/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
var response = !_algorithm.IsWarmingUp
? OrderResponse.Success(request)
: OrderResponse.WarmingUp(request);
request.SetResponse(response);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
if (response.IsSuccess)
{
_orderRequestQueue.Add(request);
}
else
{
// add it to the orders collection for recall later
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
order.Status = OrderStatus.Invalid;
order.Tag = "Algorithm warming up.";
ticket.SetOrder(order);
_orders.TryAdd(request.OrderId, order);
}
return(ticket);
}
/// <summary>
/// Handles a request to update order properties
/// </summary>
private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
{
Order order;
OrderTicket ticket;
if (!_orders.TryGetValue(request.OrderId, out order) || !_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleUpdateOrderRequest(): Unable to update order with ID " + request.OrderId);
return(OrderResponse.UnableToFindOrder(request));
}
if (!CanUpdateOrder(order))
{
return(OrderResponse.InvalidStatus(request, order));
}
// verify that our current brokerage can actually update the order
BrokerageMessageEvent message;
if (!_algorithm.LiveMode && !_algorithm.BrokerageModel.CanUpdateOrder(_algorithm.Securities[order.Symbol], order, request, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to update order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToUpdateOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to update order"));
return(response);
}
// modify the values of the order object
order.ApplyUpdateOrderRequest(request);
ticket.SetOrder(order);
bool orderUpdated;
try
{
orderUpdated = _brokerage.UpdateOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderUpdated = false;
}
if (!orderUpdated)
{
// we failed to update the order for some reason
var errorMessage = "Brokerage failed to update order with id " + request.OrderId;
_algorithm.Error(errorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to update order"));
return(OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToUpdateOrder, errorMessage));
}
return(OrderResponse.Success(request));
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
var response = !_algorithm.IsWarmingUp
? OrderResponse.Success(request)
: OrderResponse.WarmingUp(request);
request.SetResponse(response);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
if (response.IsSuccess)
{
_orderRequestQueue.Add(request);
}
else
{
// add it to the orders collection for recall later
var order = Order.CreateOrder(request);
order.Status = OrderStatus.Invalid;
order.Tag = "Algorithm warming up.";
ticket.SetOrder(order);
_orders.TryAdd(request.OrderId, order);
}
return(ticket);
}
/// <summary>
/// Remove this order from outstanding queue: user is requesting a cancel.
/// </summary>
/// <param name="request">Request containing the specific order id to remove</param>
public OrderTicket CancelOrder(CancelOrderRequest request)
{
OrderTicket ticket;
if (!_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Unable to locate ticket for order.");
return(OrderTicket.InvalidCancelOrderId(_algorithm.Transactions, request));
}
try
{
// if we couldn't set this request as the cancellation then another thread/someone
// else is already doing it or it in fact has already been cancelled
if (!ticket.TrySetCancelRequest(request))
{
// the ticket has already been cancelled
request.SetResponse(OrderResponse.Error(request, OrderResponseErrorCode.InvalidRequest, "Cancellation is already in progress."));
return(ticket);
}
//Error check
var order = GetOrderByIdInternal(request.OrderId);
if (order != null && request.Tag != null)
{
order.Tag = request.Tag;
}
if (order == null)
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Cannot find this id.");
request.SetResponse(OrderResponse.UnableToFindOrder(request));
}
else if (order.Status.IsClosed())
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Order already " + order.Status);
request.SetResponse(OrderResponse.InvalidStatus(request, order));
}
else if (_algorithm.IsWarmingUp)
{
request.SetResponse(OrderResponse.WarmingUp(request));
}
else
{
// send the request to be processed
request.SetResponse(OrderResponse.Success(request), OrderRequestStatus.Processing);
_orderRequestQueue.Add(request);
}
}
catch (Exception err)
{
Log.Error(err);
request.SetResponse(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, err.Message));
}
return(ticket);
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
request.SetResponse(OrderResponse.Success(request), OrderRequestStatus.Processing);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
_orderRequestQueue.Enqueue(request);
return(ticket);
}
/// <summary>
