public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash("USD", 1000, 1);
var symbolProperties = SymbolProperties.GetDefault("USD");
var security = new Forex(symbol, exchangeHours, quoteCash, symbolProperties);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
}
public static Order Create(string property,OrderDirection direction)
{
Order order = new Order();
order.Property = property;
order.Direction = direction;
return order;
}
/// <summary>
/// Sets the default order.
/// </summary>
/// <param name="options">The options.</param>
/// <param name="column">The column.</param>
/// <param name="direction">The direction.</param>
public static void SetDefaultOrder(this DataOptions options, string column, OrderDirection direction = OrderDirection.Asc)
{
if (!options.Order.By.Any())
{
options.Order.Add(column, direction);
}
}
/// <summary>
/// 0/cancelOrder.php
/// </summary>
public List<Order> cancelOrder(string oid, OrderDirection type)
{
try
{
string url = (this.baseURL) + "0/cancelOrder.php";
string postData;
int t = 0;
switch (type)
{
case OrderDirection.bid:
t = 2;
break;
case OrderDirection.ask:
t = 1;
break;
}
postData = "oid=" + oid + "&type=" + t;
string responseStr = DoAuthenticatedAPIPost(url, apiKey, apiSecret, postData);
var resp = JSON.Instance.ToObject<OrderResponseWithBalance>(responseStr);
return resp.orders;
}
catch (Exception ex)
{
return null;
}
}
public SearchOrder(PropertyType propertyToOrder, OrderDirection direction)
{
if (propertyToOrder == null)
throw new ArgumentNullException("propertyToOrder");
_propertyToOrder = new PropertyLiteral(propertyToOrder);
_direction = direction;
}
/// <summary>
/// Sets the columns ordering.
/// </summary>
/// <param name="orderNumber">The column's position on the ordering (multi-column ordering).</param>
/// <param name="orderDirection">The column's sort direction.</param>
/// <exception cref="System.ArgumentException">Thrown if the provided orderDirection is not valid.</exception>
public void SetColumnOrdering(int orderNumber, string orderDirection)
{
this.OrderNumber = orderNumber;
if (orderDirection.ToLower().Equals("asc")) this.SortDirection = Column.OrderDirection.Ascendant;
else if (orderDirection.ToLower().Equals("desc")) this.SortDirection = Column.OrderDirection.Descendant;
else throw new ArgumentException("The provided ordering direction was not valid. Valid values must be 'asc' or 'desc' only.");
}
public void AddColumn(string columnName, OrderDirection direction)
{
string temp = columnName + " " + direction.ToString().ToLower();
if (!this.Columns.Contains(temp))
{
this.Columns.Add(temp);
}
}
public RestAPIResponse Log(string id = null, int? page = null, int? perPage = null, OrderDirection? orderDirection = null)
{
//Contract.Requires<ArgumentException>((id != null) ? id.Trim().Length > 0 : true);
//Contract.Requires<ArgumentException>((id != null) ? Constants.SUBSCRIPTION_ID_FORMAT.IsMatch(id) : true, Messages.INVALID_SUBSCRIPTION_ID);
//Contract.Requires<ArgumentException>((page.HasValue) ? page.Value > 0 : true);
//Contract.Requires<ArgumentException>((perPage.HasValue) ? perPage.Value > 0 : true);
return _client.GetRequest().Request("push/log", new { id = id, page = page, perPage = perPage, order_dir = orderDirection });
}
/// <summary>
/// Order Constructor.
/// </summary>
/// <param name="id">Id of the parent order</param>
/// <param name="symbol">Asset Symbol</param>
/// <param name="status">Status of the order</param>
/// <param name="direction">The direction of the order this event belongs to</param>
/// <param name="fillPrice">Fill price information if applicable.</param>
/// <param name="fillQuantity">Fill quantity</param>
/// <param name="message">Message from the exchange</param>
public OrderEvent(int id, string symbol, OrderStatus status, OrderDirection direction, decimal fillPrice, int fillQuantity, string message = "")
{
OrderId = id;
Status = status;
FillPrice = fillPrice;
Message = message;
FillQuantity = fillQuantity;
Symbol = symbol;
Direction = direction;
}
public Order(string orderColumn, OrderDirection direction = OrderDirection.Ascend)
{
if (string.IsNullOrEmpty(orderColumn))
{
throw new ArgumentNullException(MsgResource.ColumnNameRequired);
}
this.OrderColumn = orderColumn;
this.OrderDirection = direction;
this.OrderString = orderColumn + " " + GetDirectionString(direction);
}
private static string GetDirectionString(OrderDirection direction)
{
switch (direction)
{
case OrderDirection.Ascend:
return "ASC";
case OrderDirection.Descend:
return "DESC";
default:
return "ASC";
}
}
public RestAPIResponse Get(string id = null, string hash = null, string historicsId = null, int? page = null, int? perPage = null, OrderBy? orderBy = null, OrderDirection? orderDirection = null, bool? includeFinished = null)
{
//Contract.Requires<ArgumentException>((id != null) ? id.Trim().Length > 0 : true);
//Contract.Requires<ArgumentException>((id != null) ? Constants.SUBSCRIPTION_ID_FORMAT.IsMatch(id) : true, Messages.INVALID_SUBSCRIPTION_ID);
//Contract.Requires<ArgumentException>((hash != null) ? hash.Trim().Length > 0 : true);
