/// <summary>
/// Creates the brokerage under test and connects it
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, IHoldingsProvider holdingsProvider)
{
var oandaBrokerage = new OandaBrokerage(orderProvider, 0);
var tokens = OandaBrokerageFactory.GetTokens();
var environment = Config.Get("oanda-environment");
if (environment == "sandbox")
{
var requestString = EndpointResolver.ResolveEndpoint(Environment.Sandbox, Server.Account) + "accounts";
var accountResponse = oandaBrokerage.MakeRequest<AccountResponse>(requestString, "POST");
oandaBrokerage.SetAccountId(accountResponse.accountId);
oandaBrokerage.SetEnvironment("sandbox");
oandaBrokerage.SetUserName(accountResponse.username);
}
else
{
oandaBrokerage.SetAccountId(Convert.ToInt32(Config.Get("oanda-account-id")));
oandaBrokerage.SetEnvironment(Config.Get("oanda-environment"));
}
var qcUserId = OandaBrokerageFactory.Configuration.QuantConnectUserId;
oandaBrokerage.SetTokens(qcUserId, tokens.AccessToken, tokens.IssuedAt,
TimeSpan.FromSeconds(tokens.ExpiresIn));
oandaBrokerage.InitializeInstrumentSecurityTypeMap();
// keep the tokens up to date in the event of a refresh
oandaBrokerage.SessionRefreshed +=
(sender, args) =>
{
File.WriteAllText(OandaBrokerageFactory.TokensFile,
JsonConvert.SerializeObject(args, Formatting.Indented));
};
return oandaBrokerage;
}
/// <summary>
/// Creates the brokerage under test and connects it
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var environment = Config.Get("oanda-environment").ConvertTo<Environment>();
var accessToken = Config.Get("oanda-access-token");
var accountId = Config.Get("oanda-account-id");
return new OandaBrokerage(orderProvider, securityProvider, environment, accessToken, accountId);
}
/// <summary>
/// Creates the brokerage under test
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var server = Config.Get("fxcm-server");
var terminal = Config.Get("fxcm-terminal");
var userName = Config.Get("fxcm-user-name");
var password = Config.Get("fxcm-password");
var accountId = Config.Get("fxcm-account-id");
return new FxcmBrokerage(orderProvider, securityProvider, server, terminal, userName, password, accountId);
}
/// <summary>
/// Creates a new instance of the <see cref="FxcmBrokerage"/> class
/// </summary>
/// <param name="orderProvider">The order provider</param>
/// <param name="securityProvider">The holdings provider</param>
/// <param name="server">The url of the server</param>
/// <param name="terminal">The terminal name</param>
/// <param name="userName">The user name (login id)</param>
/// <param name="password">The user password</param>
/// <param name="accountId">The account id</param>
public FxcmBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string server, string terminal, string userName, string password, string accountId)
: base("FXCM Brokerage")
{
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_server = server;
_terminal = terminal;
_userName = userName;
_password = password;
_accountId = accountId;
}
public void Add(IConfig config)
{
columns.AddRange(config.GetColumns());
exporters.AddRange(config.GetExporters());
loggers.AddRange(config.GetLoggers());
diagnosers.AddRange(config.GetDiagnosers());
analysers.AddRange(config.GetAnalysers());
jobs.AddRange(config.GetJobs());
validators.AddRange(config.GetValidators());
orderProvider = config.GetOrderProvider() ?? orderProvider;
KeepBenchmarkFiles |= config.KeepBenchmarkFiles;
}
/// <summary>
/// Initializes a new instance of the <see cref="OandaBrokerage"/> class.
