public void OrderCancellationTransitionsThroughCancelPendingStatus()
{
// Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates a limit order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Limit, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny <int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Submit and process a limit order
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
// Cancel the order
var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, "");
transactionHandler.Process(cancelRequest);
Assert.IsTrue(cancelRequest.Response.IsProcessed);
Assert.IsTrue(cancelRequest.Response.IsSuccess);
Assert.IsTrue(cancelRequest.Status == OrderRequestStatus.Processing);
Assert.IsTrue(orderTicket.Status == OrderStatus.CancelPending);
Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1);
transactionHandler.HandleOrderRequest(cancelRequest);
Assert.IsTrue(cancelRequest.Response.IsProcessed);
Assert.IsTrue(cancelRequest.Response.IsSuccess);
Assert.IsTrue(cancelRequest.Status == OrderRequestStatus.Processed);
Assert.IsTrue(orderTicket.Status == OrderStatus.Canceled);
Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0);
// Check CancelPending was sent
Assert.AreEqual(_algorithm.OrderEvents.Count, 3);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Submitted), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.CancelPending), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Canceled), 1);
}
public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithIntermediateUpdate()
{
// Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
var broker = new TestBroker(_algorithm, false);
transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler());
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny <int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted);
var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, "");
Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0);
transactionHandler.Process(cancelRequest);
Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1);
Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processing);
Assert.IsTrue(cancelRequest.Response.IsSuccess);
Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending);
broker.Scan();
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
transactionHandler.HandleOrderRequest(cancelRequest);
Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0);
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error);
Assert.IsTrue(cancelRequest.Response.IsProcessed);
Assert.IsTrue(cancelRequest.Response.IsError);
Assert.AreEqual(cancelRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidOrderStatus);
Assert.AreEqual(_algorithm.OrderEvents.Count, 3);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.CancelPending), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Submitted), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Filled), 1);
}