//Contract.Requires<ArgumentException>((hash != null) ? Constants.STREAM_HASH_FORMAT.IsMatch(hash) : true, Messages.INVALID_STREAM_HASH);
//Contract.Requires<ArgumentException>((historicsId != null) ? historicsId.Trim().Length > 0 : true);
//Contract.Requires<ArgumentException>((historicsId != null) ? Constants.HISTORICS_ID_FORMAT.IsMatch(historicsId) : true, Messages.INVALID_HISTORICS_ID);
//Contract.Requires<ArgumentException>((page.HasValue) ? page.Value > 0 : true);
//Contract.Requires<ArgumentException>((perPage.HasValue) ? perPage.Value > 0 : true);
return _client.GetRequest().Request("push/get", new { id = id, hash = hash, historics_id = historicsId, page = page, per_page = perPage, order_by = orderBy, order_dir = orderDirection, include_finished = includeFinished });
}
public PagingAndSortingInfo(
int page = 1,
int pageSize = 10,
string orderByField = "",
OrderDirection orderDirection = OrderDirection.Ascending)
{
Condition.Requires(page).IsGreaterOrEqual(1);
Condition.Requires(pageSize).IsGreaterOrEqual(1); ;
this.Page = page;
this.PageSize = pageSize;
this.OrderByField = orderByField;
this.OrderDirection = orderDirection;
}
public void Apply_DadoFiltroComOrderSorts_DeveRetornar(Restful.Query.Filter.Filters.Ordering.OrderByDirection sorts, OrderByDirection expected)
{
_filterStub
.Setup(p => p.OrderBy)
.Returns(new Restful.Query.Filter.Filters.Ordering.OrderBy(new List<Restful.Query.Filter.Filters.Ordering.Field>
{
new Restful.Query.Filter.Filters.Ordering.Field("", sorts)
}));
var orderDirection = new OrderDirection();
var actual = orderDirection.Apply(_filterStub.Object);
actual.Should().Be(expected);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderItem" /> class.
/// </summary>
/// <param name="field">The field.</param>
/// <param name="direction">The order direction.</param>
public OrderItem(string field, OrderDirection direction = OrderDirection.Asc)
{
Direction = direction;
Field = field;
}
/// <summary>
/// Default constructor.
/// </summary>
public Order()
{
ordDir = OrderDirection.None;
ordType = OrderType.None;
ordCond = OrderCondition.None;
ordStatus = OrderStatus.None;
ordSender = OrderSender.None;
ordOrigin = OrderOrigin.None;
ordNote = "Not Defined";
}
public new decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
{
return(base.GetMarginRemaining(portfolio, security, direction));
}
/// <summary>
/// Calculates the size of an entry order.
/// </summary>
private double AnalyseEntrySize(OrderDirection ordDir, ref PosDirection newPosDir)
{
double size = 0;
PosDirection posDir = Data.PositionDirection;
// Orders modification on a fly
// Checks whether we are on the market
if (posDir == PosDirection.Long || posDir == PosDirection.Short)
{
// We are on the market
if (ordDir == OrderDirection.Buy && posDir == PosDirection.Long ||
ordDir == OrderDirection.Sell && posDir == PosDirection.Short)
{
// In case of a Same Dir Signal
switch (Data.Strategy.SameSignalAction)
{
case SameDirSignalAction.Add:
if (Data.PositionLots + TradingSize(Data.Strategy.AddingLots) <
_maximumLots + Data.InstrProperties.LotStep/2)
{
// Adding
size = TradingSize(Data.Strategy.AddingLots);
newPosDir = posDir;
}
else
{
// Cancel the Adding
size = 0;
newPosDir = posDir;
}
break;
case SameDirSignalAction.Winner:
if (Data.PositionProfit > Epsilon &&
Data.PositionLots + TradingSize(Data.Strategy.AddingLots) <
_maximumLots + Data.InstrProperties.LotStep/2)
{
// Adding
size = TradingSize(Data.Strategy.AddingLots);
newPosDir = posDir;
}
else
{
// Cancel the Adding
size = 0;
newPosDir = posDir;
}
break;
case SameDirSignalAction.Nothing:
size = 0;
newPosDir = posDir;
break;
}
}
else if (ordDir == OrderDirection.Buy && posDir == PosDirection.Short ||
ordDir == OrderDirection.Sell && posDir == PosDirection.Long)
{
// In case of an Opposite Dir Signal
switch (Data.Strategy.OppSignalAction)
{
case OppositeDirSignalAction.Reduce:
if (Data.PositionLots > TradingSize(Data.Strategy.ReducingLots))
{
// Reducing
size = TradingSize(Data.Strategy.ReducingLots);
newPosDir = posDir;
}
else
{
// Closing
size = Data.PositionLots;
newPosDir = PosDirection.Closed;
}
break;
case OppositeDirSignalAction.Close:
size = Data.PositionLots;
newPosDir = PosDirection.Closed;
break;
case OppositeDirSignalAction.Reverse:
size = Data.PositionLots + TradingSize(Data.Strategy.EntryLots);
newPosDir = posDir == PosDirection.Long ? PosDirection.Short : PosDirection.Long;
break;
case OppositeDirSignalAction.Nothing:
size = 0;
newPosDir = posDir;
break;
}
}
}
else
{
// We are square on the market
size = TradingSize(Data.Strategy.EntryLots);
if (Data.Strategy.UseMartingale && Data.ConsecutiveLosses > 0)
{
size = size * Math.Pow(Data.Strategy.MartingaleMultiplier, Data.ConsecutiveLosses);
size = NormalizeEntrySize(size);
}
size = Math.Min(size, _maximumLots);
newPosDir = ordDir == OrderDirection.Buy ? PosDirection.Long : PosDirection.Short;
}
return size;
}
public DataTable QueryPageTable(string sqlstr, int pageNo, int pageSize, out int count, string @orderby,
OrderDirection direction, string @select, params KeyValuePair <string, object>[] parameters)
{
throw new NotImplementedException();
}
