wehub-resource-sync
95 lines
3.8 KiB
C#
95 lines
3.8 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.Securities;
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namespace QuantConnect.Orders.TimeInForces
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{
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/// <summary>
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/// Day Time In Force - order expires at market close
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/// </summary>
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public class DayTimeInForce : TimeInForce
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{
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/// <summary>
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/// Checks if an order is expired
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/// </summary>
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/// <param name="security">The security matching the order</param>
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/// <param name="order">The order to be checked</param>
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/// <returns>Returns true if the order has expired, false otherwise</returns>
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public override bool IsOrderExpired(Security security, Order order)
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{
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var exchangeHours = security.Exchange.Hours;
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var orderTime = order.Time.ConvertFromUtc(exchangeHours.TimeZone);
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var time = security.LocalTime;
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bool expired;
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switch (order.SecurityType)
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{
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case SecurityType.Forex:
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case SecurityType.Cfd:
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// With real brokerages (IB, Oanda, FXCM have been verified) FX orders expire at 5 PM NewYork time.
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// For now we use this fixed cut-off time, in future we might get this value from brokerage models,
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// to support custom brokerage implementations.
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var cutOffTimeZone = TimeZones.NewYork;
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var cutOffTimeSpan = TimeSpan.FromHours(17);
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orderTime = order.Time.ConvertFromUtc(cutOffTimeZone);
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var expiryTime = orderTime.Date.Add(cutOffTimeSpan);
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if (orderTime.TimeOfDay > cutOffTimeSpan)
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{
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// order submitted after 5 PM, expiry on next date
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expiryTime = expiryTime.AddDays(1);
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}
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expired = time.ConvertTo(exchangeHours.TimeZone, cutOffTimeZone) >= expiryTime;
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break;
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case SecurityType.Crypto:
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case SecurityType.CryptoFuture:
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// expires at midnight UTC
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expired = time.Date > orderTime.Date;
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break;
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case SecurityType.Equity:
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case SecurityType.Option:
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case SecurityType.Future:
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case SecurityType.FutureOption:
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case SecurityType.IndexOption:
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default:
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// expires at market close
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expired = time >= exchangeHours.GetLastDailyMarketClose(orderTime, false);
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break;
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}
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return expired;
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}
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/// <summary>
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/// Checks if an order fill is valid
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/// </summary>
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/// <param name="security">The security matching the order</param>
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/// <param name="order">The order to be checked</param>
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/// <param name="fill">The order fill to be checked</param>
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/// <returns>Returns true if the order fill can be emitted, false otherwise</returns>
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public override bool IsFillValid(Security security, Order order, OrderEvent fill)
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{
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return true;
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}
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}
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}
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