wehub-resource-sync
71 lines
2.8 KiB
C#
71 lines
2.8 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 QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Securities;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders
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/// </summary>
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internal class PartialFillModel : FillModel
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{
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private readonly QCAlgorithm _algorithm;
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private readonly Dictionary<int, decimal> _absoluteRemainingByOrderId;
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private readonly decimal _rate;
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public PartialFillModel(QCAlgorithm algorithm, decimal rate = 1.0m)
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{
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_algorithm = algorithm;
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_rate = rate;
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_absoluteRemainingByOrderId = new Dictionary<int, decimal>();
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}
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public override OrderEvent MarketFill(Security asset, MarketOrder order)
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{
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decimal absoluteRemaining;
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if (!_absoluteRemainingByOrderId.TryGetValue(order.Id, out absoluteRemaining))
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{
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absoluteRemaining = order.AbsoluteQuantity;
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_absoluteRemainingByOrderId.Add(order.Id, order.AbsoluteQuantity);
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}
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// Create the object
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var fill = base.MarketFill(asset, order);
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// Set this fill amount
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var absoluteFillQuantity = (int)(Math.Min(absoluteRemaining, _rate * (int)order.AbsoluteQuantity));
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fill.FillQuantity = Math.Sign(order.Quantity) * absoluteFillQuantity;
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if (absoluteRemaining == absoluteFillQuantity)
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{
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fill.Status = OrderStatus.Filled;
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_absoluteRemainingByOrderId.Remove(order.Id);
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}
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else
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{
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fill.Status = OrderStatus.PartiallyFilled;
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_absoluteRemainingByOrderId[order.Id] = absoluteRemaining - absoluteFillQuantity;
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_algorithm.Debug($"{_algorithm.Time} - Partial Fill - Remaining {absoluteRemaining} Price - {fill.FillPrice}");
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}
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return fill;
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}
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}
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} |