public virtual SqlQuery GetSelectFirst(Expression <Func <TEntity, bool> > predicate,
List <Expression <Func <TEntity, object> > > selectColumns, Expression <Func <TEntity, object> > orderColumn = null, OrderDirection direction = OrderDirection.Asc, params Expression <Func <TEntity, object> >[] includes)
{
return(GetSelect(predicate, true, selectColumns, orderColumn, direction, includes));
}
public DataTable QueryPageTableOffset(string sqlstr, int offset, int pageNo, int pageSize, string @orderby,
OrderDirection direction = OrderDirection.DESC, string @select = "*", object parameters = null)
{
throw new NotImplementedException();
}
public Task <BuyResult> BuyAsync(ActivePair pair, int size, OrderDirection direction,
DateTimeOffset expiration)
{
return(WsClient?.BuyAsync(pair, size, direction, expiration));
}
public static IDocumentQuery <T> OrderByMultipleItemsWithCommonOrder <T>(this IDocumentQuery <T> query, OrderDirection orderDirection, params string[] propertySelectors)
{
if (propertySelectors == null || !propertySelectors.Any())
{
return(query);
}
if (propertySelectors.Any(p => string.IsNullOrWhiteSpace(p)))
{
throw new ArgumentException("One or more property selectors is(are) invalid", nameof(propertySelectors));
}
query = orderDirection == OrderDirection.Asc
? query.OrderBy(propertySelectors)
: query.OrderByDescending(propertySelectors);
return(query);
}
/// <summary>
/// Gets the margin cash available for a trade
/// </summary>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="direction">The direction of the trade</param>
/// <returns>The margin available for the trade</returns>
protected override decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
{
var holdings = security.Holdings;
if (direction == OrderDirection.Hold)
{
return(portfolio.MarginRemaining);
}
//If the order is in the same direction as holdings, our remaining cash is our cash
//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
if (holdings.IsLong)
{
switch (direction)
{
case OrderDirection.Buy:
return(portfolio.MarginRemaining);
case OrderDirection.Sell:
return
// portion of margin to close the existing position
(GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security, security.Holdings.HoldingsValue) +
portfolio.MarginRemaining);
}
}
else if (holdings.IsShort)
{
switch (direction)
{
case OrderDirection.Buy:
return
// portion of margin to close the existing position
(GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security, security.Holdings.HoldingsValue) +
portfolio.MarginRemaining);
case OrderDirection.Sell:
return(portfolio.MarginRemaining);
}
}
//No holdings, return cash
return(portfolio.MarginRemaining);
}
/// <summary>
/// Gets the margin available for trading a specific symbol in a specific direction.
/// </summary>
/// <param name="symbol">The symbol to compute margin remaining for</param>
/// <param name="direction">The order/trading direction</param>
/// <returns>The maximum order size that is currently executable in the specified direction</returns>
public decimal GetMarginRemaining(Symbol symbol, OrderDirection direction = OrderDirection.Buy)
{
var security = Securities[symbol];
return(security.MarginModel.GetMarginRemaining(this, security, direction));
}
/// <summary>
/// Get the minimum and maximum price for this security in the last bar
/// Ignore the Trade/Quote distinction - fill with the latest pricing information
/// </summary>
/// <param name="asset">Security asset we're checking</param>
/// <param name="direction">The order direction, decides whether to pick bid or ask</param>
protected override Prices GetPrices(Security asset, OrderDirection direction)
{
var low = asset.Low;
var high = asset.High;
var open = asset.Open;
var close = asset.Close;
var current = asset.Price;
var endTime = asset.Cache.GetData()?.EndTime ?? DateTime.MinValue;
if (direction == OrderDirection.Hold)
{
return(new Prices(endTime, current, open, high, low, close));
}
// Only fill with data types we are subscribed to
var subscriptionTypes = asset.Subscriptions.Select(x => x.Type).ToList();
// Tick
var tick = asset.Cache.GetData <Tick>();
if (subscriptionTypes.Contains(typeof(Tick)) && tick != null)
{
var price = direction == OrderDirection.Sell ? tick.BidPrice : tick.AskPrice;
if (price != 0m)
{
return(new Prices(endTime, price, 0, 0, 0, 0));
}
// If the ask/bid spreads are not available for ticks, try the price
price = tick.Price;
if (price != 0m)
{
return(new Prices(endTime, price, 0, 0, 0, 0));
}
}
// Get both the last trade and last quote
// Assume that the security has both a trade and quote subscription
// This should be true for crypto securities
var quoteBar = asset.Cache.GetData <QuoteBar>();
if (quoteBar != null)
{
var tradeBar = asset.Cache.GetData <TradeBar>();
if (tradeBar != null && tradeBar.EndTime > quoteBar.EndTime)
{
// The latest pricing data came from a trade
return(new Prices(tradeBar));
}
else
{
// The latest pricing data came from a quote
var bar = direction == OrderDirection.Sell ? quoteBar.Bid : quoteBar.Ask;
if (bar != null)
{
return(new Prices(quoteBar.EndTime, bar));
}
}
}
return(new Prices(endTime, current, open, high, low, close));
