public SubmitOrderResult SaveOrder(SubmitOrderRequest request)
{
var result = new SubmitOrderResult();
orderNumber = request.OrderNumber;
try
{
trans = cn.BeginTransaction();
var orderId = InsertOrderRecord(request);
foreach (var orderLineItem in request.LineItems)
{
InsertLineItems(orderId, orderLineItem);
}
trans.Commit();
trans.Dispose();
trans = null;
result = GetOrderResults();
}
catch (SqlException ex)
{
result.HasException = true;
result.Exception = ExceptionFactory.BuildSqlException(ex);
}
catch (Exception ex)
{
result.HasException = true;
result.Exception = ExceptionFactory.BuildSystemException(ex);
}
finally
{
if (trans != null)
{
trans.Rollback();
trans.Dispose();
}
cn.Close();
cn.Dispose();
}
return result;
}
public void GetOpenOrdersWorksForSubmittedFilledStatus()
{
// Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
var broker = new BacktestingBrokerage(_algorithm);
transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler());
// Creates a limit order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny <int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0);
// Submit and process a limit order
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted);
var openOrders = transactionHandler.GetOpenOrders();
Assert.AreEqual(openOrders.Count, 1);
Assert.AreEqual(openOrders[0].Id, orderTicket.OrderId);
broker.Scan();
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0);
}
public void RoundOff_LessThanLotSize_Fractional_Orders()
{
var algo = new QCAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.SetBrokerageModel(BrokerageName.Default);
algo.SetCash(100000);
// Sets the Security
var security = algo.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Hour, Market.GDAX, false, 3.3m, true);
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(algo, new BacktestingBrokerage(algo), new BacktestingResultHandler());
// Creates the order
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 0.000000009m, 0, 0, DateTime.Now, "");
var order = Order.CreateOrder(orderRequest);
var actual = transactionHandler.RoundOffOrder(order, security);
Assert.AreEqual(0, actual);
}
private int InsertOrderRecord(SubmitOrderRequest request)
{
using (var cmd = new SqlCommand("usp_InsertOrder", cn, trans))
{
var parameters = new []
{
new SqlParameter("@OrderNumber", SqlDbType.NVarChar, 255)
{
Value = request.OrderNumber
},
new SqlParameter("@Account", SqlDbType.NVarChar, 16)
{
Value = request.Account
},
new SqlParameter("@FirstName", SqlDbType.NVarChar, 64)
{
Value = request.FirstName
},
new SqlParameter("@LastName", SqlDbType.NVarChar, 64)
{
Value = request.LastName
},
new SqlParameter("@AddressLine1", SqlDbType.NVarChar, 255)
{
Value = request.Address.Line1
},
new SqlParameter("@AddressLine2", SqlDbType.NVarChar, 255)
{
Value = request.Address.Line2
},
new SqlParameter("@City", SqlDbType.NVarChar, 64)
{
Value = request.Address.City
},
new SqlParameter("@ST", SqlDbType.NVarChar, 2)
{
Value = request.Address.State
},
new SqlParameter("@ZipCode", SqlDbType.NVarChar, 16)
{
Value = request.Address.Zip
},
new SqlParameter("@Phone", SqlDbType.NVarChar, 16)
{
Value = request.Phone
}
};
var prmId = new SqlParameter("@ID", SqlDbType.Int)
{
Direction = ParameterDirection.Output
};
cmd.CommandType = CommandType.StoredProcedure;
cmd.Parameters.AddRange(parameters);
cmd.Parameters.Add(prmId);
cmd.ExecuteNonQuery();
id = Convert.ToInt32(prmId.Value);
}
return(id);
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Most order methods use security objects; so this isn't really used.
