wehub-resource-sync
106 lines
4.1 KiB
C#
106 lines
4.1 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.Orders;
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namespace QuantConnect.Tests.Brokerages
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{
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public class LimitIfTouchedOrderTestParameters : OrderTestParameters
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{
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private readonly decimal _highLimit;
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private readonly decimal _lowLimit;
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public LimitIfTouchedOrderTestParameters(
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Symbol symbol,
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decimal highLimit,
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decimal lowLimit,
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IOrderProperties properties = null,
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OrderSubmissionData orderSubmissionData = null
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)
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: base(symbol, properties, orderSubmissionData)
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{
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_highLimit = highLimit;
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_lowLimit = lowLimit;
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}
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public override Order CreateShortOrder(decimal quantity)
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{
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return new LimitIfTouchedOrder(Symbol, -Math.Abs(quantity), _lowLimit, _highLimit, DateTime.UtcNow,
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properties: Properties)
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{
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Status = OrderStatus.New,
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OrderSubmissionData = OrderSubmissionData,
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PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
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};
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}
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public override Order CreateLongOrder(decimal quantity)
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{
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return new LimitIfTouchedOrder(Symbol, Math.Abs(quantity), _highLimit, _lowLimit, DateTime.UtcNow,
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properties: Properties)
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{
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Status = OrderStatus.New,
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OrderSubmissionData = OrderSubmissionData,
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PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
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};
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}
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public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice)
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{
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var roundOffPlaces = GetSymbolProperties(order.Symbol).MinimumPriceVariation.GetDecimalPlaces();
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var stop = (LimitIfTouchedOrder) order;
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var previousStop = stop.TriggerPrice;
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if (order.Quantity > 0)
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{
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// for buys we need to decrease the trigger price
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stop.TriggerPrice = Math.Min(stop.TriggerPrice,
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Math.Max(stop.TriggerPrice / 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
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}
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else
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{
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// for sells we need to increase the trigger price
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stop.TriggerPrice = Math.Max(stop.TriggerPrice,
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Math.Min(stop.TriggerPrice * 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
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}
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stop.LimitPrice = stop.TriggerPrice;
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return stop.TriggerPrice != previousStop;
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}
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// default trigger limit orders will only be submitted, not filled
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public override OrderStatus ExpectedStatus => OrderStatus.Submitted;
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public override bool ExpectedCancellationResult => true;
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public override string ToString()
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{
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return $"{OrderType.LimitIfTouched}: {SecurityType}, {Symbol}";
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}
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}
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// to be used with brokerages which do not support UpdateOrder
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public class NonUpdateableLimitIfTouchedOrderTestParameters : LimitIfTouchedOrderTestParameters
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{
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public NonUpdateableLimitIfTouchedOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null)
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: base(symbol, highLimit, lowLimit, properties)
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{
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}
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public override bool ModifyUntilFilled => false;
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}
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}
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