}
/// <summary>
/// Gets the margin cash available for a trade
/// </summary>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="direction">The direction of the trade</param>
/// <returns>The margin available for the trade</returns>
public virtual decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
{
var holdings = security.Holdings;
if (direction == OrderDirection.Hold)
{
return(portfolio.MarginRemaining);
}
//If the order is in the same direction as holdings, our remaining cash is our cash
//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
if (holdings.IsLong)
{
switch (direction)
{
case OrderDirection.Buy:
return(portfolio.MarginRemaining);
case OrderDirection.Sell:
return(security.MarginModel.GetMaintenanceMargin(security) * 2 + portfolio.MarginRemaining);
}
}
else if (holdings.IsShort)
{
switch (direction)
{
case OrderDirection.Buy:
return(security.MarginModel.GetMaintenanceMargin(security) * 2 + portfolio.MarginRemaining);
case OrderDirection.Sell:
return(portfolio.MarginRemaining);
}
}
//No holdings, return cash
return(portfolio.MarginRemaining);
}
public OrderField(string orderBy = "Id", OrderDirection orderDirection = Data.OrderDirection.Desc)
{
OrderBy = orderBy;
OrderDirection = orderDirection;
}
public Task <BinaryOptionsResult> BuyAsync(string requestId, ActivePair pair, decimal size, OrderDirection direction,
DateTimeOffset expiration)
{
return(WsClient?.BuyAsync(requestId, pair, size, direction, expiration));
}
/// <summary>
/// 初始化排序
/// </summary>
/// <param name="name">排序属性</param>
/// <param name="direction">排序方向</param>
public OrderByItem(string name, OrderDirection direction)
{
this.Name = name;
this.Direction = direction;
}
/// <summary>
/// Adds the order item to orderings list.
/// </summary>
/// <param name="field">The ordering field.</param>
/// <param name="direction">The order direction.</param>
public void Add(string field, OrderDirection direction = OrderDirection.Asc)
{
var filterItem = new OrderItem(field, direction);
By.Add(filterItem);
}
/// <summary>
/// Sets order parameter on request.
/// </summary>
/// <param name="direction"></param>
/// <returns></returns>
public virtual T Order(OrderDirection direction)
{
_uriBuilder.SetQueryParam("order", direction.ToString().ToLower());
return(this as T);
}
public IJobSearch Descending() {
_OrderDirection = OrderDirection.Descending;
return this;
}
public IMatchingEngineRoute FindRoute(string clientId, string tradingConditionId, string instrumentId, OrderDirection orderType)
{
var routes = _routesCacheService.GetRoutes();
var instrument = string.IsNullOrEmpty(instrumentId)
? null
: _assetPairsCache.GetAssetPairById(instrumentId);
var topRankRoutes = routes
.Where(r => EqualsOrAny(r.ClientId, clientId) &&
EqualsOrAny(r.TradingConditionId, tradingConditionId) &&
EqualsOrAny(r.Instrument, instrumentId) &&
(!r.Type.HasValue || IsAny(r.Instrument) || r.Type.Value == orderType) &&
IsAssetMatches(r.Asset, r.Type, instrument, orderType))
.GroupBy(r => r.Rank)
.OrderBy(gr => gr.Key)
.FirstOrDefault()?
.Select(gr => gr)
.ToArray();
if (topRankRoutes == null)
{
return(null);
}
if (topRankRoutes.Length == 1)
{
return(topRankRoutes[0]);
}
var mostSpecificRoutes = topRankRoutes
.GroupBy(GetSpecificationLevel)
.OrderByDescending(gr => gr.Key)
.First()
.Select(gr => gr)
.ToArray();
if (mostSpecificRoutes.Length == 1)
{
return(mostSpecificRoutes[0]);
}
var highestPriorityRoutes = mostSpecificRoutes
.GroupBy(GetSpecificationPriority)
.OrderByDescending(gr => gr.Key)
.First()
.Select(gr => gr)
.ToArray();
if (highestPriorityRoutes.Length >= 1 &&
highestPriorityRoutes.Select(r => r.MatchingEngineId).Distinct().Count() == 1)
{
return(highestPriorityRoutes[0]);
}
return(null);
}
/// <summary>
/// Validates limit/stopmarket order prices, pass security.Price for limit/stop if n/a
/// </summary>
private static bool IsValidOrderPrices(Security security, OrderType orderType, OrderDirection orderDirection, decimal stopPrice, decimal limitPrice, ref BrokerageMessageEvent message)
{
// validate order price
var invalidPrice = orderType == OrderType.Limit && orderDirection == OrderDirection.Buy && limitPrice > security.Price ||
orderType == OrderType.Limit && orderDirection == OrderDirection.Sell && limitPrice < security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Buy && stopPrice < security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Sell && stopPrice > security.Price;
if (invalidPrice)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
"Limit Buy orders and Stop Sell orders must be below market, Limit Sell orders and Stop Buy orders must be above market."
);
return false;
}
return true;
}
private static Func <IEnumerable <Thing>, IOrderedEnumerable <Thing> > OrderingFunc(Func <Thing, string> orderProperty, OrderDirection direction)
{
switch (direction)
{
case OrderDirection.Ascending:
return(ts => ts.OrderBy(orderProperty));
case OrderDirection.Descending:
return(ts => ts.OrderByDescending(orderProperty));
default:
throw new ArgumentOutOfRangeException(nameof(direction), direction, null);
}
}
/// <summary>
/// Helper Constructor using Order to Initialize.