// todo: Left here for now but should review
Security security;
if (!Securities.TryGetValue(request.Symbol, out security))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.ToString() + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == QuantConnect.Symbol.Empty || Math.Abs(request.Quantity) < security.SymbolProperties.LotSize)
{
return(OrderResponse.ZeroQuantity(request));
}
if (!security.IsTradable)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.NonTradableSecurity, "The security with symbol '" + request.Symbol.ToString() + "' is marked as non-tradable."));
}
var price = security.Price;
//Check the exchange is open before sending a market on close orders
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
//Check the exchange is open before sending a exercise orders
if (request.OrderType == OrderType.OptionExercise && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.ToString() + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
// check quote currency existence/conversion rate on all orders
Cash quoteCash;
var quoteCurrency = security.QuoteCurrency.Symbol;
if (!Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.QuoteCurrencyRequired, request.Symbol.Value + ": requires " + quoteCurrency + " in the cashbook to trade."));
}
if (security.QuoteCurrency.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ConversionRateZero, request.Symbol.Value + ": requires " + quoteCurrency + " to have a non-zero conversion rate. This can be caused by lack of data."));
}
// need to also check base currency existence/conversion rate on forex orders
if (security.Type == SecurityType.Forex)
{
Cash baseCash;
var baseCurrency = ((Forex)security).BaseCurrencySymbol;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
if (baseCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.OptionExercise)
{
if (security.Type != SecurityType.Option)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.NonExercisableSecurity, "The security with symbol '" + request.Symbol.ToString() + "' is not exercisable."));
}
if (security.Holdings.IsShort)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.UnsupportedRequestType, "The security with symbol '" + request.Symbol.ToString() + "' has a short option position. Only long option positions are exercisable."));
}
if (request.Quantity > security.Holdings.Quantity)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.UnsupportedRequestType, "Cannot exercise more contracts of '" + request.Symbol.ToString() + "' than is currently available in the portfolio. "));
}
if (request.Quantity <= 0.0m)
{
OrderResponse.ZeroQuantity(request);
}
}
if (request.OrderType == OrderType.MarketOnClose)
{
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = nextMarketClose.AddMinutes(-15.50);
if (!security.Exchange.ExchangeOpen || Time > latestSubmissionTime)
{
// tell the user we require a 16 minute buffer, on minute data in live a user will receive the 3:44->3:45 bar at 3:45,
// this is already too late to submit one of these orders, so make the user do it at the 3:43->3:44 bar so it's submitted
// to the brokerage before 3:45.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 16 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
public void SendingNewOrderFromOnOrderEvent()
{
//Initializes the transaction handler
var transactionHandler = new BacktestingTransactionHandler();
var brokerage = new BacktestingBrokerage(_algorithm);
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
// Creates a market order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, DateTime.UtcNow, "");
var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, DateTime.UtcNow, "");
orderRequest.SetOrderId(1);
orderRequest2.SetOrderId(2);
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is <int>(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is <int>(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
var orderEventCalls = 0;
brokerage.OrderStatusChanged += (sender, orderEvent) =>
{
orderEventCalls++;
switch (orderEventCalls)
{
case 1:
Assert.AreEqual(1, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
// we send a new order request
var ticket2 = transactionHandler.Process(orderRequest2);
break;
case 2:
Assert.AreEqual(2, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
break;
case 3:
Assert.AreEqual(1, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
break;
case 4:
Assert.AreEqual(2, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
break;
}
Log.Trace($"{orderEvent}");
};
var ticket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status);
Assert.IsTrue(orderRequest2.Response.IsProcessed);
