protected OrderTestParameters(Symbol symbol, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null)
{
Symbol = symbol;
SecurityType = symbol.ID.SecurityType;
Properties = properties;
OrderSubmissionData = orderSubmissionData;
}
protected OrderTestParameters(Symbol symbol, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null)
{
Symbol = symbol;
SecurityType = symbol.ID.SecurityType;
Properties = properties;
OrderSubmissionData = orderSubmissionData;
SPDB = SymbolPropertiesDatabase.FromDataFolder();
}
public LimitIfTouchedOrderTestParameters(
Symbol symbol,
decimal highLimit,
decimal lowLimit,
IOrderProperties properties = null
)
: base(symbol, properties)
{
_highLimit = highLimit;
_lowLimit = lowLimit;
}
/// <summary>
/// Initializes a new instance of the <see cref="SubmitOrderRequest"/> class.
/// The <see cref="OrderRequest.OrderId"/> will default to <see cref="OrderResponseErrorCode.UnableToFindOrder"/>
/// </summary>
/// <param name="orderType">The order type to be submitted</param>
/// <param name="securityType">The symbol's <see cref="SecurityType"/></param>
/// <param name="symbol">The symbol to be traded</param>
/// <param name="quantity">The number of units to be ordered</param>
/// <param name="stopPrice">The stop price for stop orders, non-stop orers this value is ignored</param>
/// <param name="limitPrice">The limit price for limit orders, non-limit orders this value is ignored</param>
/// <param name="time">The time this request was created</param>
/// <param name="tag">A custom tag for this request</param>
/// <param name="properties">The order properties for this request</param>
public SubmitOrderRequest(OrderType orderType, SecurityType securityType, Symbol symbol, decimal quantity, decimal stopPrice, decimal limitPrice, DateTime time, string tag, IOrderProperties properties = null)
: base(time, (int)OrderResponseErrorCode.UnableToFindOrder, tag)
{
SecurityType = securityType;
Symbol = symbol;
OrderType = orderType;
Quantity = quantity;
LimitPrice = limitPrice;
StopPrice = stopPrice;
OrderProperties = properties;
}
public LimitIfTouchedOrderTestParameters(
Symbol symbol,
decimal highLimit,
decimal lowLimit,
IOrderProperties properties = null,
OrderSubmissionData orderSubmissionData = null
)
: base(symbol, properties, orderSubmissionData)
{
_highLimit = highLimit;
_lowLimit = lowLimit;
}
/// <summary>
/// Initializes a new instance of the <see cref="SubmitOrderRequest"/> class.
/// The <see cref="OrderRequest.OrderId"/> will default to <see cref="OrderResponseErrorCode.UnableToFindOrder"/>
/// </summary>
/// <param name="orderType">The order type to be submitted</param>
/// <param name="securityType">The symbol's <see cref="SecurityType"/></param>
/// <param name="symbol">The symbol to be traded</param>
/// <param name="quantity">The number of units to be ordered</param>
/// <param name="stopPrice">The stop price for stop orders, non-stop orers this value is ignored</param>
/// <param name="limitPrice">The limit price for limit orders, non-limit orders this value is ignored</param>
/// <param name="time">The time this request was created</param>
/// <param name="tag">A custom tag for this request</param>
/// <param name="properties">The order properties for this request</param>
public SubmitOrderRequest(
OrderType orderType,
SecurityType securityType,
Symbol symbol,
decimal quantity,
decimal stopPrice,
decimal limitPrice,
DateTime time,
string tag,
IOrderProperties properties = null
)
: this(orderType, securityType, symbol, quantity, stopPrice, limitPrice, 0, time, tag, properties)
{
}
/// <summary>
/// New order constructor
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
protected Order(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
{
Time = time;
Price = 0;
PriceCurrency = string.Empty;
Quantity = quantity;
Symbol = symbol;
Status = OrderStatus.None;
Tag = tag;
Duration = OrderDuration.GTC;
BrokerId = new List <string>();
ContingentId = 0;
DurationValue = DateTime.MaxValue;
Properties = properties;
}
private static Order CreateOrder(int orderId, OrderType type, Symbol symbol, decimal quantity, DateTime time,
string tag, IOrderProperties properties, decimal limitPrice, decimal stopPrice, decimal triggerPrice)
{
Order order;
switch (type)
{
case OrderType.Market:
order = new MarketOrder(symbol, quantity, time, tag, properties);
break;
case OrderType.Limit:
order = new LimitOrder(symbol, quantity, limitPrice, time, tag, properties);
break;
case OrderType.StopMarket:
order = new StopMarketOrder(symbol, quantity, stopPrice, time, tag, properties);
break;
case OrderType.StopLimit:
order = new StopLimitOrder(symbol, quantity, stopPrice, limitPrice, time, tag, properties);
break;
case OrderType.LimitIfTouched:
order = new LimitIfTouchedOrder(symbol, quantity, triggerPrice, limitPrice, time, tag, properties);
break;
case OrderType.MarketOnOpen:
order = new MarketOnOpenOrder(symbol, quantity, time, tag, properties);
break;
case OrderType.MarketOnClose:
order = new MarketOnCloseOrder(symbol, quantity, time, tag, properties);
break;
case OrderType.OptionExercise:
order = new OptionExerciseOrder(symbol, quantity, time, tag, properties);
break;
default:
throw new ArgumentOutOfRangeException();
}
order.Status = OrderStatus.New;
order.Id = orderId;
return(order);
}
/// <summary>
/// New <see cref="LimitIfTouchedOrder"/> constructor.
