/// <summary>
/// Get an instance of the transaction handler set by the task.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="job">Algorithm job packet</param>
/// <param name="brokerage">Brokerage instance to avoid access token duplication</param>
/// <param name="results">Results array for sending order events.</param>
/// <returns>Class matching ITransactionHandler interface</returns>
private static ITransactionHandler GetTransactionHandler(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler results, AlgorithmNodePacket job)
{
ITransactionHandler th;
switch (job.TransactionEndpoint)
{
case TransactionHandlerEndpoint.Brokerage:
th = new BrokerageTransactionHandler(algorithm, brokerage);
Log.Trace("Engine.GetTransactionHandler(): Selected Brokerage Transaction Models.");
break;
//Operation from local files:
default:
th = new BacktestingTransactionHandler(algorithm, brokerage as BacktestingBrokerage);
Log.Trace("Engine.GetTransactionHandler(): Selected Backtesting Transaction Models.");
break;
}
return th;
}
private static DateTime InitializeTest(out BasicTemplateAlgorithm algorithm, out Security security, out PartialMarketFillModel model, out MarketOrder order, out OrderTicket ticket)
{
var referenceTimeNY = new DateTime(2015, 12, 21, 13, 0, 0);
var referenceTimeUtc = referenceTimeNY.ConvertToUtc(TimeZones.NewYork);
algorithm = new BasicTemplateAlgorithm();
algorithm.SetDateTime(referenceTimeUtc);
var transactionHandler = new BacktestingTransactionHandler();
transactionHandler.Initialize(algorithm, new BacktestingBrokerage(algorithm), new TestResultHandler(Console.WriteLine));
Task.Run(() => transactionHandler.Run());
algorithm.Transactions.SetOrderProcessor(transactionHandler);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config);
model = new PartialMarketFillModel(algorithm.Transactions, 2);
algorithm.Securities.Add(security);
algorithm.Securities[Symbols.SPY].FillModel = model;
security.SetMarketPrice(new Tick { Symbol = Symbols.SPY, Value = 100 });
algorithm.SetFinishedWarmingUp();
order = new MarketOrder(Symbols.SPY, 100, referenceTimeUtc) { Id = 1 };
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, algorithm.UtcTime, null);
ticket = algorithm.Transactions.ProcessRequest(request);
return referenceTimeUtc;
}