Assert.IsTrue(orderRequest2.Response.IsSuccess);
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status);
var order1 = transactionHandler.GetOrderById(1);
Assert.AreEqual(OrderStatus.Filled, order1.Status);
var order2 = transactionHandler.GetOrderById(2);
Assert.AreEqual(OrderStatus.Filled, order2.Status);
// 2 submitted and 2 filled
Assert.AreEqual(4, orderEventCalls);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!data.Bars.ContainsKey(symbol))
{
return;
}
// each month make an action
if (Time.Month != LastMonth)
{
// we'll submit the next type of order from the queue
var orderType = _orderTypesQueue.Dequeue();
//Log("");
Log("\r\n--------------MONTH: " + Time.ToString("MMMM") + ":: " + orderType + "\r\n");
//Log("");
LastMonth = Time.Month;
Log("ORDER TYPE:: " + orderType);
var isLong = Quantity > 0;
var stopPrice = isLong ? (1 + StopPercentage) * data.Bars[symbol].High : (1 - StopPercentage) * data.Bars[symbol].Low;
var limitPrice = isLong ? (1 - LimitPercentage) * stopPrice : (1 + LimitPercentage) * stopPrice;
if (orderType == OrderType.Limit)
{
limitPrice = !isLong ? (1 + LimitPercentage) * data.Bars[symbol].High : (1 - LimitPercentage) * data.Bars[symbol].Low;
}
var request = new SubmitOrderRequest(orderType, SecType, symbol, Quantity, stopPrice, limitPrice, Time, orderType.ToString());
var ticket = Transactions.AddOrder(request);
_tickets.Add(ticket);
}
else if (_tickets.Count > 0)
{
var ticket = _tickets.Last();
if (Time.Day > 8 && Time.Day < 14)
{
if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Update(new UpdateOrderFields
{
Quantity = ticket.Quantity + Math.Sign(Quantity) * DeltaQuantity,
Tag = "Change quantity: " + Time
});
Log("UPDATE1:: " + ticket.UpdateRequests.Last());
}
}
else if (Time.Day > 13 && Time.Day < 20)
{
if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Update(new UpdateOrderFields
{
LimitPrice = Security.Price * (1 - Math.Sign(ticket.Quantity) * LimitPercentageDelta),
StopPrice = Security.Price * (1 + Math.Sign(ticket.Quantity) * StopPercentageDelta),
Tag = "Change prices: " + Time
});
Log("UPDATE2:: " + ticket.UpdateRequests.Last());
}
}
else
{
if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Cancel(Time + " and is still open!");
Log("CANCELLED:: " + ticket.CancelRequest);
}
}
}
}
public SubmitOrderResult SubmitOrder(SubmitOrderRequest request)
{
var submitter = new SubmitOrderHandler(connectString);
return(submitter.SaveOrder(request));
}
public void OrdersAreSubmittedImmediatelyForTargetsToExecute(
Language language,
double[] historicalPrices,
decimal openOrdersQuantity,
int expectedOrdersSubmitted,
decimal expectedTotalQuantity)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 16, 0, 0);
var historyProvider = new Mock <IHistoryProvider>();
historyProvider.Setup(m => m.GetHistory(It.IsAny <IEnumerable <HistoryRequest> >(), It.IsAny <DateTimeZone>()))
.Returns(historicalPrices.Select((x, i) =>
new Slice(time.AddMinutes(i),
new List <BaseData>
{
new TradeBar
{
Time = time.AddMinutes(i),
Symbol = Symbols.AAPL,
Open = Convert.ToDecimal(x),
High = Convert.ToDecimal(x),
Low = Convert.ToDecimal(x),
Close = Convert.ToDecimal(x),
Volume = 100m
}
})));
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
algorithm.SetHistoryProvider(historyProvider.Object);
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, openOrdersQuantity, 0, 0, DateTime.MinValue, "");
openOrderRequest.SetOrderId(1);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order> {
new MarketOrder(Symbols.AAPL, openOrdersQuantity, DateTime.MinValue)
});
orderProcessor.Setup(m => m.GetOpenOrderTickets(It.IsAny <Func <OrderTicket, bool> >()))
.Returns(new List <OrderTicket> {
openOrderTicket
});
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
// rounds off the order towards 0 to the nearest multiple of lot size
order.Quantity = RoundOffOrder(order, security);
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return(OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists"));
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return(OrderResponse.UnableToFindOrder(request));
}
// rounds the order prices
RoundOrderPrices(order, security);
// save current security time and prices
order.OrderSubmissionData = new OrderSubmissionData(security.GetLastData());
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
if (order.Quantity == 0)
{
order.Status = OrderStatus.Invalid;
var response = OrderResponse.ZeroQuantity(request);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Unable to add order for zero quantity"));
return(response);
}
// check to see if we have enough money to place the order
HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
try
{
hasSufficientBuyingPowerResult = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(_algorithm.Portfolio, security, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder"));
}
if (!hasSufficientBuyingPowerResult.IsSufficient)
{
order.Status = OrderStatus.Invalid;
var errorMessage = $"Order Error: id: {order.Id}, Insufficient buying power to complete order (Value:{order.GetValue(security).SmartRounding()}), Reason: {hasSufficientBuyingPowerResult.Reason}";
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, errorMessage));
return(response);
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.BrokerageModel.CanSubmitOrder(security, order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return(response);
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return(response);
}
return(OrderResponse.Success(request));
}
public PaymentOptionDTO CreatePaymentOption(Models.PaymentMethod paymentMethod, SubmitOrderRequest request)
{
return(new PaymentOptionDTO()
{
PaymentOptionName = paymentMethod.ShortClassName,
PONumber = request?.PaymentMethod?.Invoice
});
}
public Task <SubmitOrderResponse> SubmitOrderAsync(SubmitOrderRequest request)
{
return(HandleAsync <SubmitOrderRequest, SubmitOrderResponse> (request));
}
/// <summary>
/// Liquidate option contact holdings who's underlying security has split
/// </summary>
private void ProcessSplitSymbols(IAlgorithm algorithm, List <Split> splitWarnings, List <Delisting> pendingDelistings)
{
// NOTE: This method assumes option contracts have the same core trading hours as their underlying contract
// This is a small performance optimization to prevent scanning every contract on every time step,
// instead we scan just the underlyings, thereby reducing the time footprint of this methods by a factor
// of N, the number of derivative subscriptions
for (int i = splitWarnings.Count - 1; i >= 0; i--)
{
var split = splitWarnings[i];
var security = algorithm.Securities[split.Symbol];
if (!security.IsTradable &&
!algorithm.UniverseManager.ActiveSecurities.Keys.Contains(split.Symbol))
{
Log.Debug($"AlgorithmManager.ProcessSplitSymbols(): {_algorithm.Time} - Removing split warning for {security.Symbol}");
// remove the warning from out list
splitWarnings.RemoveAt(i);
// Since we are storing the split warnings for a loop
// we need to check if the security was removed.
// When removed, it will be marked as non tradable but just in case
// we expect it not to be an active security either
continue;
}
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// determine the latest possible time we can submit a MOC order
var configs = algorithm.SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(security.Symbol);
if (configs.Count == 0)
{
// should never happen at this point, if it does let's give some extra info
throw new Exception(
$"AlgorithmManager.ProcessSplitSymbols(): {_algorithm.Time} - No subscriptions found for {security.Symbol}" +
$", IsTradable: {security.IsTradable}" +
$", Active: {algorithm.UniverseManager.ActiveSecurities.Keys.Contains(split.Symbol)}");
}
var latestMarketOnCloseTimeRoundedDownByResolution = nextMarketClose.Subtract(MarketOnCloseOrder.SubmissionTimeBuffer)
.RoundDownInTimeZone(configs.GetHighestResolution().ToTimeSpan(), security.Exchange.TimeZone, configs.First().DataTimeZone);
// we don't need to do anyhing until the market closes
if (security.LocalTime < latestMarketOnCloseTimeRoundedDownByResolution)
{
continue;
}
// fetch all option derivatives of the underlying with holdings (excluding the canonical security)
var derivatives = algorithm.Securities.Where(kvp => kvp.Key.HasUnderlying &&
kvp.Key.SecurityType.IsOption() &&
kvp.Key.Underlying == security.Symbol &&
!kvp.Key.Underlying.IsCanonical() &&
kvp.Value.HoldStock
);
foreach (var kvp in derivatives)
{
var optionContractSymbol = kvp.Key;
var optionContractSecurity = (Option)kvp.Value;
if (pendingDelistings.Any(x => x.Symbol == optionContractSymbol &&
x.Time.Date == optionContractSecurity.LocalTime.Date))
{
// if the option is going to be delisted today we skip sending the market on close order
continue;
}
// close any open orders
algorithm.Transactions.CancelOpenOrders(optionContractSymbol, "Canceled due to impending split. Separate MarketOnClose order submitted to liquidate position.");
var request = new SubmitOrderRequest(OrderType.MarketOnClose, optionContractSecurity.Type, optionContractSymbol,
-optionContractSecurity.Holdings.Quantity, 0, 0, algorithm.UtcTime,
"Liquidated due to impending split. Option splits are not currently supported."