/// </summary>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="environment">The Oanda environment (Trade or Practice)</param>
/// <param name="accessToken">The Oanda access token (can be the user's personal access token or the access token obtained with OAuth by QC on behalf of the user)</param>
/// <param name="accountId">The account identifier.</param>
public OandaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, Environment environment, string accessToken, int accountId)
: base("Oanda Brokerage")
{
_orderProvider = orderProvider;
_securityProvider = securityProvider;
if (environment != Environment.Trade && environment != Environment.Practice)
throw new NotSupportedException("Oanda Environment not supported: " + environment);
_environment = environment;
_accessToken = accessToken;
_accountId = accountId;
}
/// <summary>
/// Creates a new instance of the <see cref="FxcmBrokerage"/> class
/// </summary>
/// <param name="orderProvider">The order provider</param>
/// <param name="securityProvider">The holdings provider</param>
/// <param name="server">The url of the server</param>
/// <param name="terminal">The terminal name</param>
/// <param name="userName">The user name (login id)</param>
/// <param name="password">The user password</param>
/// <param name="accountId">The account id</param>
public FxcmBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string server, string terminal, string userName, string password, string accountId)
: base("FXCM Brokerage")
{
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_server = server;
_terminal = terminal;
_userName = userName;
_password = password;
_accountId = accountId;
HistoryResponseTimeout = 5000;
MaximumHistoryRetryAttempts = 1;
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
if (!_manualGatewayControl && !_gatewayLaunched)
{
_gatewayLaunched = true;
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.GetBool("ib-use-tws")
);
}
return new InteractiveBrokersBrokerage(orderProvider, securityProvider);
}
/// <summary>
/// Creates the brokerage under test
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var accountID = TradierBrokerageFactory.Configuration.AccountID;
var tradier = new TradierBrokerage(orderProvider, securityProvider, accountID);
var qcUserID = TradierBrokerageFactory.Configuration.QuantConnectUserID;
var tokens = TradierBrokerageFactory.GetTokens();
tradier.SetTokens(qcUserID, tokens.AccessToken, tokens.RefreshToken, tokens.IssuedAt, TimeSpan.FromSeconds(tokens.ExpiresIn));
// keep the tokens up to date in the event of a refresh
tradier.SessionRefreshed += (sender, args) =>
{
File.WriteAllText(TradierBrokerageFactory.TokensFile, JsonConvert.SerializeObject(args, Formatting.Indented));
};
return tradier;
}
/// <summary> /// Creates the brokerage under test and connects it /// </summary> /// <returns>A connected brokerage instance</returns> protected abstract IBrokerage CreateBrokerage(IOrderProvider orderProvider, IHoldingsProvider holdingsProvider);
/// <summary>
/// Initializes a new instance of the <see cref="OandaRestApiV1"/> class.
/// </summary>
/// <param name="symbolMapper">The symbol mapper.</param>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="environment">The Oanda environment (Trade or Practice)</param>
/// <param name="accessToken">The Oanda access token (can be the user's personal access token or the access token obtained with OAuth by QC on behalf of the user)</param>
/// <param name="accountId">The account identifier.</param>
/// <param name="agent">The Oanda agent string</param>
public OandaRestApiV1(OandaSymbolMapper symbolMapper, IOrderProvider orderProvider, ISecurityProvider securityProvider, Environment environment, string accessToken, string accountId, string agent)
: base(symbolMapper, orderProvider, securityProvider, environment, accessToken, accountId, agent)
{
}
public Person4ManagerController(IEmpProvider empProvider, ICustomerProvider customerProvider, IPowerCheckProvider powerCheckProvider, IOrderProvider orderProvider)
{
_empProvider = empProvider;
_customerProvider = customerProvider;
_powerCheckProvider = powerCheckProvider;
_orderProvider = orderProvider;
}
/// <summary>
/// Initializes a new instance of the <see cref="DefaultBrokerageModel"/> class
/// </summary>
/// <param name="orderProvider">The order provider</param>
/// <param name="accountType">The type of account to be modelled, defaults to
/// <see cref="AccountType.Cash"/></param>
public AlpacaBrokerageModel(IOrderProvider orderProvider, AccountType accountType = AccountType.Margin)
: base(accountType)
{
_orderProvider = orderProvider;
}
/// <summary> /// Gets a new instance of the <see cref="TradierBrokerageModel"/> /// </summary> /// <param name="orderProvider">The order provider</param> public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new TradierBrokerageModel();
public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.TestBrokerageModel();
public static IConfig With(this IConfig config, IOrderProvider provider) => config.With(m => m.Set(provider));
/// <summary>
/// Creates a new InteractiveBrokersBrokerage using values from configuration:
/// ib-account (required)
/// ib-host (optional, defaults to LOCALHOST)
/// ib-port (optional, defaults to 4001)
/// ib-agent-description (optional, defaults to Individual)
/// </summary>
/// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
/// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
public InteractiveBrokersBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
: this(
orderProvider,
securityProvider,
Config.Get("ib-account"),
Config.Get("ib-host", "LOCALHOST"),
Config.GetInt("ib-port", 4001),
Config.GetValue("ib-agent-description", IB.AgentDescription.Individual)
)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="OandaBrokerage"/> class.