/// </summary>
/// <param name="order">Order for this order status</param>
/// <param name="utcTime">Date/time of this event</param>
/// <param name="orderFee">The order fee</param>
/// <param name="message">Message from exchange or QC.</param>
public OrderEvent(Order order, DateTime utcTime, decimal orderFee, string message = "")
{
OrderId = order.Id;
Symbol = order.Symbol;
Status = order.Status;
Direction = order.Direction;
//Initialize to zero, manually set fill quantity
FillQuantity = 0;
FillPrice = 0;
FillPriceCurrency = order.PriceCurrency;
UtcTime = utcTime;
OrderFee = Math.Abs(orderFee);
Message = message;
}
public static OrderDirection GetOpositeDirection(this OrderDirection orderType)
{
return(orderType == OrderDirection.Buy ? OrderDirection.Sell : OrderDirection.Buy);
}
public static PositionDirection GetClosePositionDirection(this OrderDirection orderType)
{
return(orderType == OrderDirection.Buy ? PositionDirection.Short : PositionDirection.Long);
}
public static OrderDirection GetOrderDirectionToMatchInOrderBook(this OrderDirection orderType)
{
return(orderType.GetOpositeDirection());
}
public void GetOrderQueryString_ReturnsEmptyString_WhenInvalidField(PostFields postFields, OrderDirection orderDirection)
{
var input = new[]
{
Tuple.Create(postFields, orderDirection)
}.ToList();
var result = Ext.GetOrderQueryString(input);
Assert.AreEqual("", result);
}
/// <summary>
/// Gets the margin available for trading a specific symbol in a specific direction.
/// Alias for <see cref="GetMarginRemaining(Symbol, OrderDirection)"/>
/// </summary>
/// <param name="symbol">The symbol to compute margin remaining for</param>
/// <param name="direction">The order/trading direction</param>
/// <returns>The maximum order size that is currently executable in the specified direction</returns>
public decimal GetBuyingPower(Symbol symbol, OrderDirection direction = OrderDirection.Buy)
{
return(GetMarginRemaining(symbol, direction));
}
/// <summary>
/// Order Event Constructor.
/// </summary>
/// <param name="orderId">Id of the parent order</param>
/// <param name="symbol">Asset Symbol</param>
/// <param name="utcTime">Date/time of this event</param>
/// <param name="status">Status of the order</param>
/// <param name="direction">The direction of the order this event belongs to</param>
/// <param name="fillPrice">Fill price information if applicable.</param>
/// <param name="fillQuantity">Fill quantity</param>
/// <param name="orderFee">The order fee</param>
/// <param name="message">Message from the exchange</param>
public OrderEvent(int orderId, Symbol symbol, DateTime utcTime, OrderStatus status, OrderDirection direction, decimal fillPrice, int fillQuantity, decimal orderFee, string message = "")
{
OrderId = orderId;
Symbol = symbol;
UtcTime = utcTime;
Status = status;
Direction = direction;
FillPrice = fillPrice;
FillQuantity = fillQuantity;
OrderFee = orderFee;
Message = message;
}
/// <summary>
/// ITimePeriod 항목들의 Duration 속성 값을 기준으로 정렬을 수행합니다.
/// </summary>
/// <param name="sortDir"></param>
public virtual void SortByDuration(OrderDirection sortDir = OrderDirection.Asc) {
var isAsc = (sortDir == OrderDirection.Asc);
if(isAsc)
_periods.Sort((lhs, rhs) => rhs.Duration.CompareTo(lhs.Duration));
else
_periods.Sort((lhs, rhs) => lhs.Duration.CompareTo(rhs.Duration));
}
/// <inheritdoc/>
public Task <DigitalOptionsPlacedResult> PlaceDigitalOptions(string requestId, ActivePair pair, OrderDirection direction,
DigitalOptionsExpiryDuration duration, double amount)
=> WsClient?.PlaceDigitalOptions(requestId, pair, direction, duration, amount);
private SqlQuery GetSelect(Expression <Func <TEntity, bool> > predicate, bool firstOnly,
List <Expression <Func <TEntity, object> > > selectColumns, Expression <Func <TEntity, object> > orderColumn = null, OrderDirection direction = OrderDirection.Asc, params Expression <Func <TEntity, object> >[] includes)
{
var builder = InitBuilderSelect(firstOnly, selectColumns);
if (includes.Any())
{
var joinsBuilder = AppendJoinToSelect(builder, includes);
builder.Append(" FROM " + TableName);
if (SqlConnector == ESqlConnector.Mssql)
{
builder.Append(" (NOLOCK) ");
}
builder.Append(joinsBuilder);
}
else
{
builder.Append(" FROM " + TableName);
if (SqlConnector == ESqlConnector.Mssql)
{
builder.Append(" (NOLOCK) ");
}
}
IDictionary <string, object> expando = new ExpandoObject();
if (predicate != null)
{
// WHERE
var queryProperties = new List <QueryParameter>();
FillQueryProperties(ExpressionHelper.GetBinaryExpression(predicate.Body), ExpressionType.Default,
ref queryProperties);
builder.Append(" WHERE ");
for (var i = 0; i < queryProperties.Count; i++)
{
var item = queryProperties[i];
if (!string.IsNullOrEmpty(item.LinkingOperator) && i > 0)
{
builder.Append(string.Format("{0} {1}.{2} {3} {4} ", item.LinkingOperator, TableName,
item.PropertyName, item.QueryOperator, GetPropertyValue(item)));
}
else
{
builder.Append(string.Format("{0}.{1} {2} {3} ", TableName, item.PropertyName,
item.QueryOperator, GetPropertyValue(item)));
}
expando[item.PropertyName] = item.PropertyValue;
}
}
if (orderColumn != null)
{
var orderProperties = GetPropertyInfos <TEntity>(orderColumn);
if (orderProperties == null || !orderProperties.Any())
{
throw new Exception("获取排序字段失败");
}
var orderProperty = orderProperties.First();
var orderColumnAttribute = orderProperty.GetCustomAttribute <ColumnAttribute>();
var orderColumnName = orderColumnAttribute == null ? orderProperty.Name: orderColumnAttribute.Name;
builder.AppendFormat(" ORDER BY {0} {1}", orderColumnName, direction == OrderDirection.Asc ? "ASC" : "DESC");
}
if (firstOnly &&
(SqlConnector == ESqlConnector.MySql ||
SqlConnector == ESqlConnector.PostgreSql))
{
builder.Append("LIMIT 1");
}
return(new SqlQuery(builder.ToString().TrimEnd(), expando));
}
/// <summary>
/// ITimePeriod 항목들의 End 속성 값을 기준으로 정렬을 수행합니다.