);
// send MOC order to liquidate option contract holdings
algorithm.Transactions.AddOrder(request);
// mark option contract as not tradable
optionContractSecurity.IsTradable = false;
algorithm.Debug($"MarketOnClose order submitted for option contract '{optionContractSymbol}' due to impending {split.Symbol.Value} split event. "
+ "Option splits are not currently supported.");
}
// remove the warning from out list
splitWarnings.RemoveAt(i);
}
}
public async Task <ActionResult <SubmitOrderResponse> > SubmitOrderAsync(SubmitOrderRequest request)
{
var response = await Service.SubmitOrderAsync(request);
return(Ok(response));
}
public SubmitOrderResponse SubmitOrderClient(SubmitOrderRequest submitOrderRequest)
{
var submitOrderResponse = client.SubmitOrder(submitOrderRequest);
return(submitOrderResponse);
}
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <param name="commands">The command queue for relaying extenal commands to the algorithm</param>
/// <param name="token">Cancellation token</param>
/// <remarks>Modify with caution</remarks>
public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ICommandQueueHandler commands, CancellationToken token)
{
//Initialize:
_dataPointCount = 0;
_algorithm = algorithm;
var portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
var settlementScanFrequency = TimeSpan.FromMinutes(30);
var nextSettlementScanTime = DateTime.MinValue;
var delistings = new List <Delisting>();
//Initialize Properties:
_algorithmId = job.AlgorithmId;
_algorithm.Status = AlgorithmStatus.Running;
_previousTime = algorithm.StartDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataQuoteBars = AddMethodInvoker <QuoteBars>(algorithm, methodInvokers);
var hasOnDataOptionChains = AddMethodInvoker <OptionChains>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
var hasOnDataDelistings = AddMethodInvoker <Delistings>(algorithm, methodInvokers);
var hasOnDataSymbolChangedEvents = AddMethodInvoker <SymbolChangedEvents>(algorithm, methodInvokers);
// Algorithm 3.0 data accessors
var hasOnDataSlice = algorithm.GetType().GetMethods()
.Where(x => x.Name == "OnData" && x.GetParameters().Length == 1 && x.GetParameters()[0].ParameterType == typeof(Slice))
.FirstOrDefault(x => x.DeclaringType == algorithm.GetType()) != null;
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in algorithm.SubscriptionManager.Subscriptions)
{
//If type is a custom feed, check for a dedicated event handler
if (config.IsCustomData)
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null && !hasOnDataSlice)
{
algorithm.RunTimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithm.Status = AlgorithmStatus.RuntimeError;
return;
}
if (genericMethod != null)
{
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Trace("AlgorithmManager.Run(): Begin DataStream - Start: " + algorithm.StartDate + " Stop: " + algorithm.EndDate);
foreach (var timeSlice in Stream(job, algorithm, feed, results, token))
{
// reset our timer on each loop
_currentTimeStepTime = DateTime.UtcNow;
//Check this backtest is still running:
if (_algorithm.Status != AlgorithmStatus.Running)
{
Log.Error(string.Format("AlgorithmManager.Run(): Algorithm state changed to {0} at {1}", _algorithm.Status, timeSlice.Time));
break;
}
//Execute with TimeLimit Monitor:
if (token.IsCancellationRequested)
{
Log.Error("AlgorithmManager.Run(): CancellationRequestion at " + timeSlice.Time);
return;
}
// before doing anything, check our command queue
foreach (var command in commands.GetCommands())
{
if (command == null)
{
continue;
}
Log.Trace("AlgorithmManager.Run(): Executing {0}", command);
CommandResultPacket result;
try
{
result = command.Run(algorithm);
}
catch (Exception err)
{
Log.Error(err);
algorithm.Error(string.Format("{0} Error: {1}", command.GetType().Name, err.Message));
result = new CommandResultPacket(command, false);
}
// send the result of the command off to the result handler
results.Messages.Enqueue(result);
}
var time = timeSlice.Time;
_dataPointCount += timeSlice.DataPointCount;