/// Handles a request to cancel an order
/// </summary>
private OrderResponse HandleCancelOrderRequest(CancelOrderRequest request)
{
Order order;
OrderTicket ticket;
if (!_orders.TryGetValue(request.OrderId, out order) || !_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleCancelOrderRequest(): Unable to cancel order with ID " + request.OrderId + ".");
return(OrderResponse.UnableToFindOrder(request));
}
if (order.Status.IsClosed())
{
return(OrderResponse.InvalidStatus(request, order));
}
ticket.SetOrder(order);
bool orderCanceled;
try
{
orderCanceled = _brokerage.CancelOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderCanceled = false;
}
if (!orderCanceled)
{
// failed to cancel the order
var message = "Brokerage failed to cancel order with id " + order.Id;
_algorithm.Error(message);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to cancel order"));
return(OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToCancelOrder, message));
}
// we succeeded to cancel the order
order.Status = OrderStatus.Canceled;
if (request.Tag != null)
{
// update the tag, useful for 'why' we canceled the order
order.Tag = request.Tag;
}
return(OrderResponse.Success(request));
}
/// <summary>
/// Handles a request to cancel an order
/// </summary>
private OrderResponse HandleCancelOrderRequest(CancelOrderRequest request)
{
Order order;
OrderTicket ticket;
if (!_orders.TryGetValue(request.OrderId, out order) || !_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleCancelOrderRequest(): Unable to cancel order with ID " + request.OrderId + ".");
return(OrderResponse.UnableToFindOrder(request));
}
if (order.Status.IsClosed())
{
return(OrderResponse.InvalidStatus(request, order));
}
ticket.SetOrder(order);
bool orderCanceled;
try
{
orderCanceled = _brokerage.CancelOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderCanceled = false;
}
if (!orderCanceled)
{
// we failed to cancel the order for some reason
order.Status = OrderStatus.Invalid;
}
else
{
// we succeeded to cancel the order
order.Status = OrderStatus.Canceled;
}
if (request.Tag != null)
{
// update the tag, useful for 'why' we canceled the order
order.Tag = request.Tag;
}
return(OrderResponse.Success(request));
}
/// <summary>
/// Update an order yet to be filled such as stop or limit orders.
/// </summary>
/// <param name="request">Request detailing how the order should be updated</param>
/// <remarks>Does not apply if the order is already fully filled</remarks>
public OrderTicket UpdateOrder(UpdateOrderRequest request)
{
OrderTicket ticket;
if (!_orderTickets.TryGetValue(request.OrderId, out ticket))
{
return(OrderTicket.InvalidUpdateOrderId(_algorithm.Transactions, request));
}
ticket.AddUpdateRequest(request);
try
{
//Update the order from the behaviour
var order = GetOrderByIdInternal(request.OrderId);
if (order == null)
{
// can't update an order that doesn't exist!
request.SetResponse(OrderResponse.UnableToFindOrder(request));
}
else if (order.Status.IsClosed())
{
// can't update a completed order
request.SetResponse(OrderResponse.InvalidStatus(request, order));
}
else if (request.Quantity.HasValue && request.Quantity.Value == 0)
{
request.SetResponse(OrderResponse.ZeroQuantity(request));
}
else if (_algorithm.IsWarmingUp)
{
request.SetResponse(OrderResponse.WarmingUp(request));
}
else
{
request.SetResponse(OrderResponse.Success(request), OrderRequestStatus.Processing);
_orderRequestQueue.Add(request);
}
}
catch (Exception err)
{
Log.Error(err);
request.SetResponse(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, err.Message));
}
return(ticket);
}
/// <summary>
/// Handles a request to update order properties
/// </summary>
private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
{
Order order;
OrderTicket ticket;
if (!_orders.TryGetValue(request.OrderId, out order) || !_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleUpdateOrderRequest(): Unable to update order with ID " + request.OrderId);
return(OrderResponse.UnableToFindOrder(request));
}
if (!CanUpdateOrder(order))
{
return(OrderResponse.InvalidStatus(request, order));
}
// modify the values of the order object
order.ApplyUpdateOrderRequest(request);
ticket.SetOrder(order);
bool orderUpdated;
try
{
orderUpdated = _brokerage.UpdateOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderUpdated = false;
}
if (!orderUpdated)
{
// we failed to update the order for some reason
order.Status = OrderStatus.Invalid;
return(OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToUpdateOrder, "Brokerage failed to update order with id " + request.OrderId));
}
return(OrderResponse.Success(request));
}
/// <summary>
/// Remove this order from outstanding queue: user is requesting a cancel.
