wehub-resource-sync
127 lines
4.9 KiB
C#
127 lines
4.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Orders.TimeInForces
|
|
{
|
|
/// <summary>
|
|
/// Good Til Date Time In Force - order expires and will be cancelled on a fixed date/time
|
|
/// </summary>
|
|
public class GoodTilDateTimeInForce : TimeInForce
|
|
{
|
|
/// <summary>
|
|
/// The date/time on which the order will expire and will be cancelled
|
|
/// </summary>
|
|
/// <remarks>The private set is required for JSON deserialization</remarks>
|
|
public DateTime Expiry { get; private set; }
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="GoodTilDateTimeInForce"/> class
|
|
/// </summary>
|
|
/// <remarks>This constructor is required for JSON deserialization</remarks>
|
|
private GoodTilDateTimeInForce()
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="GoodTilDateTimeInForce"/> class
|
|
/// </summary>
|
|
public GoodTilDateTimeInForce(DateTime expiry)
|
|
{
|
|
Expiry = expiry;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Checks if an order is expired
|
|
/// </summary>
|
|
/// <param name="security">The security matching the order</param>
|
|
/// <param name="order">The order to be checked</param>
|
|
/// <returns>Returns true if the order has expired, false otherwise</returns>
|
|
public override bool IsOrderExpired(Security security, Order order)
|
|
{
|
|
var exchangeHours = security.Exchange.Hours;
|
|
|
|
var time = security.LocalTime;
|
|
|
|
bool expired;
|
|
switch (order.SecurityType)
|
|
{
|
|
case SecurityType.Forex:
|
|
case SecurityType.Cfd:
|
|
// With real brokerages (IB, Oanda, FXCM have been verified) FX orders expire at 5 PM NewYork time.
|
|
// For now we use this fixed cut-off time, in future we might get this value from brokerage models,
|
|
// to support custom brokerage implementations.
|
|
expired = time.ConvertToUtc(exchangeHours.TimeZone) >= GetForexOrderExpiryDateTime(order);
|
|
break;
|
|
|
|
case SecurityType.Crypto:
|
|
case SecurityType.CryptoFuture:
|
|
// expires at midnight after expiry date
|
|
expired = time.Date > Expiry.Date;
|
|
break;
|
|
|
|
case SecurityType.Equity:
|
|
case SecurityType.Option:
|
|
case SecurityType.Future:
|
|
case SecurityType.FutureOption:
|
|
case SecurityType.IndexOption:
|
|
default:
|
|
// expires at market close of expiry date
|
|
expired = time >= exchangeHours.GetLastDailyMarketClose(Expiry.Date, false);
|
|
break;
|
|
}
|
|
|
|
return expired;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Checks if an order fill is valid
|
|
/// </summary>
|
|
/// <param name="security">The security matching the order</param>
|
|
/// <param name="order">The order to be checked</param>
|
|
/// <param name="fill">The order fill to be checked</param>
|
|
/// <returns>Returns true if the order fill can be emitted, false otherwise</returns>
|
|
public override bool IsFillValid(Security security, Order order, OrderEvent fill)
|
|
{
|
|
return true;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns the expiry date and time (UTC) for a Forex order
|
|
/// </summary>
|
|
public DateTime GetForexOrderExpiryDateTime(Order order)
|
|
{
|
|
var cutOffTimeZone = TimeZones.NewYork;
|
|
var cutOffTimeSpan = TimeSpan.FromHours(17);
|
|
|
|
var expiryTime = Expiry.Date.Add(cutOffTimeSpan);
|
|
if (order.Time.Date == Expiry.Date)
|
|
{
|
|
// expiry date same as order date
|
|
var orderTime = order.Time.ConvertFromUtc(cutOffTimeZone);
|
|
if (orderTime.TimeOfDay > cutOffTimeSpan)
|
|
{
|
|
// order submitted after 5 PM, expiry on next date
|
|
expiryTime = expiryTime.AddDays(1);
|
|
}
|
|
}
|
|
|
|
return expiryTime.ConvertToUtc(cutOffTimeZone);
|
|
}
|
|
}
|
|
}
|