//If we're in backtest mode we need to capture the daily performance. We do this here directly
//before updating the algorithm state with the new data from this time step, otherwise we'll
//produce incorrect samples (they'll take into account this time step's new price values)
if (backtestMode)
{
//On day-change sample equity and daily performance for statistics calculations
if (_previousTime.Date != time.Date)
{
SampleBenchmark(algorithm, results, _previousTime.Date);
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
//Check for divide by zero
if (portfolioValue == 0m)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
}
portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
}
}
else
{
// live mode continously sample the benchmark
SampleBenchmark(algorithm, results, time);
}
//Update algorithm state after capturing performance from previous day
//Set the algorithm and real time handler's time
algorithm.SetDateTime(time);
if (timeSlice.Slice.SymbolChangedEvents.Count != 0)
{
if (hasOnDataSymbolChangedEvents)
{
methodInvokers[typeof(SymbolChangedEvents)](algorithm, timeSlice.Slice.SymbolChangedEvents);
}
foreach (var symbol in timeSlice.Slice.SymbolChangedEvents.Keys)
{
// cancel all orders for the old symbol
foreach (var ticket in transactions.GetOrderTickets(x => x.Status.IsOpen() && x.Symbol == symbol))
{
ticket.Cancel("Open order cancelled on symbol changed event");
}
}
}
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
foreach (var security in timeSlice.SecurityChanges.AddedSecurities)
{
if (!algorithm.Securities.ContainsKey(security.Symbol))
{
// add the new security
algorithm.Securities.Add(security);
}
}
}
//On each time step push the real time prices to the cashbook so we can have updated conversion rates
foreach (var update in timeSlice.CashBookUpdateData)
{
var cash = update.Target;
foreach (var data in update.Data)
{
cash.Update(data);
}
}
//Update the securities properties: first before calling user code to avoid issues with data
foreach (var update in timeSlice.SecuritiesUpdateData)
{
var security = update.Target;
foreach (var data in update.Data)
{
security.SetMarketPrice(data);
}
// Send market price updates to the TradeBuilder
algorithm.TradeBuilder.SetMarketPrice(security.Symbol, security.Price);
}
// fire real time events after we've updated based on the new data
realtime.SetTime(timeSlice.Time);
// process fill models on the updated data before entering algorithm, applies to all non-market orders
transactions.ProcessSynchronousEvents();
if (delistings.Count != 0)
{
for (int i = 0; i < delistings.Count; i++)
{
var symbol = delistings[i].Symbol;
var ticket = delistings[i].Ticket;
var security = algorithm.Securities[symbol];
if (ticket != null && ticket.Status == OrderStatus.Filled)
{
// If invested after market on close order is filled, liquidate
if (security.Invested)
{
algorithm.Liquidate(symbol);
}
delistings.RemoveAt(i--);
}
// Submit an order to liquidate on market close when invested after the delisting warning
if (ticket == null && security.Invested)
{
var submitOrderRequest = new SubmitOrderRequest(OrderType.MarketOnClose, security.Type, security.Symbol,
-security.Holdings.Quantity, 0, 0, algorithm.UtcTime, "Liquidate from delisting");
ticket = algorithm.Transactions.ProcessRequest(submitOrderRequest);
delistings[i].SetOrderTicket(ticket);
}
}
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Algorithm quit requested.");
break;
}
if (algorithm.RunTimeError != null)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Trace(string.Format("AlgorithmManager.Run(): Algorithm encountered a runtime error at {0}. Error: {1}", timeSlice.Time, algorithm.RunTimeError));
break;
}
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.ScanForMarginCall(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
var executingMarginCall = false;
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
executingMarginCall = true;
// execute the margin call orders
var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var ticket in executedTickets)
{
