wehub-resource-sync
93 lines
3.6 KiB
C#
93 lines
3.6 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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using QuantConnect.Securities;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Market on close order type - submits a market order on exchange close
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/// </summary>
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public class MarketOnCloseOrder : Order
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{
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/// <summary>
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/// Gets the default interval before market close that an MOC order may be submitted.
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/// For example, US equity exchanges typically require MOC orders to be placed no later
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/// than 15 minutes before market close, which yields a nominal time of 3:45PM.
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/// This buffer value takes into account the 15 minutes and adds an additional 30 seconds
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/// to account for other potential delays, such as LEAN order processing and placement of
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/// the order to the exchange.
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/// </summary>
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public static readonly TimeSpan DefaultSubmissionTimeBuffer = TimeSpan.FromMinutes(15.5);
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/// <summary>
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/// The interval before market close that an MOC order may be submitted.
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/// </summary>
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/// <remarks>Configurable so advanced users may modify this for special cases;
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/// Related issue: Github #5481</remarks>
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public static TimeSpan SubmissionTimeBuffer = DefaultSubmissionTimeBuffer;
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/// <summary>
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/// MarketOnClose Order Type
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/// </summary>
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public override OrderType Type
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{
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get { return OrderType.MarketOnClose; }
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}
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/// <summary>
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/// Intiializes a new instance of the <see cref="MarketOnCloseOrder"/> class.
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/// </summary>
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public MarketOnCloseOrder()
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{
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}
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/// <summary>
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/// Intiializes a new instance of the <see cref="MarketOnCloseOrder"/> class.
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/// </summary>
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/// <param name="symbol">The security's symbol being ordered</param>
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/// <param name="quantity">The number of units to order</param>
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/// <param name="time">The current time</param>
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/// <param name="tag">A user defined tag for the order</param>
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/// <param name="properties">The order properties for this order</param>
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public MarketOnCloseOrder(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
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: base(symbol, quantity, time, tag, properties)
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{
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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 Quantity*security.Price;
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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 MarketOnCloseOrder();
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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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