/// <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>
/// 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>
/// 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);
}
public void TestInvalidSubmitRequest()
{
var orderRequest = new SubmitOrderRequest(OrderType.Limit, SecurityType.Equity, Symbols.AAPL, 1000, 0, 1.11m, DateTime.Now, "Pepe");
var order = Order.CreateOrder(orderRequest);
orderRequest.SetOrderId(orderRequest.OrderId);
var orderResponse = OrderResponse.InvalidStatus(orderRequest, order);
var ticket = OrderTicket.InvalidSubmitRequest(null, orderRequest, orderResponse);
Assert.AreEqual(ticket.OrderId, orderRequest.OrderId);
Assert.AreEqual(ticket.Quantity, 1000);
Assert.AreEqual(ticket.Tag, "Pepe");
Assert.AreEqual(ticket.Status, OrderStatus.Invalid);
Assert.AreEqual(ticket.OrderType, OrderType.Limit);
Assert.AreEqual(ticket.SecurityType, SecurityType.Equity);
Assert.AreEqual(ticket.Symbol, Symbols.AAPL);
Assert.AreEqual(ticket.SubmitRequest, orderRequest);
Assert.AreEqual(ticket.SubmitRequest.Status, OrderRequestStatus.Error);
Assert.AreEqual(ticket.SubmitRequest.OrderId, orderRequest.OrderId);
Assert.AreEqual(ticket.SubmitRequest.Quantity, 1000);
Assert.AreEqual(ticket.SubmitRequest.Tag, "Pepe");
}
