the fill price should be determined from the latest pricing information.
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/// </summary>
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public class LatestPriceFillModel : ImmediateFillModel
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{
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/// <summary>
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/// Get the minimum and maximum price for this security in the last bar
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/// Ignore the Trade/Quote distinction - fill with the latest pricing information
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/// </summary>
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/// <param name="asset">Security asset we're checking</param>
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/// <param name="direction">The order direction, decides whether to pick bid or ask</param>
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protected override Prices GetPrices(Security asset, OrderDirection direction)
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{
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var low = asset.Low;
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var high = asset.High;
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var open = asset.Open;
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var close = asset.Close;
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var current = asset.Price;
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var lastData = asset.Cache.GetData();
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var startTime = lastData?.Time ?? DateTime.MinValue;
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var endTime = lastData?.EndTime ?? DateTime.MinValue;
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if (direction == OrderDirection.Hold)
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{
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return new Prices(startTime, endTime, current, open, high, low, close);
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}
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// Only fill with data types we are subscribed to
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var subscriptionTypes = Parameters.ConfigProvider
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.GetSubscriptionDataConfigs(asset.Symbol)
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.Select(x => x.Type).ToList();
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// Tick
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var tick = asset.Cache.GetData<Tick>();
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if (subscriptionTypes.Contains(typeof(Tick)) && tick != null)
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{
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var price = direction == OrderDirection.Sell ? tick.BidPrice : tick.AskPrice;
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if (price != 0m)
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{
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return new Prices(tick.Time, tick.EndTime, price, 0, 0, 0, 0);
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}
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// If the ask/bid spreads are not available for ticks, try the price
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price = tick.Price;
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if (price != 0m)
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{
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return new Prices(tick.Time, tick.EndTime, price, 0, 0, 0, 0);
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}
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}
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// Get both the last trade and last quote
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// Assume that the security has both a trade and quote subscription
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// This should be true for crypto securities
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var quoteBar = asset.Cache.GetData<QuoteBar>();
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if (quoteBar != null)
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{
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var tradeBar = asset.Cache.GetData<TradeBar>();
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if (tradeBar != null && tradeBar.EndTime > quoteBar.EndTime)
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{
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// The latest pricing data came from a trade
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return new Prices(tradeBar);
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}
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else
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{
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// The latest pricing data came from a quote
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var bar = direction == OrderDirection.Sell ? quoteBar.Bid : quoteBar.Ask;
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if (bar != null)
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{
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return new Prices(quoteBar.Time, quoteBar.EndTime, bar);
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}
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}
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}
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return new Prices(startTime, endTime, current, open, high, low, close);
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}
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}
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}
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