/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
_ticket = LimitOrder(_spy, 10, 100);
Debug("Purchased Stock");
// Here we will show how to correctly change an order, we will then verify at End of Algorithm!
// First get the order as it is now, should be a copy, so it wont be updated!
_originalOrder = Transactions.GetOrderById(_ticket.OrderId);
// Create an UpdateOrderRequest and send it to the ticket
var updateFields = new UpdateOrderFields {
Quantity = 20, Tag = "Pepe", LimitPrice = data[_spy].Low
};
var response = _ticket.Update(updateFields);
// Test order time
if (_originalOrder.Time != UtcTime)
{
Error("Order Time should be UtcTime!");
throw new Exception("Order Time should be UtcTime!");
}
}
}
/// <summary>
/// All order events get pushed through this function
/// </summary>
/// <param name="orderEvent">OrderEvent object that contains all the information about the event</param>
public override void OnOrderEvent(OrderEvent orderEvent)
{
// Get the order twice, since they are clones they should NOT be the same
var orderV1 = Transactions.GetOrderById(orderEvent.OrderId);
var orderV2 = Transactions.GetOrderById(orderEvent.OrderId);
if (orderV1 == orderV2)
{
Error("Orders should be clones, hence not equal!");
throw new Exception("Orders should be clones, hence not equal!");
}
//Try and manipulate the orderV1 using UpdateOrderRequest
//NOTICE: Orders should only be updated through their tickets!
var updateFields = new UpdateOrderFields {
Quantity = 99, Tag = "Pepe"
};
var updateRequest = new UpdateOrderRequest(DateTime.Now, orderEvent.OrderId, updateFields);
orderV1.ApplyUpdateOrderRequest(updateRequest);
//Get another copy of the order and compare
var orderV3 = Transactions.GetOrderById(orderEvent.OrderId);
if (orderV1.Quantity == orderV3.Quantity)
{
Error("Quantities should not be changed!");
throw new Exception("Quantities should not be changed!");
}
if (orderV1.Tag == orderV3.Tag)
{
Error("Tag should not be changed!");
throw new Exception("Tag should not be changed!");
}
//Try and manipulate orderV2 using the only external accessor BrokerID
orderV2.BrokerId.Add("FAKE BROKER ID");
//Get another copy of the order and compare
var orderV4 = Transactions.GetOrderById(orderEvent.OrderId);
if (orderV2.BrokerId == orderV4.BrokerId)
{
Error("BrokerIDs should not be the same!");
throw new Exception("BrokerIDs should not be the same!");
}
}
public void TestInvalidUpdateOrderId()
{
var updateFields = new UpdateOrderFields {
Quantity = 99, Tag = "Pepe", StopPrice = 77, LimitPrice = 55
};
var updateRequest = new UpdateOrderRequest(DateTime.Now, 11, updateFields);
var ticket = OrderTicket.InvalidUpdateOrderId(null, updateRequest);
Assert.AreEqual(ticket.OrderId, 11);
Assert.AreEqual(ticket.Quantity, 0);
Assert.AreEqual(ticket.Tag, "Pepe");
Assert.AreEqual(ticket.Status, OrderStatus.Invalid);
Assert.AreEqual(ticket.UpdateRequests.Count, 1);
Assert.AreEqual(ticket.UpdateRequests[0].Status, OrderRequestStatus.Error);
Assert.AreEqual(ticket.UpdateRequests[0].Response.ErrorCode, OrderResponseErrorCode.UnableToFindOrder);
Assert.AreEqual(ticket.UpdateRequests[0].OrderId, 11);
Assert.AreEqual(ticket.UpdateRequests[0].Quantity, 99);
Assert.AreEqual(ticket.UpdateRequests[0].Tag, "Pepe");
Assert.AreEqual(ticket.UpdateRequests[0].StopPrice, 77);
Assert.AreEqual(ticket.UpdateRequests[0].LimitPrice, 55);
}
public override void OnData(Slice data)
{
if (!_initialize)
{
HandleOrder(LimitOrder(_spy, -1001, 10000m)); // Should be canceled, exceeds the max shortable quantity
HandleOrder(LimitOrder(_spy, -1000, 10000m)); // Allowed, orders at or below 1000 should be accepted
HandleOrder(LimitOrder(_spy, -10, 0.01m)); // Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
_initialize = true;
return;
}
if (!_invalidatedAllowedOrder)
{
if (_ordersAllowed.Count != 1)
{
throw new Exception($"Expected 1 successful order, found: {_ordersAllowed.Count}");
}
if (_ordersDenied.Count != 2)
{
throw new Exception($"Expected 2 failed orders, found: {_ordersDenied.Count}");
}
var allowedOrder = _ordersAllowed[0];
var orderUpdate = new UpdateOrderFields()
{
LimitPrice = 0.01m,
Quantity = -1001,
Tag = "Testing updating and exceeding maximum quantity"
};
var response = allowedOrder.Update(orderUpdate);
if (response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity)
{
throw new Exception($"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode.ToString()}");
}
var cancelResponse = allowedOrder.Cancel();
if (cancelResponse.IsError)
{
throw new Exception("Expected to be able to cancel open order after bad qty update");
}
_invalidatedAllowedOrder = true;
_ordersDenied.Clear();
_ordersAllowed.Clear();
return;
}
if (!_invalidatedNewOrderWithPortfolioHoldings)
{
HandleOrder(MarketOrder(_spy, -1000)); // Should succeed, no holdings and no open orders to stop this
var spyShares = Portfolio[_spy].Quantity;
if (spyShares != -1000m)
{
throw new Exception($"Expected -1000 shares in portfolio, found: {spyShares}");
}
HandleOrder(LimitOrder(_spy, -1, 0.01m)); // Should fail, portfolio holdings are at the max shortable quantity.
if (_ordersDenied.Count != 1)
{
throw new Exception($"Expected limit order to fail due to existing holdings, but found {_ordersDenied.Count} failures");
}
_ordersAllowed.Clear();
_ordersDenied.Clear();
HandleOrder(MarketOrder(_aig, -1001));
if (_ordersAllowed.Count != 1)
{
throw new Exception($"Expected market order of -1001 BAC to not fail");
}
_invalidatedNewOrderWithPortfolioHoldings = true;
}
}
/// <summary>
/// This API lets you update the fields, comment, shippingProvider, and/or shippingTracking for a given order. All three fields can be updated simultaneously or independently.
/// </summary>
/// <param name="orderId">Requested order ID, specifies the order to update.</param>
/// <param name="siteId"> Unique identifier for the site</param>
/// /// <param name="fields">update fields value</param>
/// <returns>The <see cref="Order"/>.</returns>
public virtual async Task <OrderModel> UpdateOrder(string siteId, string orderId, UpdateOrderFields fields)
{
var req = PrepareRequest($"sites/{siteId}/order/{orderId}/");
HttpContent content = null;
if (fields != null)
{
var body = fields.ToDictionary();
content = new JsonContent(body);
}
return(await ExecuteRequestAsync <OrderModel>(req, HttpMethod.Patch, content));
}