algorithm.Error(string.Format("{0} - Executed MarginCallOrder: {1} - Quantity: {2} @ {3}", algorithm.Time, ticket.Symbol, ticket.Quantity, ticket.AverageFillPrice));
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
var locator = executingMarginCall ? "Portfolio.MarginCallModel.ExecuteMarginCall" : "OnMarginCall";
Log.Error(string.Format("AlgorithmManager.Run(): RuntimeError: {0}: ", locator) + err);
return;
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err);
return;
}
}
nextMarginCallTime = time + marginCallFrequency;
}
// perform check for settlement of unsettled funds
if (time >= nextSettlementScanTime || (_liveMode && nextSettlementScanTime > DateTime.UtcNow))
{
algorithm.Portfolio.ScanForCashSettlement(algorithm.UtcTime);
nextSettlementScanTime = time + settlementScanFrequency;
}
// before we call any events, let the algorithm know about universe changes
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
try
{
algorithm.OnSecuritiesChanged(timeSlice.SecurityChanges);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnSecuritiesChanged event: " + err);
return;
}
}
// apply dividends
foreach (var dividend in timeSlice.Slice.Dividends.Values)
{
Log.Trace("AlgorithmManager.Run(): {0}: Applying Dividend for {1}", algorithm.Time, dividend.Symbol.ToString());
algorithm.Portfolio.ApplyDividend(dividend);
}
// apply splits
foreach (var split in timeSlice.Slice.Splits.Values)
{
try
{
Log.Trace("AlgorithmManager.Run(): {0}: Applying Split for {1}", algorithm.Time, split.Symbol.ToString());
algorithm.Portfolio.ApplySplit(split);
// apply the split to open orders as well in raw mode, all other modes are split adjusted
if (_liveMode || algorithm.Securities[split.Symbol].DataNormalizationMode == DataNormalizationMode.Raw)
{
// in live mode we always want to have our order match the order at the brokerage, so apply the split to the orders
var openOrders = transactions.GetOrderTickets(ticket => ticket.Status.IsOpen() && ticket.Symbol == split.Symbol);
algorithm.BrokerageModel.ApplySplit(openOrders.ToList(), split);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Split event: " + err);
return;
}
}
//Update registered consolidators for this symbol index
try
{
foreach (var update in timeSlice.ConsolidatorUpdateData)
{
var resolutionTimeSpan = update.Target.Resolution.ToTimeSpan();
var consolidators = update.Target.Consolidators;
foreach (var consolidator in consolidators)
{
foreach (var dataPoint in update.Data)
{
// Filter out data with resolution higher than the data subscription resolution.
// This is needed to avoid feeding in higher resolution data, typically fill-forward bars.
// It also prevents volume-based indicators or consolidators summing up volume to generate
// invalid values.
if (algorithm.UtcTime == dataPoint.EndTime.RoundUp(resolutionTimeSpan).ConvertToUtc(update.Target.ExchangeTimeZone))
{
consolidator.Update(dataPoint);
}
}
// scan for time after we've pumped all the data through for this consolidator
var localTime = time.ConvertFromUtc(update.Target.ExchangeTimeZone);
consolidator.Scan(localTime);
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err);
return;
}
// fire custom event handlers
foreach (var update in timeSlice.CustomData)
{
MethodInvoker methodInvoker;
if (!methodInvokers.TryGetValue(update.DataType, out methodInvoker))
{
continue;
}
try
{
foreach (var dataPoint in update.Data)
{
if (update.DataType.IsInstanceOfType(dataPoint))
{
methodInvoker(algorithm, dataPoint);
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err);
return;
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && timeSlice.Slice.Dividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, timeSlice.Slice.Dividends);
}
if (hasOnDataSplits && timeSlice.Slice.Splits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, timeSlice.Slice.Splits);
}
if (hasOnDataDelistings && timeSlice.Slice.Delistings.Count != 0)
{
methodInvokers[typeof(Delistings)](algorithm, timeSlice.Slice.Delistings);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Dividends/Splits/Delistings: " + err);
