/// <summary>
/// Places the specified order with the brokerage and wait until we get the <paramref name="expectedStatus"/> back via an OrderStatusChanged event.
/// This function handles adding the order to the <see cref="IOrderProvider"/> instance as well as incrementing the order ID.
/// </summary>
/// <param name="order">The order to be submitted</param>
/// <param name="expectedStatus">The status to wait for</param>
/// <param name="secondsTimeout">Maximum amount of time to wait for <paramref name="expectedStatus"/></param>
/// <param name="allowFailedSubmission">Allow failed order submission</param>
/// <returns>The same order that was submitted.</returns>
protected Order PlaceOrderWaitForStatus(Order order, OrderStatus expectedStatus = OrderStatus.Filled,
double secondsTimeout = 10.0, bool allowFailedSubmission = false)
{
var requiredStatusEvent = new ManualResetEvent(false);
var desiredStatusEvent = new ManualResetEvent(false);
EventHandler <OrderEvent> brokerageOnOrderStatusChanged = (sender, args) =>
{
// no matter what, every order should fire at least one of these
if (args.Status == OrderStatus.Submitted || args.Status == OrderStatus.Invalid)
{
Log.Trace("");
Log.Trace("SUBMITTED: " + args);
Log.Trace("");
requiredStatusEvent.Set();
}
// make sure we fire the status we're expecting
if (args.Status == expectedStatus)
{
Log.Trace("");
Log.Trace("EXPECTED: " + args);
Log.Trace("");
desiredStatusEvent.Set();
}
};
Brokerage.OrderStatusChanged += brokerageOnOrderStatusChanged;
OrderProvider.Add(order);
if (!Brokerage.PlaceOrder(order) && !allowFailedSubmission)
{
Assert.Fail("Brokerage failed to place the order: " + order);
}
// This is due to IB simulating stop orders https://www.interactivebrokers.com/en/trading/orders/stop.php
// which causes the Status.Submitted order event to never be set
bool assertOrderEventStatus = !(Brokerage.Name == "Interactive Brokers Brokerage" &&
new[] { OrderType.StopMarket, OrderType.StopLimit }.Contains(order.Type));
if (assertOrderEventStatus)
{
requiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "Expected every order to fire a submitted or invalid status event");
desiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "OrderStatus " + expectedStatus + " was not encountered within the timeout. Order Id:" + order.Id);
}
else
{
requiredStatusEvent.WaitOne((int)(1000 * secondsTimeout));
}
Brokerage.OrderStatusChanged -= brokerageOnOrderStatusChanged;
return(order);
}
/// <summary>
/// This is used to ensure each test starts with a clean, known state.
/// </summary>
protected void LiquidateHoldings()
{
Log.Trace("");
Log.Trace("LIQUIDATE HOLDINGS");
Log.Trace("");
var holdings = Brokerage.GetAccountHoldings();
foreach (var holding in holdings)
{
if (holding.Quantity == 0)
{
continue;
}
Log.Trace("Liquidating: " + holding);
var order = new MarketOrder(holding.Symbol, -holding.Quantity, DateTime.UtcNow);
_orderProvider.Add(order);
PlaceOrderWaitForStatus(order, OrderStatus.Filled);
}
}
public void PartialFills()
{
var manualResetEvent = new ManualResetEvent(false);
var qty = 1000000m;
var remaining = qty;
var sync = new object();
Brokerage.OrderStatusChanged += (sender, orderEvent) =>
{
lock (sync)
{
remaining -= orderEvent.FillQuantity;
Console.WriteLine("Remaining: " + remaining + " FillQuantity: " + orderEvent.FillQuantity);
if (orderEvent.Status == OrderStatus.Filled)
{
manualResetEvent.Set();
}
}
};
// pick a security with low, but some, volume
var symbol = Symbols.EURUSD;
var order = new MarketOrder(symbol, qty, DateTime.UtcNow)
{
Id = 1
};
OrderProvider.Add(order);
Brokerage.PlaceOrder(order);
// pause for a while to wait for fills to come in
manualResetEvent.WaitOne(2500);
manualResetEvent.WaitOne(2500);
manualResetEvent.WaitOne(2500);
Console.WriteLine("Remaining: " + remaining);
Assert.AreEqual(0, remaining);
}
/// <summary>
/// Places the specified order with the brokerage and wait until we get the <paramref name="expectedStatus"/> back via an OrderStatusChanged event.
/// This function handles adding the order to the <see cref="IOrderProvider"/> instance as well as incrementing the order ID.
