/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="json">The data object containing the received tick</param>
private void OnPricingDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
break;
case "PRICE":
var data = obj.ToObject <Price>();
var securityType = SymbolMapper.GetBrokerageSecurityType(data.Instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.Instrument, securityType, Market.Oanda);
var time = GetTickDateTimeFromString(data.Time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = data.Bids.Last().Price.ConvertInvariant <decimal>();
var askPrice = data.Asks.Last().Price.ConvertInvariant <decimal>();
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
break;
}
}
/// <summary>
/// Converts an Oanda position into a LEAN holding.
/// </summary>
private Holding ConvertHolding(Position position)
{
var securityType = SymbolMapper.GetBrokerageSecurityType(position.Instrument);
var symbol = SymbolMapper.GetLeanSymbol(position.Instrument, securityType, Market.Oanda);
var longUnits = position._Long.Units.ConvertInvariant <int>();
var shortUnits = position._Short.Units.ConvertInvariant <int>();
decimal averagePrice = 0;
var quantity = 0;
if (longUnits > 0)
{
averagePrice = position._Long.AveragePrice.ToDecimal();
quantity = longUnits;
}
else if (shortUnits < 0)
{
averagePrice = position._Short.AveragePrice.ToDecimal();
quantity = shortUnits;
}
return(new Holding
{
Symbol = symbol,
Type = securityType,
AveragePrice = averagePrice,
CurrencySymbol = "$",
Quantity = quantity
});
}
/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="data">The data object containing the received tick</param>
private void OnDataReceived(RateStreamResponse data)
{
if (data.IsHeartbeat())
{
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
return;
}
if (data.tick == null)
{
return;
}
var securityType = SymbolMapper.GetBrokerageSecurityType(data.tick.instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.tick.instrument, securityType, Market.Oanda);
var time = OandaBrokerage.GetDateTimeFromString(data.tick.time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.tick.bid);
var askPrice = Convert.ToDecimal(data.tick.ask);
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
}
/// <summary>
/// Converts an Oanda order into a LEAN order.
/// </summary>
private Order ConvertOrder(JToken order)
{
var type = order["type"].ToString();
Order qcOrder;
var instrument = order["instrument"].ToString();
var id = order["id"].ToString();
var units = order["units"].ConvertInvariant <decimal>();
var createTime = order["createTime"].ToString();
var securityType = SymbolMapper.GetBrokerageSecurityType(instrument);
var symbol = SymbolMapper.GetLeanSymbol(instrument, securityType, Market.Oanda);
var time = GetTickDateTimeFromString(createTime);
var quantity = units;
switch (type)
{
case "MARKET_IF_TOUCHED":
var stopOrder = order.ToObject <MarketIfTouchedOrder>();
qcOrder = new StopMarketOrder
{
StopPrice = stopOrder.Price.ToDecimal()
};
break;
case "LIMIT":
var limitOrder = order.ToObject <OandaLimitOrder>();
qcOrder = new LimitOrder(symbol, quantity, limitOrder.Price.ToDecimal(), time);
break;
case "STOP":
var stopLimitOrder = order.ToObject <StopOrder>();
var price = stopLimitOrder.Price.ConvertInvariant <decimal>();
var limitPrice = stopLimitOrder.PriceBound.ConvertInvariant <decimal>();
qcOrder = new StopLimitOrder(symbol, quantity, price, limitPrice, time);
break;
case "MARKET":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException(
"An existing " + type + " working order was found and is currently unsupported. Please manually cancel the order before restarting the algorithm.");
}
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(id);
var gtdTime = order["gtdTime"];
if (gtdTime != null)
{
var expiry = GetTickDateTimeFromString(gtdTime.ToString());
qcOrder.Properties.TimeInForce = TimeInForce.GoodTilDate(expiry);
}
return(qcOrder);
}
/// <summary>
/// Converts the Oanda position into a QuantConnect holding.
