/// <summary>
/// Process submit order
/// For crypto currencies: check if we have the correct amount of base currency, if not, create and additional order for getting the correct base currency amount
/// </summary>
/// <param name="ticket"></param>
/// <returns></returns>
protected override OrderTicketResponse SubmitOrder(SubmitOrderTicket ticket)
{
//Check for associated quant fund
var quantfund = Portfolio.QuantFunds.FirstOrDefault(x => x.FundId == ticket.FundId);
//Check if we can get the pending order
var cashposition = (quantfund == null ? CashManager.GetCashPositions() : CashManager.GetCashPositions(quantfund))[ticket.Security.BaseCurrency];
decimal value = Math.Abs(ticket.Security.ConvertValue(ticket.Quantity * ticket.Security.Price, cashposition.BaseCurrency));
if (cashposition.TotalSettledCash < value)
{
//We need extra cash for this in currency X
decimal valueneeded = value - cashposition.TotalSettledCash;
//Create and send
var security = Portfolio.BrokerAccount.Securities[$"{cashposition.BaseCurrency}.BC"];
var orderticket = SubmitOrderTicket.MarketOrder(ticket.FundId, security, valueneeded, $"Base currency conversion needed to execute order with id {ticket.OrderId}");
var response = SubmitOrder(orderticket);
//Wait for this order
if (!response.IsError)
{
WaitForOrder(response.OrderId);
}
else
{
_log.Error($"Could not process currency conversion for order with id {ticket.OrderId}, due to conversion order error {response.ErrorCode} : {response.ErrorMessage}");
}
}
//Use base implementation
return(base.SubmitOrder(ticket));
}
/// <summary>
/// Create a new market order ticket
/// </summary>
/// <param name="security">The security.</param>
/// <param name="quantity">The quantity.</param>
/// <param name="comment">The comment.</param>
/// <param name="exchange"></param>
/// <returns></returns>
public SubmitOrderTicket MarketOrder(Security security, decimal quantity, string comment = "",
string exchange = "") =>
SubmitOrderTicket.MarketOrder(QuantFund.FundId, security, quantity, comment, exchange);
/// <summary>
/// Process any simulated orders
/// </summary>
/// <param name="datapoints"></param>
protected virtual void ProcessSimulatedOrders(IEnumerable <DataPoint> datapoints)
{
//Check if we need to check this
if (OrderCount == 0)
{
return;
}
//Only check on tick data and bars
var datapointsused = datapoints.Where(x => x.DataType == DataType.QuoteBar || x.DataType == DataType.TradeBar || x.DataType == DataType.Tick);
//Triggered orders
List <PendingOrder> triggered = new List <PendingOrder>();
//Get all orders that need to be simulated internally
foreach (var item in OrderTracker.PendingOrders
.Where(x => !x.OrderState.IsDone())
.Where(x => x.IsSimulated)
.Join(datapointsused, x => x.Security.Ticker, x => x.Ticker, (po, dp) => new { PendingOrder = po, DataPoint = dp })
.ToArray())
{
//Check if already triggered
if (triggered.Select(x => x.OrderId).Contains(item.PendingOrder.OrderId))
{
continue;
}
//Get Data
var currentprices = item.DataPoint.OrderPrice(item.PendingOrder.Security, item.PendingOrder.Order.Direction);
var order = item.PendingOrder.Order;
//Create function for converting to a market order
SubmitOrderTicket CreateSubmitTicket() =>
SubmitOrderTicket.MarketOrder(item.PendingOrder.FundId, order.Security, order.Quantity);
//logging function
void Log(decimal price) => _log.Debug($"Simulated order of type {order.Type} with id {order.InternalId} was triggered at price {price} for processing");
string CreateComment() =>
$"Sending market order for simulated order {item.PendingOrder.OrderId} and order type {OrderType.Limit}. OldComment: {item.PendingOrder.Comment}";
//Check order type and logic
switch (order)
{
case LimitOrder limitorder:
{
//Check if limit order price is triggered
if (limitorder.IsTriggered(currentprices, out decimal price))
{
//create a new order from this order, as it will be converted to a market order
Log(price);
var norder = CreateSubmitTicket();
norder.Comment = CreateComment();
SubmitOrder(norder);
//Add to triggered
triggered.Add(item.PendingOrder);
}
break;
}
case StopLimitOrder stoplimitorder:
{
//Check if stop limit order price is triggered
if (stoplimitorder.IsTriggered(currentprices, out decimal price))
{
//create a new order from this order, as it will be converted to a market order
Log(price);
var norder = CreateSubmitTicket();
norder.Comment = CreateComment();
SubmitOrder(norder);
//Add to triggered
triggered.Add(item.PendingOrder);
}
break;
}
case StopMarketOrder stoporder:
{
//Check if stop order price is triggered
if (stoporder.IsTriggered(currentprices, out decimal price))
{
//create a new order from this order, as it will be converted to a market order
Log(price);
var norder = CreateSubmitTicket();
norder.Comment = CreateComment();
SubmitOrder(norder);
//Add to triggered
triggered.Add(item.PendingOrder);
}
break;
}
case MarketOnCloseOrder marketOnCloseOrder:
{
//Check if stop order price is triggered
if (marketOnCloseOrder.IsTriggered())
{
//create a new order from this order, as it will be converted to a market order
var norder = CreateSubmitTicket();
norder.Comment = CreateComment();
SubmitOrder(norder);
//Add to triggered
triggered.Add(item.PendingOrder);
}
break;
}
case MarketOnOpenOrder marketOnOpenOrder:
{
//Check if stop order price is triggered
if (marketOnOpenOrder.IsTriggered())
{
//create a new order from this order, as it will be converted to a market order
var norder = CreateSubmitTicket();
norder.Comment = CreateComment();
SubmitOrder(norder);
//Add to triggered
triggered.Add(item.PendingOrder);
}
break;
}
default:
_log.Error($"Simulated order of type {item.PendingOrder.Order.Type} is not supported, removing order!");
triggered.Add(item.PendingOrder);
break;
}
}
//Remove all triggered orders
triggered.ForEach(x => OrderTracker.TryRemoveOrder(x.OrderId));
}