/// </summary>
/// <param name="sortDir"></param>
public virtual void SortByEnd(OrderDirection sortDir = OrderDirection.Asc) {
var isAsc = sortDir == OrderDirection.Asc;
if(isAsc)
_periods.Sort((lhs, rhs) => rhs.End.CompareTo(lhs.End));
else
_periods.Sort((lhs, rhs) => lhs.End.CompareTo(rhs.End));
}
public DataTable QueryPageTable(string sqlstr, int pageNo, int pageSize, out int count, string @orderby,
OrderDirection direction, string @select, object parameters = null)
{
throw new NotImplementedException();
}
/// <summary>
/// 0/getOrders.php
/// </summary>
public List<Order> getOrders(OrderDirection type, OrderStatus status, int oid = 0)
{
try
{
string url = (this.baseURL) + "0/getOrders.php";
string postData = "";
postData = "oid=" + oid;
switch (type)
{
case OrderDirection.bid:
postData += "&type=1";
break;
case OrderDirection.ask:
postData += "&type=2";
break;
}
switch (status)
{
case OrderStatus.Active:
postData += "&status=1";
break;
case OrderStatus.NotSufficientFunds:
postData += "&status=2";
break;
}
string responseStr = DoAuthenticatedAPIPost(url, apiKey, apiSecret, postData);
/*
{ "usds":"0",
* "btcs":"0",
* "new_usds":{
* "value":"0.00000",
* "value_int":"0",
* "display":"$0.00000",
* "display_short":"$0.00",
* "currency":"USD"},
* "new_btcs":{
* "value":"0.00000000",
* "value_int":"0",
* "display":"0.00000000\u00a0BTC",
* "display_short":"0.00\u00a0BTC",
* "currency":"BTC"},
* "orders":[{"oid":"07dfa77e-eedb-4d68-bc77-55280a909cda","currency":"USD","item":"BTC","type":2,"amount":"1.00000000","amount_int":"100000000","price":"6.19990","price_int":"619990","status":0,"real_status":"invalid","dark":0,"date":1325782840,"priority":"1325782840517162"},{"oid":"205fc95a-89f0-4ebb-becf-43032deca20d","currency":"USD","item":"BTC","type":2,"amount":"1.00000000","amount_int":"100000000","price":"5.53808","price_int":"553808","status":0,"real_status":"invalid","dark":0,"date":1325712373,"priority":"1325712373261098"},{"oid":"429d5929-dba1-4f95-af68-dd3b131e5956","currency":"USD","item":"BTC","type":2,"amount":"2.00000000","amount_int":"200000000","price":"6.70970","price_int":"670970","status":0,"real_status":"invalid","dark":0,"date":1325886640,"priority":"1325886640581576"},{"oid":"5897bfd6-6fdf-4e03-80d8-75ce254186f8","currency":"USD","item":"BTC","type":2,"amount":"1000.00000000","amount_int":"100000000000","price":"10.00000","price_int":"1000000","status":0,"real_status":"invalid","dark":0,"date":1344979233,"priority":"1344979233573133"},{"oid":"65bc20e6-0ec7-48be-81e3-b5a8a59fc86f","currency":"USD","item":"BTC","type":2,"amount":"0.29860000","amount_int":"29860000","price":"6.63000","price_int":"663000","status":0,"real_status":"invalid","dark":0,"date":1325885130,"priority":"1325885130360685"},{"oid":"7a10f3c0-dab3-4817-9a32-b6f3f2b9d0d2","currency":"USD","item":"BTC","type":2,"amount":"1000.00000000","amount_int":"100000000000","price":"10.00000","price_int":"1000000","status":0,"real_status":"invalid","dark":0,"date":1344981405,"priority":"1344981405037818"},{"oid":"b87ceee1-04c5-4d91-a94e-54ee1d221411","currency":"USD","item":"BTC","type":2,"amount":"0.14900000","amount_int":"14900000","price":"6.70970","price_int":"670970","status":0,"real_status":"invalid","dark":0,"date":1325886436,"priority":"1325886436583107"},{"oid":"c533db7c-c972-429e-8084-ef0bbb09c1c9","currency":"USD","item":"BTC","type":2,"amount":"0.29860000","amount_int":"29860000","price":"6.63000","price_int":"663000","status":0,"real_status":"invalid","dark":0,"date":1325885128,"priority":"1325885128171198"},{"oid":"df55f311-f675-4b11-8fcc-f2a8061d21bb","currency":"USD","item":"BTC","type":2,"amount":"1000.00000000","amount_int":"100000000000","price":"10.00000","price_int":"1000000","status":0,"real_status":"invalid","dark":0,"date":1344979257,"priority":"1344979257804781"},{"oid":"e1e40c79-aeef-4f0c-affc-1e415cfb402c","currency":"USD","item":"BTC","type":2,"amount":"1000.00000000","amount_int":"100000000000","price":"10.00000","price_int":"1000000","status":0,"real_status":"invalid","dark":0,"date":1344979054,"priority":"1344979054815263"},{"oid":"f597c8fa-2a17-4db0-9695-71a2394c748f","currency":"USD","item":"BTC","type":2,"amount":"1.00000000","amount_int":"100000000","price":"6.19990","price_int":"619990","status":0,"real_status":"invalid","dark":0,"date":1325782848,"priority":"1325782848803275"},{"oid":"f92614b2-ecc7-470f-9f36-01bb19c65796","currency":"USD","item":"BTC","type":2,"amount":"0.29860000","amount_int":"29860000","price":"6.63000","price_int":"663000","status":0,"real_status":"invalid","dark":0,"date":1325885120,"priority":"1325885120229746"}]}
*/
var resp = JSON.Instance.ToObject<OrderResponseWithBalance>(responseStr);
return resp.orders;
}
catch (Exception ex)
{
return null;
}
}
/// <summary>
/// Constructor.