/// </summary>
/// <param name="position">The position.</param>
/// <returns></returns>
private Holding ConvertHolding(Position position)
{
var securityType = SymbolMapper.GetBrokerageSecurityType(position.instrument);
return(new Holding
{
Symbol = SymbolMapper.GetLeanSymbol(position.instrument, securityType, Market.Oanda),
Type = securityType,
AveragePrice = (decimal)position.avgPrice,
CurrencySymbol = "$",
Quantity = position.side == "sell" ? -position.units : position.units
});
}
/// <summary>
/// Converts an Oanda order into a LEAN order.
/// </summary>
private Order ConvertOrder(JToken order)
{
var type = order["type"].ToString();
Order qcOrder;
switch (type)
{
case "MARKET_IF_TOUCHED":
var stopOrder = order.ToObject <MarketIfTouchedOrder>();
qcOrder = new StopMarketOrder
{
StopPrice = stopOrder.Price.ToDecimal()
};
break;
case "LIMIT":
var limitOrder = order.ToObject <OandaLimitOrder>();
qcOrder = new LimitOrder
{
LimitPrice = limitOrder.Price.ToDecimal()
};
break;
case "STOP":
var stopLimitOrder = order.ToObject <StopOrder>();
qcOrder = new StopLimitOrder
{
Price = Convert.ToDecimal(stopLimitOrder.Price),
LimitPrice = Convert.ToDecimal(stopLimitOrder.PriceBound)
};
break;
case "MARKET":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException(
"An existing " + type + " working order was found and is currently unsupported. Please manually cancel the order before restarting the algorithm.");
}
var instrument = order["instrument"].ToString();
var id = order["id"].ToString();
var units = Convert.ToInt32(order["units"]);
var createTime = order["createTime"].ToString();
var securityType = SymbolMapper.GetBrokerageSecurityType(instrument);
qcOrder.Symbol = SymbolMapper.GetLeanSymbol(instrument, securityType, Market.Oanda);
qcOrder.Time = GetTickDateTimeFromString(createTime);
qcOrder.Quantity = units;
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(id);
var orderByBrokerageId = OrderProvider.GetOrderByBrokerageId(id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
var gtdTime = order["gtdTime"];
if (gtdTime != null)
{
qcOrder.Duration = OrderDuration.Custom;
qcOrder.DurationValue = GetTickDateTimeFromString(gtdTime.ToString());
}
return(qcOrder);
}
/// <summary>
/// Converts the specified Oanda order into a qc order.
/// The 'task' will have a value if we needed to issue a rest call for the stop price, otherwise it will be null
/// </summary>
private Order ConvertOrder(RestV1.DataType.Order order)
{
Order qcOrder;
switch (order.type)
{
case "limit":
qcOrder = new LimitOrder();
if (order.side == "buy")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "stop":
qcOrder = new StopLimitOrder();
if (order.side == "buy")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "marketIfTouched":
//when market reaches the price sell at market.
qcOrder = new StopMarketOrder {
Price = Convert.ToDecimal(order.price), StopPrice = Convert.ToDecimal(order.price)
};
break;
case "market":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + order.type + " is not supported.");
}
var securityType = SymbolMapper.GetBrokerageSecurityType(order.instrument);
qcOrder.Symbol = SymbolMapper.GetLeanSymbol(order.instrument, securityType, Market.Oanda);
qcOrder.Quantity = ConvertQuantity(order);
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(order.id.ToString());
var orderByBrokerageId = OrderProvider.GetOrderByBrokerageId(order.id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
var expiry = XmlConvert.ToDateTime(order.expiry, XmlDateTimeSerializationMode.Utc);
qcOrder.Properties.TimeInForce = TimeInForce.GoodTilDate(expiry);
qcOrder.Time = XmlConvert.ToDateTime(order.time, XmlDateTimeSerializationMode.Utc);
return(qcOrder);
}