/// <summary>
/// Cancels the order with the specified ID
/// </summary>
/// <param name="order">The order to cancel</param>
/// <returns>True if the request was made for the order to be canceled, false otherwise</returns>
public override bool CancelOrder(Order order)
{
Log.Trace("OandaBrokerage.CancelOrder(): " + order);
if (!order.BrokerId.Any())
{
Log.Trace("OandaBrokerage.CancelOrder(): Unable to cancel order without BrokerId.");
return(false);
}
foreach (var orderId in order.BrokerId)
{
CancelOrder(long.Parse(orderId));
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "Oanda Cancel Order Event")
{
Status = OrderStatus.Canceled
});
}
return(true);
}
/// <summary>
/// Updates the order with the same id
/// </summary>
/// <param name="order">The new order information</param>
/// <returns>True if the request was made for the order to be updated, false otherwise</returns>
public override bool UpdateOrder(Order order)
{
Log.Trace("OandaBrokerage.UpdateOrder(): " + order);
if (!order.BrokerId.Any())
{
// we need the brokerage order id in order to perform an update
Log.Trace("OandaBrokerage.UpdateOrder(): Unable to update order without BrokerId.");
return(false);
}
var requestParams = new Dictionary <string, string>
{
{ "instrument", _symbolMapper.GetBrokerageSymbol(order.Symbol) },
{ "units", Convert.ToInt32(order.AbsoluteQuantity).ToString() },
};
// we need the brokerage order id in order to perform an update
PopulateOrderRequestParameters(order, requestParams);
UpdateOrder(long.Parse(order.BrokerId.First()), requestParams);
return(true);
}
/// <summary>
/// Places a new order and assigns a new broker ID to the order
/// </summary>
/// <param name="order">The order to be placed</param>
/// <returns>True if the request for a new order has been placed, false otherwise</returns>
public override bool PlaceOrder(Order order)
{
var requestParams = new Dictionary <string, string>
{
{ "instrument", _symbolMapper.GetBrokerageSymbol(order.Symbol) },
{ "units", Convert.ToInt32(order.AbsoluteQuantity).ToString() }
};
PopulateOrderRequestParameters(order, requestParams);
var postOrderResponse = PostOrderAsync(requestParams);
if (postOrderResponse == null)
{
return(false);
}
// if market order, find fill quantity and price
var marketOrderFillPrice = 0m;
if (order.Type == OrderType.Market)
{
marketOrderFillPrice = Convert.ToDecimal(postOrderResponse.price);
}
var marketOrderFillQuantity = 0;
if (postOrderResponse.tradeOpened != null && postOrderResponse.tradeOpened.id > 0)
{
if (order.Type == OrderType.Market)
{
marketOrderFillQuantity = postOrderResponse.tradeOpened.units;
}
else
{
order.BrokerId.Add(postOrderResponse.tradeOpened.id.ToString());
}
}
if (postOrderResponse.tradeReduced != null && postOrderResponse.tradeReduced.id > 0)
{
if (order.Type == OrderType.Market)
{
marketOrderFillQuantity = postOrderResponse.tradeReduced.units;
}
else
{
order.BrokerId.Add(postOrderResponse.tradeReduced.id.ToString());
}
}
if (postOrderResponse.orderOpened != null && postOrderResponse.orderOpened.id > 0)
{
if (order.Type != OrderType.Market)
{
order.BrokerId.Add(postOrderResponse.orderOpened.id.ToString());
}
}
if (postOrderResponse.tradesClosed != null && postOrderResponse.tradesClosed.Count > 0)
{
marketOrderFillQuantity += postOrderResponse.tradesClosed
.Where(trade => order.Type == OrderType.Market)
.Sum(trade => trade.units);
}
// send Submitted order event
const int orderFee = 0;
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee)
{
Status = OrderStatus.Submitted
});
if (order.Type == OrderType.Market)
{
// if market order, also send Filled order event
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee)
{
Status = OrderStatus.Filled,
FillPrice = marketOrderFillPrice,
FillQuantity = marketOrderFillQuantity * Math.Sign(order.Quantity)
});
}
return(true);
}
private static void PopulateOrderRequestParameters(Order order, Dictionary <string, string> requestParams)
{
if (order.Direction != OrderDirection.Buy && order.Direction != OrderDirection.Sell)
{
throw new Exception("Invalid Order Direction");
}
requestParams.Add("side", order.Direction == OrderDirection.Buy ? "buy" : "sell");
if (order.Type == OrderType.Market)
{
requestParams.Add("type", "market");
}
if (order.Type == OrderType.Limit)
{
requestParams.Add("type", "limit");
requestParams.Add("price", ((LimitOrder)order).LimitPrice.ToString(CultureInfo.InvariantCulture));
switch (order.Direction)
{
case OrderDirection.Buy:
//Limit Order Does not like Lower Bound Values == Limit Price value
//Don't set bounds when placing limit orders.
//Orders can be submitted with lower and upper bounds. If the market price on execution falls outside these bounds, it is considered a "Bounds Violation" and the order is cancelled.
break;
case OrderDirection.Sell:
//Limit Order Does not like Lower Bound Values == Limit Price value
//Don't set bounds when placing limit orders.
//Orders can be submitted with lower and upper bounds. If the market price on execution falls outside these bounds, it is considered a "Bounds Violation" and the order is cancelled.
break;
}
//3 months is the max expiry for Oanda, and OrderDuration.GTC is only currently available
requestParams.Add("expiry", XmlConvert.ToString(DateTime.Now.AddMonths(3), XmlDateTimeSerializationMode.Utc));
}
//this type should contain a stop and a limit to that stop.
if (order.Type == OrderType.StopLimit)
{
requestParams.Add("type", "stop");
requestParams.Add("price", ((StopLimitOrder)order).StopPrice.ToString(CultureInfo.InvariantCulture));
switch (order.Direction)
{
case OrderDirection.Buy:
requestParams.Add("upperBound", ((StopLimitOrder)order).LimitPrice.ToString(CultureInfo.InvariantCulture));
break;
case OrderDirection.Sell:
requestParams.Add("lowerBound", ((StopLimitOrder)order).LimitPrice.ToString(CultureInfo.InvariantCulture));
break;
}
//3 months is the max expiry for Oanda, and OrderDuration.GTC is only currently available
requestParams.Add("expiry", XmlConvert.ToString(DateTime.Now.AddMonths(3), XmlDateTimeSerializationMode.Utc));
}
if (order.Type == OrderType.StopMarket)
{
requestParams.Add("type", "marketIfTouched");
requestParams.Add("price", ((StopMarketOrder)order).StopPrice.ToString(CultureInfo.InvariantCulture));
//3 months is the max expiry for Oanda, and OrderDuration.GTC is only currently available
requestParams.Add("expiry", XmlConvert.ToString(DateTime.Now.AddMonths(3), XmlDateTimeSerializationMode.Utc));
}
}