/// </summary>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="aggregator">consolidate ticks</param>
/// <param name="environment">The Oanda environment (Trade or Practice)</param>
/// <param name="accessToken">The Oanda access token (can be the user's personal access token or the access token obtained with OAuth by QC on behalf of the user)</param>
/// <param name="accountId">The account identifier.</param>
/// <param name="agent">The Oanda agent string</param>
public OandaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, IDataAggregator aggregator, Environment environment, string accessToken, string accountId, string agent = OandaRestApiBase.OandaAgentDefaultValue)
: base("Oanda Brokerage")
{
Initialize(orderProvider, securityProvider, aggregator, environment, accessToken, accountId, agent = OandaRestApiBase.OandaAgentDefaultValue);
}
/// <summary>
/// Creates a new IBrokerage instance and set ups the environment for the brokerage
/// </summary>
/// <param name="brokerageData">Brokerage data containing necessary parameters for initialization</param>
/// <param name="orderProvider">IOrderMapping instance to maintain IB -> QC order id mapping</param>
/// <returns>A new brokerage instance</returns>
public IBrokerage CreateBrokerage(Dictionary<string, string> brokerageData, IOrderProvider orderProvider)
{
var errors = new List<string>();
// read values from the brokerage datas
var useTws = Config.GetBool("ib-use-tws");
var port = Config.GetInt("ib-port", 4001);
var host = Config.Get("ib-host", "127.0.0.1");
var twsDirectory = Config.Get("ib-tws-dir", "C:\\Jts");
var ibControllerDirectory = Config.Get("ib-controller-dir", "C:\\IBController");
var account = Read<string>(brokerageData, "ib-account", errors);
var userID = Read<string>(brokerageData, "ib-user-name", errors);
var password = Read<string>(brokerageData, "ib-password", errors);
var agentDescription = Read<AgentDescription>(brokerageData, "ib-agent-description", errors);
if (errors.Count != 0)
{
// if we had errors then we can't create the instance
throw new Exception(string.Join(Environment.NewLine, errors));
}
// launch the IB gateway
InteractiveBrokersGatewayRunner.Start(ibControllerDirectory, twsDirectory, userID, password, useTws);
return new InteractiveBrokersBrokerage(orderProvider, account, host, port, agentDescription);
}
/// <summary> /// Creates the brokerage under test and connects it /// </summary> /// <returns>A connected brokerage instance</returns> protected abstract IBrokerage CreateBrokerage(IOrderProvider orderProvider, IHoldingsProvider holdingsProvider);
/// <summary>
/// Gets the order by its brokerage id
/// </summary>
/// <param name="orderProvider">The order provider to search</param>
/// <param name="brokerageId">The brokerage id to fetch</param>
/// <returns>The first order matching the brokerage id, or null if no match is found</returns>
public static Order GetOrderByBrokerageId(this IOrderProvider orderProvider, long brokerageId)
{
return(orderProvider.GetOrderByBrokerageId(brokerageId.ToStringInvariant()));
}
/// <summary> /// Creates the brokerage under test and connects it /// </summary> /// <returns>A connected brokerage instance</returns> protected abstract IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider);
/// <summary>
/// Initializes a new instance of the <see cref="PartialMarketFillModel"/> class
/// </summary>
/// <code>
/// // split market orders into two fills
/// Securities["SPY"].FillModel = new PartialMarketFillModel(Transactions, 2);
/// </code>
/// <param name="orderProvider">The order provider used for getting order tickets</param>
/// <param name="numberOfFills"></param>
public PartialMarketFillModel(IOrderProvider orderProvider, int numberOfFills = 1)
{
_orderProvider = orderProvider;
_percent = 1m / numberOfFills;
}
/// <summary> /// Gets a new instance of the <see cref="InteractiveBrokersBrokerageModel"/> /// </summary> /// <param name="orderProvider">The order provider</param> public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new InteractiveBrokersBrokerageModel();
public OrdersController(IOrderProvider provider) => _orderProvider = provider;
