wehub-resource-sync
131 lines
4.4 KiB
C#
131 lines
4.4 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 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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/// Stop Market Order Type Definition
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/// </summary>
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public class StopMarketOrder : Order
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{
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/// <summary>
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/// Stop price for this stop market order.
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/// </summary>
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[JsonProperty(PropertyName = "stopPrice")]
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public decimal StopPrice { get; internal set; }
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/// <summary>
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/// StopMarket 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.StopMarket; }
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}
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/// <summary>
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/// Default constructor for JSON Deserialization:
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/// </summary>
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public StopMarketOrder()
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{
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}
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/// <summary>
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/// New Stop 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="stopPrice">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 StopMarketOrder(Symbol symbol, decimal quantity, decimal stopPrice, 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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StopPrice = stopPrice;
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}
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/// <summary>
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/// Gets the default tag for this order
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/// </summary>
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/// <returns>The default tag</returns>
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public override string GetDefaultTag()
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{
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return Messages.StopMarketOrder.Tag(this);
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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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// selling, so higher price will be used
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if (Quantity < 0)
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{
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return Quantity * Math.Max(StopPrice, security.Price);
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}
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// buying, so lower price will be used
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if (Quantity > 0)
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{
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return Quantity * Math.Min(StopPrice, security.Price);
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}
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return 0m;
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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.StopPrice.HasValue)
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{
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StopPrice = request.StopPrice.Value;
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}
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return Messages.StopMarketOrder.ToString(this);
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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 StopMarketOrder { StopPrice = StopPrice };
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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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