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="limitPrice">Maximum price to fill the order</param>
/// <param name="time">Time the order was placed</param>
/// <param name="triggerPrice">Price which must be touched in order to then set a limit order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public LimitIfTouchedOrder(
Symbol symbol,
decimal quantity,
decimal?triggerPrice,
decimal limitPrice,
DateTime time,
string tag = "",
IOrderProperties properties = null
)
: base(symbol, quantity, time, tag, properties)
{
TriggerPrice = (decimal)triggerPrice;
LimitPrice = limitPrice;
if (string.IsNullOrEmpty(tag))
{
//Default tag values to display trigger price in GUI.
Tag = Invariant($"Trigger Price: {triggerPrice:C} Limit Price: {limitPrice:C}");
}
}
/// <summary>
/// Intiializes a new instance of the <see cref="MarketOnCloseOrder"/> class.
/// </summary>
/// <param name="symbol">The security's symbol being ordered</param>
/// <param name="quantity">The number of units to order</param>
/// <param name="time">The current time</param>
/// <param name="tag">A user defined tag for the order</param>
/// <param name="properties">The order properties for this order</param>
public MarketOnCloseOrder(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, tag, properties)
{
}
/// <summary>
/// New Stop Market Order constructor -
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="stopPrice">Price the order should be filled at if a limit order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public StopMarketOrder(Symbol symbol, decimal quantity, decimal stopPrice, DateTime time, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, tag, properties)
{
StopPrice = stopPrice;
if (string.IsNullOrEmpty(tag))
{
//Default tag values to display stop price in GUI.
Tag = Invariant($"Stop Price: {stopPrice:C}");
}
}
public MarketOrderTestParameters(Symbol symbol, IOrderProperties properties = null)
: base(symbol, properties)
{
}
private SubmitOrderRequest CreateSubmitOrderRequest(OrderType orderType, Security security, decimal quantity, string tag, IOrderProperties properties, decimal stopPrice = 0m, decimal limitPrice = 0m)
{
return new SubmitOrderRequest(orderType, security.Type, security.Symbol, quantity, stopPrice, limitPrice, UtcTime, tag, properties);
}
/// <summary>
/// New Stop Market Order constructor -
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="limitPrice">Maximum price to fill the order</param>
/// <param name="time">Time the order was placed</param>
/// <param name="stopPrice">Price the order should be filled at if a limit order</param>
/// <param name="expiryDate">Timespan till the expiry of the order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public StopLimitOrder(Symbol symbol, decimal quantity, decimal stopPrice, decimal limitPrice, DateTime time, DateTime?expiryDate = null, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, expiryDate, tag, properties: properties)
{
StopPrice = stopPrice;
LimitPrice = limitPrice;
if (tag == "")
{
//Default tag values to display stop price in GUI.
Tag = Invariant($"Stop Price: {stopPrice:C} Limit Price: {limitPrice:C}");
}
}
/// <summary>
/// New order constructor
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="expiryDate">Expiry date of the order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
protected Order(Symbol symbol, decimal quantity, DateTime time, DateTime?expiryDate = null, string tag = "", OrderReason?orderReason = null, IOrderProperties properties = null)
{
Time = time;
Price = 0;
PriceCurrency = string.Empty;
Quantity = quantity;
Symbol = symbol;
Status = OrderStatus.None;
ExpiryDate = expiryDate;
Reason = orderReason;
Tag = tag;
BrokerId = new List <string>();
ContingentId = 0;
Properties = properties ?? new OrderProperties();
}
/// <summary>
/// Initializes a new instance of the <see cref="DefaultMarginCallModel"/> class
/// </summary>
/// <param name="portfolio">The portfolio object to receive margin calls</param>
/// <param name="defaultOrderProperties">The default order properties to be used in margin call orders</param>
public DefaultMarginCallModel(SecurityPortfolioManager portfolio, IOrderProperties defaultOrderProperties)
{
Portfolio = portfolio;
DefaultOrderProperties = defaultOrderProperties;
}
/// <summary>
/// Initialise security portfolio manager.
