/// <summary>
/// Limit if Touched Fill Model. Return an order event with the fill details.
/// </summary>
/// <param name="asset">Asset we're trading this order</param>
/// <param name="order"><see cref="LimitIfTouchedOrder"/> Order to Check, return filled if true</param>
/// <returns>Order fill information detailing the average price and quantity filled.</returns>
public override OrderEvent LimitIfTouchedFill(Security asset, LimitIfTouchedOrder order)
{
using (Py.GIL())
{
return((_model.LimitIfTouchedFill(asset, order) as PyObject).GetAndDispose <OrderEvent>());
}
}
public void DeserializesLimitIfTouchedOrder(Symbols.SymbolsKey key)
{
var expected = new LimitIfTouchedOrder(Symbols.Lookup(key), 100, 210.10m, 200.23m, new DateTime(2015, 11, 23, 17, 15, 37), "now")
{
Id = 12345,
Price = 209.03m,
ContingentId = 123456,
BrokerId = new List <string> {
"727", "54970"
}
};
var actual = TestOrderType(expected);
Assert.AreEqual(expected.TriggerPrice, actual.TriggerPrice);
Assert.AreEqual(expected.LimitPrice, actual.LimitPrice);
}
public void PerformsLimitIfTouchedFillSell()
{
var model = new ImmediateFillModel();
var order = new LimitIfTouchedOrder(Symbols.SPY, -100, 101.5m, 105m, Noon);
var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
configTradeBar,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
// Sets price at time zero
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 90m, 90m, 100));
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
var fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => trigger touched but not limit
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 102m, 102m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(101m, 102m, 100m, 100m), 100, // Bid bar
new Bar(103m, 104m, 102m, 102m), 100) // Ask bar
);
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => limit reached, holdings sold
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 103m, 108m, 103m, 105m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(103m, 106m, 103m, 105m), 100, // Bid bar
new Bar(103m, 108m, 103m, 105m), 100) // Ask bar
);
fill = model.LimitIfTouchedFill(security, order);
// this fills worst case scenario
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(order.LimitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
/// <summary>
/// Default limit if touched fill model implementation in base class security.
/// </summary>
/// <param name="asset">Security asset we're filling</param>
/// <param name="order">Order packet to model</param>
/// <returns>Order fill information detailing the average price and quantity filled.</returns>
/// <remarks>
/// There is no good way to model limit orders with OHLC because we never know whether the market has
/// gapped past our fill price. We have to make the assumption of a fluid, high volume market.
///
/// With Limit if Touched orders, whether or not a trigger is surpassed is determined by the high (low)
/// of the previous tradebar when making a sell (buy) request. Following the behaviour of
/// <see cref="StopLimitFill"/>, current quote information is used when determining fill parameters
/// (e.g., price, quantity) as the tradebar containing the incoming data is not yet consolidated.
/// This conservative approach, however, can lead to trades not occuring as would be expected when
/// compared to future consolidated data.
/// </remarks>
public virtual OrderEvent LimitIfTouchedFill(Security asset, LimitIfTouchedOrder order)
{
//Default order event to return.
var utcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
var fill = new OrderEvent(order, utcTime, OrderFee.Zero);
//If its cancelled don't need anymore checks:
if (order.Status == OrderStatus.Canceled)
{
return(fill);
}
// Fill only if open or extended
if (!IsExchangeOpen(asset,
Parameters.ConfigProvider
.GetSubscriptionDataConfigs(asset.Symbol)
.IsExtendedMarketHours()))
{
return(fill);
}
// Get the range of prices in the last bar:
var tradeHigh = 0m;
var tradeLow = 0m;
var endTimeUtc = DateTime.MinValue;
var subscribedTypes = GetSubscribedTypes(asset);
if (subscribedTypes.Contains(typeof(Tick)))
{
var trade = asset.Cache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade && x.Price > 0);
if (trade != null)
{
tradeHigh = trade.Price;
tradeLow = trade.Price;
endTimeUtc = trade.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
}
}
else if (subscribedTypes.Contains(typeof(TradeBar)))
{
var tradeBar = asset.Cache.GetData <TradeBar>();
if (tradeBar != null)
{
tradeHigh = tradeBar.High;