/// </summary>
/// <param name="request">Request containing the specific order id to remove</param>
public OrderTicket CancelOrder(CancelOrderRequest request)
{
OrderTicket ticket;
if (!_orderTickets.TryGetValue(request.OrderId, out ticket))
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Unable to locate ticket for order.");
return(OrderTicket.InvalidCancelOrderId(_algorithm.Transactions, request));
}
ticket.SetCancelRequest(request);
try
{
//Error check
var order = GetOrderById(request.OrderId);
if (order == null)
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Cannot find this id.");
request.SetResponse(OrderResponse.UnableToFindOrder(request));
}
else if (order.Status.IsClosed())
{
Log.Error("BrokerageTransactionHandler.CancelOrder(): Order already filled");
request.SetResponse(OrderResponse.InvalidStatus(request, order));
}
else
{
// send the request to be processed
request.SetResponse(OrderResponse.Success(request), OrderRequestStatus.Processing);
_orderRequestQueue.Enqueue(request);
}
}
catch (Exception err)
{
Log.Error("TransactionManager.RemoveOrder(): " + err.Message);
request.SetResponse(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, err.Message));
}
return(ticket);
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Most order methods use security objects; so this isn't really used.
// todo: Left here for now but should review
Security security;
if (!Securities.TryGetValue(request.Symbol, out security))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.ToString() + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == QuantConnect.Symbol.Empty || Math.Abs(request.Quantity) < security.SymbolProperties.LotSize)
{
return(OrderResponse.ZeroQuantity(request));
}
if (!security.IsTradable)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.NonTradableSecurity, "The security with symbol '" + request.Symbol.ToString() + "' is marked as non-tradable."));
}
var price = security.Price;
//Check the exchange is open before sending a market on close orders
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
//Check the exchange is open before sending a exercise orders
if (request.OrderType == OrderType.OptionExercise && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.ToString() + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
// check quote currency existence/conversion rate on all orders
Cash quoteCash;
var quoteCurrency = security.QuoteCurrency.Symbol;
if (!Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.QuoteCurrencyRequired, request.Symbol.Value + ": requires " + quoteCurrency + " in the cashbook to trade."));
}
if (security.QuoteCurrency.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ConversionRateZero, request.Symbol.Value + ": requires " + quoteCurrency + " to have a non-zero conversion rate. This can be caused by lack of data."));
}
// need to also check base currency existence/conversion rate on forex orders
if (security.Type == SecurityType.Forex)
{
Cash baseCash;
var baseCurrency = ((Forex)security).BaseCurrencySymbol;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
if (baseCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.OptionExercise)
{
if (security.Type != SecurityType.Option)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.NonExercisableSecurity, "The security with symbol '" + request.Symbol.ToString() + "' is not exercisable."));
}
if (security.Holdings.IsShort)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.UnsupportedRequestType, "The security with symbol '" + request.Symbol.ToString() + "' has a short option position. Only long option positions are exercisable."));
}
if (request.Quantity > security.Holdings.Quantity)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.UnsupportedRequestType, "Cannot exercise more contracts of '" + request.Symbol.ToString() + "' than is currently available in the portfolio. "));
}
if (request.Quantity <= 0.0m)
{
OrderResponse.ZeroQuantity(request);
}
}
if (request.OrderType == OrderType.MarketOnClose)
{
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = nextMarketClose.AddMinutes(-15.50);
if (!security.Exchange.ExchangeOpen || Time > latestSubmissionTime)
{
// tell the user we require a 16 minute buffer, on minute data in live a user will receive the 3:44->3:45 bar at 3:45,
// this is already too late to submit one of these orders, so make the user do it at the 3:43->3:44 bar so it's submitted
// to the brokerage before 3:45.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 16 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return(OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists"));
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return(OrderResponse.UnableToFindOrder(request));
}
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
// check to see if we have enough money to place the order
bool sufficientCapitalForOrder;
try
{
sufficientCapitalForOrder = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder"));
}
if (!sufficientCapitalForOrder)
{
order.Status = OrderStatus.Invalid;
var security = _algorithm.Securities[order.Symbol];
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id, order.GetValue(security).SmartRounding()));
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Insufficient buying power to complete order"));
return(response);