public static IConfig With(this IConfig config, IOrderProvider provider) => config.With(m => m.Set(provider));
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
return(new InteractiveBrokersBrokerage(new QCAlgorithm(), orderProvider, securityProvider));
}
/// <summary> /// Gets a new instance of the <see cref="AlpacaBrokerageModel"/> /// </summary> /// <param name="orderProvider">The order provider</param> public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new AlpacaBrokerageModel(orderProvider);
public void Set(IOrderProvider provider) => orderProvider = provider ?? orderProvider;
public OrderController(IOrderProvider provider)
{
_provider = provider;
}
public void Set(IOrderProvider provider) => orderProvider = provider ?? orderProvider;
public BookingService(IOrderProvider orderProvider)
{
m_order_provider = orderProvider;
}
/// <summary>
/// Gets the order by its brokerage id
/// </summary>
/// <param name="orderProvider">The order provider to search</param>
/// <param name="brokerageId">The brokerage id to fetch</param>
/// <returns>The first order matching the brokerage id, or null if no match is found</returns>
public static Order GetOrderByBrokerageId(this IOrderProvider orderProvider, int brokerageId)
{
return(orderProvider.GetOrderByBrokerageId(brokerageId.ToString()));
}
private static void SaveListOfTrades(IOrderProvider transactions, string csvFileName)
{
var orders = transactions.GetOrders(x => x.Status.IsFill());
var path = Path.GetDirectoryName(csvFileName);
if (path != null && !Directory.Exists(path))
Directory.CreateDirectory(path);
using (var writer = new StreamWriter(csvFileName))
{
foreach (var order in orders)
{
var line = string.Format("{0},{1},{2},{3},{4}",
order.Time.ToString("yyyy-MM-dd HH:mm:ss"),
order.Symbol.Value,
order.Direction,
order.Quantity,
order.Price);
writer.WriteLine(line);
}
}
}
public OrdersController(IOrderProvider orderProvider)
{
this.orderProvider = orderProvider;
}
/// <summary> /// Gets a brokerage model that can be used to model this brokerage's unique behaviors /// </summary> /// <param name="orderProvider">The order provider</param> public abstract IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider);
/// <summary> /// Creates the brokerage under test and connects it /// </summary> /// <returns>A connected brokerage instance</returns> protected abstract IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider);
public OrderController(IOrderProvider orderProvider)
{
_orderProvider = orderProvider;
}
/// <summary>
/// Create a new instance
/// </summary>
/// <param name="orderProvider">The order provider used to determine if it is safe to remove a security</param>
public PendingRemovalsManager(IOrderProvider orderProvider)
{
_orderProvider = orderProvider;
_pendingRemovals = new Dictionary <Universe, List <Security> >();
}
/// <summary> /// Gets a new instance of the <see cref="InteractiveBrokersBrokerageModel"/> /// </summary> /// <param name="orderProvider">The order provider</param> public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new DefaultBrokerageModel();
public OrderController(IAccessTokenService accessTokenService, IOrderProcessingService orderProcessingService, IOrderProvider orderProvider)
{
m_token_service = accessTokenService;
m_order_processing = orderProcessingService;
m_order_provider = orderProvider;
}
public ProductService(IProductProvider productProvider, IOrderProvider orderProvider, IOfferProvider offerProvider)
{
_productProvider = productProvider;
_orderProvider = orderProvider;
_offerProvider = offerProvider;
}
/// <summary>
/// Creates a new <see cref="IBrokerageModel"/> for the specified <see cref="BrokerageName"/>
/// </summary>
/// <param name="orderProvider">The order provider</param>
/// <param name="brokerage">The name of the brokerage</param>
/// <param name="accountType">The account type</param>
/// <returns>The model for the specified brokerage</returns>
public static IBrokerageModel Create(IOrderProvider orderProvider, BrokerageName brokerage, AccountType accountType)
{
switch (brokerage)
{
case BrokerageName.Default:
return(new DefaultBrokerageModel(accountType));