/// </summary>
public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions, IOrderProperties defaultOrderProperties = null)
{
Securities = securityManager;
Transactions = transactions;
MarginCallModel = new DefaultMarginCallModel(this, defaultOrderProperties);
CashBook = new CashBook();
UnsettledCashBook = new CashBook();
_unsettledCashAmounts = new List <UnsettledCashAmount>();
_baseCurrencyCash = CashBook[CashBook.AccountCurrency];
_baseCurrencyUnsettledCash = UnsettledCashBook[CashBook.AccountCurrency];
// default to $100,000.00
_baseCurrencyCash.SetAmount(100000);
CashBook.Updated += (sender, args) => InvalidateTotalPortfolioValue();
UnsettledCashBook.Updated += (sender, args) => InvalidateTotalPortfolioValue();
}
public TestDefaultMarginCallModel(SecurityPortfolioManager portfolio, IOrderProperties defaultOrderProperties)
: base(portfolio, defaultOrderProperties)
{
}
/// <summary>
/// New option exercise order constructor. We model option exercising as an underlying asset long/short order with strike equal to limit price.
/// This means that by exercising a call we get into long asset position, by exercising a put we get into short asset position.
/// </summary>
/// <param name="symbol">Option symbol we're seeking to exercise</param>
/// <param name="quantity">Quantity of the option we're seeking to exercise. Must be a positive value.</param>
/// <param name="time">Time the order was placed</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public OptionExerciseOrder(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, tag: tag, properties: properties)
{
Price = Symbol.ID.StrikePrice;
}
/// <summary>
/// New Stop Market Order constructor -
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="limitPrice">Maximum price to fill the order</param>
/// <param name="time">Time the order was placed</param>
/// <param name="stopPrice">Price the order should be filled at if a limit order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public StopLimitOrder(Symbol symbol, decimal quantity, decimal stopPrice, decimal limitPrice, DateTime time, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, tag, properties)
{
StopPrice = stopPrice;
LimitPrice = limitPrice;
if (tag == "")
{
//Default tag values to display stop price in GUI.
Tag = "Stop Price: " + stopPrice.ToString("C") + " Limit Price: " + limitPrice.ToString("C");
}
}
/// <summary>
/// New order constructor
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
protected Order(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
{
Time = time;
PriceCurrency = string.Empty;
Quantity = quantity;
Symbol = symbol;
Status = OrderStatus.None;
Tag = tag;
BrokerId = new List <string>();
Properties = properties ?? new OrderProperties();
}
public NonUpdateableLimitOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null)
: base(symbol, highLimit, lowLimit, properties)
{
}
/// <summary>
/// New limit order constructor
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="limitPrice">Price the order should be filled at if a limit order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public LimitOrder(Symbol symbol, decimal quantity, decimal limitPrice, DateTime time, string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, tag, properties)
{
LimitPrice = limitPrice;
if (tag == "")
{
//Default tag values to display limit price in GUI.
Tag = Invariant($"Limit Price: {limitPrice:C}");
}
}
public MarketOrderTestParameters(Symbol symbol, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null)
: base(symbol, properties, orderSubmissionData)
{
}
/// <summary>
/// New market order constructor
/// </summary>
/// <param name="symbol">Symbol asset we're seeking to trade</param>
/// <param name="quantity">Quantity of the asset we're seeking to trade</param>
/// <param name="time">Time the order was placed</param>
/// <param name="price">Price of the order</param>
/// <param name="tag">User defined data tag for this order</param>
/// <param name="properties">The order properties for this order</param>
public MarketOrder(Symbol symbol, decimal quantity, DateTime time, decimal price, string tag = "", IOrderProperties properties = null)
: this(symbol, quantity, time, tag, properties)
{
Price = price;
}
/// <summary>
/// Intiializes a new instance of the <see cref="MarketOnOpenOrder"/> class.
/// </summary>
/// <param name="symbol">The security's symbol being ordered</param>
/// <param name="quantity">The number of units to order</param>
/// <param name="time">The current time</param>
/// <param name="expiryDate">Timespan till the expiry of the order</param>
/// <param name="tag">A user defined tag for the order</param>
/// <param name="orderReason">The reason for this order</param>
/// <param name="properties">The order properties for this order</param>
public MarketOnOpenOrder(Symbol symbol, decimal quantity, DateTime time, DateTime?expiryDate = null, string tag = "", OrderReason?orderReason = null, IOrderProperties properties = null)
: base(symbol, quantity, time, expiryDate, tag, orderReason, properties)
{
}
protected OrderTestParameters(Symbol symbol, IOrderProperties properties = null)
{
Symbol = symbol;
SecurityType = symbol.ID.SecurityType;
Properties = properties;
}