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.LiveMode && !_algorithm.BrokerageModel.CanSubmitOrder(_algorithm.Securities[order.Symbol], order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return(response);
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return(response);
}
order.Status = OrderStatus.Submitted;
return(OrderResponse.Success(request));
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == Symbol.Empty)
{
return(OrderResponse.ZeroQuantity(request));
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.SID + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
//Allow market orders, they'll just execute when the exchange reopens
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.SID + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
if (security.Type == SecurityType.Forex)
{
// for forex pairs we need to verify that the conversions to USD have values as well
string baseCurrency, quoteCurrency;
Forex.DecomposeCurrencyPair(security.Symbol.Value, out baseCurrency, out quoteCurrency);
// verify they're in the portfolio
Cash baseCash, quoteCash;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash) || !Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
// verify we have conversion rates for each leg of the pair back into the account currency
if (baseCash.ConversionRate == 0m || quoteCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
_quit = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.MarketOnClose)
{
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = (Time.Date + security.Exchange.MarketClose).AddMinutes(-10.75);
if (Time > latestSubmissionTime)
{
// tell the user we require an 11 minute buffer, on minute data in live a user will receive the 3:49->3:50 bar at 3:50,
// this is already too late to submit one of these orders, so make the user do it at the 3:48->3:49 bar so it's submitted
// to the brokerage before 3:50.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 11 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
// rounds off the order towards 0 to the nearest multiple of lot size
order.Quantity = RoundOffOrder(order, security);
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return(OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists"));
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return(OrderResponse.UnableToFindOrder(request));
}
// rounds the order prices
RoundOrderPrices(order, security);
// save current security time and prices
order.OrderSubmissionData = new OrderSubmissionData(security.GetLastData());
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
if (order.Quantity == 0)
{
order.Status = OrderStatus.Invalid;
var response = OrderResponse.ZeroQuantity(request);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Unable to add order for zero quantity"));
return(response);
}
// check to see if we have enough money to place the order
HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
try
{
hasSufficientBuyingPowerResult = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(_algorithm.Portfolio, security, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder"));
}
if (!hasSufficientBuyingPowerResult.IsSufficient)
{
order.Status = OrderStatus.Invalid;
var errorMessage = $"Order Error: id: {order.Id}, Insufficient buying power to complete order (Value:{order.GetValue(security).SmartRounding()}), Reason: {hasSufficientBuyingPowerResult.Reason}";
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, errorMessage));
return(response);
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.BrokerageModel.CanSubmitOrder(security, order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return(response);
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return(response);
}
return(OrderResponse.Success(request));
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == QuantConnect.Symbol.Empty)
{
return(OrderResponse.ZeroQuantity(request));
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.ToString() + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.ToString() + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
// check quote currency existence/conversion rate on all orders
Cash quoteCash;
var quoteCurrency = security.QuoteCurrency.Symbol;
if (!Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.QuoteCurrencyRequired, request.Symbol.Value + ": requires " + quoteCurrency + " in the cashbook to trade."));
}
if (security.QuoteCurrency.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ConversionRateZero, request.Symbol.Value + ": requires " + quoteCurrency + " to have a non-zero conversion rate. This can be caused by lack of data."));
}
// need to also check base currency existence/conversion rate on forex orders
if (security.Type == SecurityType.Forex)
{
Cash baseCash;
var baseCurrency = ((Forex)security).BaseCurrencySymbol;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
if (baseCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.MarketOnClose)
{
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = nextMarketClose.AddMinutes(-10.75);
if (!security.Exchange.ExchangeOpen || Time > latestSubmissionTime)
{
// tell the user we require an 11 minute buffer, on minute data in live a user will receive the 3:49->3:50 bar at 3:50,
// this is already too late to submit one of these orders, so make the user do it at the 3:48->3:49 bar so it's submitted
// to the brokerage before 3:50.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 11 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