case BrokerageName.InteractiveBrokersBrokerage:
return(new InteractiveBrokersBrokerageModel(accountType));
case BrokerageName.TradierBrokerage:
return(new TradierBrokerageModel(accountType));
case BrokerageName.OandaBrokerage:
return(new OandaBrokerageModel(accountType));
case BrokerageName.FxcmBrokerage:
return(new FxcmBrokerageModel(accountType));
case BrokerageName.Bitfinex:
return(new BitfinexBrokerageModel(accountType));
case BrokerageName.Binance:
return(new BinanceBrokerageModel(accountType));
case BrokerageName.BinanceUS:
return(new BinanceUSBrokerageModel(accountType));
case BrokerageName.GDAX:
return(new GDAXBrokerageModel(accountType));
case BrokerageName.AlphaStreams:
return(new AlphaStreamsBrokerageModel(accountType));
case BrokerageName.Zerodha:
return(new ZerodhaBrokerageModel(accountType));
case BrokerageName.Atreyu:
return(new AtreyuBrokerageModel(accountType));
case BrokerageName.TradingTechnologies:
return(new TradingTechnologiesBrokerageModel(accountType));
case BrokerageName.Samco:
return(new SamcoBrokerageModel(accountType));
case BrokerageName.Kraken:
return(new KrakenBrokerageModel(accountType));
case BrokerageName.Exante:
return(new ExanteBrokerageModel(accountType));
case BrokerageName.FTX:
return(new FTXBrokerageModel(accountType));
case BrokerageName.FTXUS:
return(new FTXUSBrokerageModel(accountType));
default:
throw new ArgumentOutOfRangeException(nameof(brokerage), brokerage, null);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PartialMarketFillModel"/> class
/// </summary>
/// <code>
/// // split market orders into two fills
/// Securities["SPY"].FillModel = new PartialMarketFillModel(Transactions, 2);
/// </code>
/// <param name="orderProvider">The order provider used for getting order tickets</param>
/// <param name="numberOfFills"></param>
public PartialMarketFillModel(IOrderProvider orderProvider, int numberOfFills = 1)
{
_orderProvider = orderProvider;
_percent = 1m / numberOfFills;
}
/// <summary>
/// Creates a new InteractiveBrokersBrokerage from the specified values
/// </summary>
/// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
/// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
/// <param name="account">The Interactive Brokers account name</param>
/// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
/// <param name="port">must match the port specified in TWS on the Configure>API>Socket Port field.</param>
/// <param name="agentDescription">Used for Rule 80A describes the type of trader.</param>
public InteractiveBrokersBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string account, string host, int port, IB.AgentDescription agentDescription = IB.AgentDescription.Individual)
: base("Interactive Brokers Brokerage")
{
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_account = account;
_host = host;
_port = port;
_clientID = IncrementClientID();
_agentDescription = agentDescription;
_client = new IB.IBClient();
// set up event handlers
_client.UpdatePortfolio += HandlePortfolioUpdates;
_client.OrderStatus += HandleOrderStatusUpdates;
_client.UpdateAccountValue += HandleUpdateAccountValue;
_client.Error += HandleError;
_client.TickPrice += HandleTickPrice;
_client.TickSize += HandleTickSize;
_client.CurrentTime += HandleBrokerTime;
// we need to wait until we receive the next valid id from the server
_client.NextValidId += (sender, e) =>
{
// only grab this id when we initialize, and we'll manually increment it here to avoid threading issues
if (_nextValidID == 0)
{
_nextValidID = e.OrderId;
_waitForNextValidID.Set();
}
Log.Trace("InteractiveBrokersBrokerage.HandleNextValidID(): " + e.OrderId);
};
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
return(new InteractiveBrokersBrokerage(new QCAlgorithm(), orderProvider, securityProvider, new AggregationManager(), new LocalDiskMapFileProvider()));
}
/// <summary> /// Gets a new instance of the <see cref="OandaBrokerageModel"/> /// </summary> /// <param name="orderProvider">The order provider</param> public override IBrokerageModel GetBrokerageModel(IOrderProvider orderProvider) => new OandaBrokerageModel();
public Service(IOrderProvider orderProvider)
{
_orderProvider = orderProvider;
}
