private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderProvider, SecurityProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
//gdax does not have a user data stream. Instead, we need to symbol subscribe and monitor for our orders.
if (brokerage.Name == "GDAX")
{
((QuantConnect.Brokerages.GDAX.GDAXBrokerage)brokerage).Subscribe(new[] { Symbol });
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderProvider.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
// these securities don't need to be real, just used for the ISecurityProvider impl, required
// by brokerages to track holdings
SecurityProvider[accountHolding.Symbol] = CreateSecurity(accountHolding.Symbol);
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol.ToString());
Security security;
if (_securityProvider.TryGetValue(args.Symbol, out security))
{
var holding = _securityProvider[args.Symbol].Holdings;
holding.SetHoldings(args.FillPrice, holding.Quantity + args.FillQuantity);
}
else
{
_securityProvider[args.Symbol] = CreateSecurity(args.Symbol);
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
Log.Trace("--HOLDINGS: " + _securityProvider[args.Symbol]);
// update order mapping
var order = _orderProvider.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}
private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderProvider, SecurityProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderProvider.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
// these securities don't need to be real, just used for the ISecurityProvider impl, required
// by brokerages to track holdings
SecurityProvider[accountHolding.Symbol] = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), accountHolding.Symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, false));
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol.ToString());
Security security;
if (_securityProvider.TryGetValue(args.Symbol, out security))
{
var holding = _securityProvider[args.Symbol].Holdings;
holding.SetHoldings(args.FillPrice, holding.Quantity + args.FillQuantity);
}
else
{
var accountHoldings = brokerage.GetAccountHoldings().ToDictionary(x => x.Symbol);
if (accountHoldings.ContainsKey(args.Symbol))
{
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
else
{
_securityProvider[args.Symbol] = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), args.Symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, false));
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
}
Log.Trace("--HOLDINGS: " + _securityProvider[args.Symbol]);
// update order mapping
var order = _orderProvider.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}