/// </summary>
/// <param name="attribute">The key of the attribute that is used for sorting</param>
/// <param name="direction">The sort direction</param>
/// <param name="entity">The entity that is used for sorting</param>
public Order(ushort attribute, OrderDirection direction, Entity entity)
{
Attribute = attribute;
Direction = direction;
Entity = entity;
}
/// <summary>
/// 初始化排序项
/// </summary>
/// <param name="name">排序属性</param>
/// <param name="direction">排序方向</param>
public OrderByItem( string name, OrderDirection direction ) {
Name = name;
Direction = direction;
}
/// <summary>
/// Validates limit/stopmarket order prices, pass security.Price for limit/stop if n/a
/// </summary>
private static bool IsValidOrderPrices(Security security, OrderType orderType, OrderDirection orderDirection, decimal stopPrice, decimal limitPrice, ref BrokerageMessageEvent message)
{
// validate order price
var invalidPrice = orderType == OrderType.Limit && orderDirection == OrderDirection.Buy && limitPrice > security.Price ||
orderType == OrderType.Limit && orderDirection == OrderDirection.Sell && limitPrice < security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Buy && stopPrice <security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Sell && stopPrice> security.Price;
if (invalidPrice)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
"Limit Buy orders and Stop Sell orders must be below market, Limit Sell orders and Stop Buy orders must be above market."
);
return(false);
}
return(true);
}
/// <summary>
/// Get the minimum and maximum price for this security in the last bar:
/// </summary>
/// <param name="asset">Security asset we're checking</param>
/// <param name="minimumPrice">Minimum price in the last data bar</param>
/// <param name="maximumPrice">Minimum price in the last data bar</param>
/// <param name="direction">The order direction, decides whether to pick bid or ask</param>
public virtual void DataMinMaxPrices(Security asset, out decimal minimumPrice, out decimal maximumPrice, OrderDirection direction)
{
var tick = asset.Cache.GetData<Tick>();
if (tick != null)
{
var price = tick.Value;
if (direction == OrderDirection.Sell && tick.BidPrice != 0)
{
price = tick.BidPrice;
}
else if (direction == OrderDirection.Buy && tick.AskPrice != 0)
{
price = tick.AskPrice;
}
minimumPrice = maximumPrice = price;
return;
}
var quoteBar = asset.Cache.GetData<QuoteBar>();
if (quoteBar != null)
{
var bar = direction == OrderDirection.Sell ? quoteBar.Ask : quoteBar.Bid;
minimumPrice = quoteBar.Low;
maximumPrice = quoteBar.High;
if (bar != null)
{
if (bar.High != 0) maximumPrice = bar.High;
if (bar.Low != 0) minimumPrice = bar.Low;
}
return;
}
var tradeBar = asset.Cache.GetData<TradeBar>();
if (tradeBar != null)
{
minimumPrice = tradeBar.Low;
maximumPrice = tradeBar.High;
return;
}
var lastData = asset.GetLastData();
var lastBar = lastData as IBar;
if (lastBar != null)
{
minimumPrice = lastBar.Low;
maximumPrice = lastBar.High;
return;
}
minimumPrice = maximumPrice = asset.Price;
}
/// <summary>
/// Validates limit/stopmarket order prices, pass security.Price for limit/stop if n/a
/// </summary>
private static bool IsValidOrderPrices(Security security, OrderType orderType, OrderDirection orderDirection, decimal stopPrice, decimal limitPrice, ref BrokerageMessageEvent message)
{
// validate order price
var invalidPrice = orderType == OrderType.Limit && orderDirection == OrderDirection.Buy && limitPrice > security.Price ||
orderType == OrderType.Limit && orderDirection == OrderDirection.Sell && limitPrice < security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Buy && stopPrice <security.Price ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Sell && stopPrice> security.Price;
if (invalidPrice)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
"Limit Buy orders and Stop Sell orders must be below market, Limit Sell orders and Stop Buy orders must be above market."