tradeLow = tradeBar.Low;
endTimeUtc = tradeBar.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
}
}
// do not fill on stale data
if (endTimeUtc <= order.Time)
{
return(fill);
}
//Check if the limit if touched order was filled:
switch (order.Direction)
{
case OrderDirection.Buy:
//-> 1.2 Buy: If Price below Trigger, Buy:
if (tradeLow <= order.TriggerPrice || order.TriggerTouched)
{
order.TriggerTouched = true;
var askCurrent = GetBestEffortAskPrice(asset, order.Time, out var fillMessage);
if (askCurrent <= order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Min(askCurrent, order.LimitPrice);
fill.FillQuantity = order.Quantity;
fill.Message = fillMessage;
}
}
break;
case OrderDirection.Sell:
//-> 1.2 Sell: If Price above Trigger, Sell:
if (tradeHigh >= order.TriggerPrice || order.TriggerTouched)
{
order.TriggerTouched = true;
var bidCurrent = GetBestEffortBidPrice(asset, order.Time, out var fillMessage);
if (bidCurrent >= order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Max(bidCurrent, order.LimitPrice);
fill.FillQuantity = order.Quantity;
fill.Message = fillMessage;
}
}
break;
}
return(fill);
}
public void LimitIfTouchedOrder_SetsDefaultTag(string tag)
{
var order = new LimitIfTouchedOrder(Symbols.SPY, 1m, 123.4567m, 122.4567m, DateTime.Today, tag);
Assert.AreEqual(Invariant($"Trigger Price: {order.TriggerPrice:C} Limit Price: {order.LimitPrice:C}"), order.Tag);
}
/// <summary>
/// Default limit if touched fill model implementation in base class security. (Limit If Touched Order Type)
/// </summary>
/// <param name="asset"></param>
/// <param name="order"></param>
/// <returns>Order fill information detailing the average price and quantity filled.</returns>
/// <remarks>
/// There is no good way to model limit orders with OHLC because we never know whether the market has
/// gapped past our fill price. We have to make the assumption of a fluid, high volume market.
///
/// With Limit if Touched orders, whether or not a trigger is surpassed is determined by the high (low)
/// of the previous tradebar when making a sell (buy) request. Following the behaviour of
/// <see cref="StopLimitFill"/>, current quote information is used when determining fill parameters
/// (e.g., price, quantity) as the tradebar containing the incoming data is not yet consolidated.
/// This conservative approach, however, can lead to trades not occuring as would be expected when
/// compared to future consolidated data.
/// </remarks>
public virtual OrderEvent LimitIfTouchedFill(Security asset, LimitIfTouchedOrder order)
{
//Default order event to return.
var utcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
var fill = new OrderEvent(order, utcTime, OrderFee.Zero);
//If its cancelled don't need anymore checks:
if (order.Status == OrderStatus.Canceled)
{
return(fill);
}
// Fill only if open or extended
if (!IsExchangeOpen(asset,
Parameters.ConfigProvider
.GetSubscriptionDataConfigs(asset.Symbol)
.IsExtendedMarketHours()))
{
return(fill);
}
// Get the range of prices in the last bar:
var tradeHigh = 0m;
var tradeLow = 0m;
var pricesEndTime = DateTime.MinValue;
var subscribedTypes = GetSubscribedTypes(asset);
if (subscribedTypes.Contains(typeof(Tick)))
{
var trade = GetPricesCheckingPythonWrapper(asset, order.Direction);
if (trade != null)
{
tradeHigh = trade.Current;
tradeLow = trade.Current;
pricesEndTime = trade.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
}
}
else if (subscribedTypes.Contains(typeof(TradeBar)))
{
var tradeBar = asset.Cache.GetData <TradeBar>();
if (tradeBar != null)
{
tradeHigh = tradeBar.High;
tradeLow = tradeBar.Low;
pricesEndTime = tradeBar.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
}
}
// do not fill on stale data
if (pricesEndTime <= order.Time)
{
return(fill);
}
switch (order.Direction)
{
case OrderDirection.Sell:
if (tradeHigh >= order.TriggerPrice || order.TriggerTouched)
{
order.TriggerTouched = true;
//-> 1.1 Limit surpassed: Sell.
if (GetAskPrice(asset, out pricesEndTime) >= order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;
case OrderDirection.Buy:
if (tradeLow <= order.TriggerPrice || order.TriggerTouched)
{
order.TriggerTouched = true;
//-> 1.2 Limit surpassed: Buy.
if (GetBidPrice(asset, out pricesEndTime) <= order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;
}
return(fill);
}
public override OrderEvent LimitIfTouchedFill(Security asset, LimitIfTouchedOrder order)
{
LimitIfTouchFillWasCalled = true;
return(base.LimitIfTouchedFill(asset, order));
}