/// </summary>
/// <param name="order">The order to be submitted</param>
/// <param name="expectedStatus">The status to wait for</param>
/// <param name="secondsTimeout">Maximum amount of time to wait for <paramref name="expectedStatus"/></param>
/// <returns>The same order that was submitted.</returns>
protected Order PlaceOrderWaitForStatus(Order order, OrderStatus expectedStatus = OrderStatus.Filled, double secondsTimeout = 10.0, bool allowFailedSubmission = false)
{
var requiredStatusEvent = new ManualResetEvent(false);
var desiredStatusEvent = new ManualResetEvent(false);
EventHandler <OrderEvent> brokerageOnOrderStatusChanged = (sender, args) =>
{
// no matter what, every order should fire at least one of these
if (args.Status == OrderStatus.Submitted || args.Status == OrderStatus.Invalid)
{
Log.Trace("");
Log.Trace("SUBMITTED: " + args);
Log.Trace("");
requiredStatusEvent.Set();
}
// make sure we fire the status we're expecting
if (args.Status == expectedStatus)
{
Log.Trace("");
Log.Trace("EXPECTED: " + args);
Log.Trace("");
desiredStatusEvent.Set();
}
};
Brokerage.OrderStatusChanged += brokerageOnOrderStatusChanged;
OrderProvider.Add(order);
if (!Brokerage.PlaceOrder(order) && !allowFailedSubmission)
{
Assert.Fail("Brokerage failed to place the order: " + order);
}
requiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "Expected every order to fire a submitted or invalid status event");
desiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "OrderStatus " + expectedStatus + " was not encountered within the timeout.");
Brokerage.OrderStatusChanged -= brokerageOnOrderStatusChanged;
return(order);
}
private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderProvider, HoldingsProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderProvider.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
HoldingsProvider[accountHolding.Symbol] = accountHolding;
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol);
Holding holding;
if (_holdingsProvider.TryGetValue(args.Symbol, out holding))
{
_holdingsProvider[args.Symbol].Quantity += args.FillQuantity;
}
else
{
var accountHoldings = brokerage.GetAccountHoldings().ToDictionary(x => x.Symbol);
if (accountHoldings.ContainsKey(args.Symbol))
{
_holdingsProvider[args.Symbol] = accountHoldings[args.Symbol];
}
else
{
_holdingsProvider[args.Symbol] = new Holding {
Symbol = args.Symbol
};
}
}
Log.Trace("--HOLDINGS: " + _holdingsProvider[args.Symbol]);
// update order mapping
var order = _orderProvider.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}
private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderProvider, SecurityProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
//gdax does not have a user data stream. Instead, we need to symbol subscribe and monitor for our orders.
if (brokerage.Name == "GDAX")
{
((QuantConnect.Brokerages.GDAX.GDAXBrokerage)brokerage).Subscribe(new[] { Symbol });
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderProvider.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
// these securities don't need to be real, just used for the ISecurityProvider impl, required
// by brokerages to track holdings
SecurityProvider[accountHolding.Symbol] = CreateSecurity(accountHolding.Symbol);
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol.ToString());
Security security;
if (_securityProvider.TryGetValue(args.Symbol, out security))
{
var holding = _securityProvider[args.Symbol].Holdings;
holding.SetHoldings(args.FillPrice, holding.Quantity + args.FillQuantity);
}
else
{
_securityProvider[args.Symbol] = CreateSecurity(args.Symbol);
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
Log.Trace("--HOLDINGS: " + _securityProvider[args.Symbol]);
// update order mapping
var order = _orderProvider.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}
private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderProvider, SecurityProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderProvider.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
// these securities don't need to be real, just used for the ISecurityProvider impl, required
// by brokerages to track holdings
SecurityProvider[accountHolding.Symbol] = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), accountHolding.Symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, false));
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol.ToString());
Security security;
if (_securityProvider.TryGetValue(args.Symbol, out security))
{
var holding = _securityProvider[args.Symbol].Holdings;
holding.SetHoldings(args.FillPrice, holding.Quantity + args.FillQuantity);
}
else
{
var accountHoldings = brokerage.GetAccountHoldings().ToDictionary(x => x.Symbol);
if (accountHoldings.ContainsKey(args.Symbol))
{
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
else
{
_securityProvider[args.Symbol] = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), args.Symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, false, false, false));
_securityProvider[args.Symbol].Holdings.SetHoldings(args.FillPrice, args.FillQuantity);
}
}
Log.Trace("--HOLDINGS: " + _securityProvider[args.Symbol]);
// update order mapping
var order = _orderProvider.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}