/// <summary>
/// Converts the specified Oanda order into a qc order.
/// The 'task' will have a value if we needed to issue a rest call for the stop price, otherwise it will be null
/// </summary>
protected Order ConvertOrder(DataType.Order order)
{
Order qcOrder;
switch (order.type)
{
case "limit":
qcOrder = new LimitOrder();
if (order.side == "buy")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "stop":
qcOrder = new StopLimitOrder();
if (order.side == "buy")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "marketIfTouched":
//when market reaches the price sell at market.
qcOrder = new StopMarketOrder {
Price = Convert.ToDecimal(order.price), StopPrice = Convert.ToDecimal(order.price)
};
break;
case "market":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + order.type + " is not supported.");
}
qcOrder.Symbol = order.instrument;
qcOrder.Quantity = ConvertQuantity(order);
qcOrder.SecurityType = InstrumentSecurityTypeMap[order.instrument];
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(order.id);
qcOrder.Id = order.id;
qcOrder.Duration = OrderDuration.Custom;
qcOrder.DurationValue = XmlConvert.ToDateTime(order.expiry, XmlDateTimeSerializationMode.Utc);
qcOrder.Time = XmlConvert.ToDateTime(order.time, XmlDateTimeSerializationMode.Utc);
return(qcOrder);
}
/// <summary>
/// Converts the Oanda order quantity into a qc quantity
/// </summary>
/// <remarks>
/// Oanda quantities are always positive and use the direction to denote +/-, where as qc
/// order quantities determine the direction
/// </remarks>
private int ConvertQuantity(DataType.Order order)
{
switch (order.side)
{
case "buy":
return(order.units);
case "sell":
return(-order.units);
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// Converts the specified Oanda order into a qc order.
/// The 'task' will have a value if we needed to issue a rest call for the stop price, otherwise it will be null
/// </summary>
private Order ConvertOrder(DataType.Order order)
{
Order qcOrder;
switch (order.type)
{
case "limit":
qcOrder = new LimitOrder();
if (order.side == "buy")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "stop":
qcOrder = new StopLimitOrder();
if (order.side == "buy")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "marketIfTouched":
//when market reaches the price sell at market.
qcOrder = new StopMarketOrder {
Price = Convert.ToDecimal(order.price), StopPrice = Convert.ToDecimal(order.price)
};
break;
case "market":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + order.type + " is not supported.");
}
var securityType = _symbolMapper.GetBrokerageSecurityType(order.instrument);
qcOrder.Symbol = _symbolMapper.GetLeanSymbol(order.instrument, securityType, Market.Oanda);
qcOrder.Quantity = ConvertQuantity(order);
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(order.id.ToString());
var orderByBrokerageId = _orderProvider.GetOrderByBrokerageId(order.id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
qcOrder.Duration = OrderDuration.Custom;
qcOrder.DurationValue = XmlConvert.ToDateTime(order.expiry, XmlDateTimeSerializationMode.Utc);
qcOrder.Time = XmlConvert.ToDateTime(order.time, XmlDateTimeSerializationMode.Utc);
return(qcOrder);
}
