wehub-resource-sync
94 lines
3.7 KiB
C#
94 lines
3.7 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 System.Globalization;
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using QuantConnect.Brokerages;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
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/// This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
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///
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/// All orders are sent from the brokerage, none of them will be placed by the algorithm.
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/// </summary>
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public class CustomBrokerageSideOrderHandlingRegressionAlgorithm : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
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}
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public override void OnEndOfAlgorithm()
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{
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// The security should have been added
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if (!Securities.ContainsKey(_spy))
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{
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throw new RegressionTestException("Expected security to have been added");
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}
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if (Transactions.OrdersCount == 0)
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{
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throw new RegressionTestException("Expected orders to be added from brokerage side");
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}
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if (Portfolio.Positions.Groups.Count != 1)
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{
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throw new RegressionTestException("Expected only one position");
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}
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}
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public class CustomBrokerageMessageHandler : IBrokerageMessageHandler
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{
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private readonly IAlgorithm _algorithm;
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public CustomBrokerageMessageHandler(IAlgorithm algo) { _algorithm = algo; }
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/// <summary>
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/// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
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/// </summary>
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/// <param name="message">Message object</param>
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public void HandleMessage(BrokerageMessageEvent message)
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{
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_algorithm.Debug($"{_algorithm.Time.ToStringInvariant("o")} Event: {message.Message}");
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}
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/// <summary>
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/// Handles a new order placed manually in the brokerage side
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/// </summary>
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/// <param name="eventArgs">The new order event</param>
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/// <returns>Whether the order should be added to the transaction handler</returns>
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public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
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{
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var order = eventArgs.Order;
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if (string.IsNullOrEmpty(order.Tag) || !int.TryParse(order.Tag, NumberStyles.Integer, CultureInfo.InvariantCulture, out var value))
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{
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throw new RegressionTestException("Expected all new brokerage-side orders to have a valid tag");
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}
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// We will only process orders with even tags
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return value % 2 == 0;
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}
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}
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}
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}
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