);
return(false);
}
// Validate FXCM maximum distance for limit and stop orders:
// there are two different Max Limits, 15000 pips and 50% rule,
// whichever comes first (for most pairs, 50% rule comes first)
var maxDistance = Math.Min(
// MinimumPriceVariation is 1/10th of a pip
security.SymbolProperties.MinimumPriceVariation * 10 * 15000,
security.Price / 2);
var currentPrice = security.Price;
var minPrice = currentPrice - maxDistance;
var maxPrice = currentPrice + maxDistance;
var outOfRangePrice = orderType == OrderType.Limit && orderDirection == OrderDirection.Buy && limitPrice <minPrice ||
orderType == OrderType.Limit && orderDirection == OrderDirection.Sell && limitPrice> maxPrice ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Buy && stopPrice > maxPrice ||
orderType == OrderType.StopMarket && orderDirection == OrderDirection.Sell && stopPrice < minPrice;
if (outOfRangePrice)
{
var orderPrice = orderType == OrderType.Limit ? limitPrice : stopPrice;
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
$"The {orderType} {orderDirection} order price ({orderPrice}) is too far from the current market price ({currentPrice})."
);
return(false);
}
return(true);
}
/// <summary>
/// Maps OrderDirection enumeration
/// </summary>
private IB.ActionSide ConvertOrderDirection(OrderDirection direction)
{
switch (direction)
{
case OrderDirection.Buy: return IB.ActionSide.Buy;
case OrderDirection.Sell: return IB.ActionSide.Sell;
case OrderDirection.Hold: return IB.ActionSide.Undefined;
default:
throw new InvalidEnumArgumentException("direction", (int) direction, typeof (OrderDirection));
}
}
/// <summary>
/// Gets the margin cash available for a trade
/// </summary>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="direction">The direction of the trade</param>
/// <returns>The margin available for the trade</returns>
public virtual decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
{
var holdings = security.Holdings;
if (direction == OrderDirection.Hold)
{
return portfolio.MarginRemaining;
}
//If the order is in the same direction as holdings, our remaining cash is our cash
//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
if (holdings.IsLong)
{
switch (direction)
{
case OrderDirection.Buy:
return portfolio.MarginRemaining;
case OrderDirection.Sell:
return security.MarginModel.GetMaintenanceMargin(security)*2 + portfolio.MarginRemaining;
}
}
else if (holdings.IsShort)
{
switch (direction)
{
case OrderDirection.Buy:
return security.MarginModel.GetMaintenanceMargin(security)*2 + portfolio.MarginRemaining;
case OrderDirection.Sell:
return portfolio.MarginRemaining;
}
}
//No holdings, return cash
return portfolio.MarginRemaining;
}
/// <summary>
/// Given the name of a property on the entity and an order this will create the appropriate
/// IQueryable to sort on that property.
/// </summary>
/// <typeparam name="TEntity">The entity type.</typeparam>
/// <param name="source">The source query.</param>
/// <param name="orderByProperty">The property to order by, must exist in TEntity or an exception will be thrown.</param>
/// <param name="direction">The direction to order results by.</param>
/// <remarks>
/// Originally written by user Icarus
/// https://stackoverflow.com/questions/7265186/how-do-i-specify-the-linq-orderby-argument-dynamically
/// </remarks>
/// <returns>A new query ordered by the given property.</returns>
public static IQueryable <TEntity> OrderByProperty <TEntity>(this IQueryable <TEntity> source, string orderByProperty, OrderDirection direction)
{
string command = direction == OrderDirection.Ascending ? "OrderBy" : "OrderByDescending";
var type = typeof(TEntity);
var property = type.GetProperty(orderByProperty);
var parameter = Expression.Parameter(type, "p");
var propertyAccess = Expression.MakeMemberAccess(parameter, property);
var orderByExpression = Expression.Lambda(propertyAccess, parameter);
var resultExpression = Expression.Call(typeof(Queryable), command, new Type[] { type, property.PropertyType }, source.Expression, Expression.Quote(orderByExpression));
return(source.Provider.CreateQuery <TEntity>(resultExpression));
}
/// <summary>
/// Gets the margin cash available for a trade
/// </summary>
/// <param name="portfolio">The algorithm's portfolio</param>
/// <param name="security">The security to be traded</param>
/// <param name="direction">The direction of the trade</param>
/// <returns>The margin available for the trade</returns>
protected override decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
{
var result = portfolio.MarginRemaining;
if (direction != OrderDirection.Hold)
{
var holdings = security.Holdings;
//If the order is in the same direction as holdings, our remaining cash is our cash
//In the opposite direction, our remaining cash is 2 x current value of assets + our cash
if (holdings.IsLong)
{
switch (direction)
{
case OrderDirection.Sell:
result +=
// portion of margin to close the existing position
GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security, security.Holdings.HoldingsValue);
break;
}
}
else if (holdings.IsShort)
{
switch (direction)
{
case OrderDirection.Buy:
result +=
// portion of margin to close the existing position
GetMaintenanceMargin(security) +
// portion of margin to open the new position
security.Holdings.AbsoluteHoldingsValue * GetInitialMarginRequirement(security, security.Holdings.HoldingsValue);
break;
}
}
}
result -= portfolio.TotalPortfolioValue * RequiredFreeBuyingPowerPercent;
return(result < 0 ? 0 : result);
}
public static Order CreateOrder(string orderColumn, OrderDirection direction)
{
return new Order(orderColumn, direction);
}
protected override Prices GetPrices(Security asset, OrderDirection direction)
{
GetPricesWasCalled = true;
return(new Prices(orderDateTime, 12345, 12345, 12345, 12345, 12345));
}