return;
}
// run the delisting logic after firing delisting events
HandleDelistedSymbols(algorithm, timeSlice.Slice.Delistings, delistings);
//After we've fired all other events in this second, fire the pricing events:
try
{
// TODO: For backwards compatibility only. Remove in 2017
// For compatibility with Forex Trade data, moving
if (timeSlice.Slice.QuoteBars.Count > 0)
{
foreach (var tradeBar in timeSlice.Slice.QuoteBars.Where(x => x.Key.ID.SecurityType == SecurityType.Forex))
{
timeSlice.Slice.Bars.Add(tradeBar.Value.Collapse());
}
}
if (hasOnDataTradeBars && timeSlice.Slice.Bars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, timeSlice.Slice.Bars);
}
if (hasOnDataQuoteBars && timeSlice.Slice.QuoteBars.Count > 0)
{
methodInvokers[typeof(QuoteBars)](algorithm, timeSlice.Slice.QuoteBars);
}
if (hasOnDataOptionChains && timeSlice.Slice.OptionChains.Count > 0)
{
methodInvokers[typeof(OptionChains)](algorithm, timeSlice.Slice.OptionChains);
}
if (hasOnDataTicks && timeSlice.Slice.Ticks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, timeSlice.Slice.Ticks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err);
return;
}
try
{
if (timeSlice.Slice.HasData)
{
// EVENT HANDLER v3.0 -- all data in a single event
algorithm.OnData(timeSlice.Slice);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Slice: " + err);
return;
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach feed.Bridge.GetConsumingEnumerable
// stop timing the loops
_currentTimeStepTime = DateTime.MinValue;
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Error("AlgorithmManager.OnEndOfAlgorithm(): " + err);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithm.Status == AlgorithmStatus.Liquidated && _liveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithm.Status == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
SampleBenchmark(algorithm, results, _previousTime);
//Check for divide by zero
if (portfolioValue == 0m)
{
results.SamplePerformance(_previousTime, 0m);
}
else
{
results.SamplePerformance(_previousTime, Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
}
} // End of Run();
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!_security.HasData)
{
Log("::::: NO DATA :::::");
return;
}
// each month make an action
if (Time.Minute != _lastMinute && Time.Second == 0)
{
Log("");
Log("--------------Minute: " + Time.Minute);
Log("");
_lastMinute = Time.Minute;
// we'll submit the next type of order from the queue
var orderType = _orderTypesQueue.Dequeue();
Log("ORDER TYPE:: " + orderType);
var isLong = _quantity > 0;
var stopPrice = isLong ? (1 + StopPercentage) * _security.High : (1 - StopPercentage) * _security.Low;
var limitPrice = isLong ? (1 - LimitPercentage) * stopPrice : (1 + LimitPercentage) * stopPrice;
if (orderType == OrderType.Limit)
{
limitPrice = !isLong ? (1 + LimitPercentage) * _security.High : (1 - LimitPercentage) * _security.Low;
}
var request = new SubmitOrderRequest(orderType, SecType, Securities[_symbol].Symbol, _quantity, stopPrice, limitPrice, Time, orderType.ToString());
var ticket = Transactions.AddOrder(request);
_tickets.Add(ticket);
if ((decimal)Random.NextDouble() < ImmediateCancelPercentage)
{
Log("Immediate cancellation requested!");
_immediateCancellations.Add(ticket.OrderId);
}
}
else if (_tickets.Count > 0)
{
var ticket = _tickets.Last();
if (Time.Second > 15 && Time.Second < 30)
{
if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Update(new UpdateOrderFields
{
Quantity = ticket.Quantity + Math.Sign(_quantity) * DeltaQuantity,
Tag = "Change quantity: " + Time
});
Log("UPDATE1:: " + ticket.UpdateRequests.Last());
}
}
else if (Time.Second > 29 && Time.Second < 45)
{
if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Update(new UpdateOrderFields
{
LimitPrice = _security.Price * (1 - Math.Sign(ticket.Quantity) * LimitPercentageDelta),
StopPrice = _security.Price * (1 + Math.Sign(ticket.Quantity) * StopPercentageDelta),
Tag = "Change prices: " + Time
});
Log("UPDATE2:: " + ticket.UpdateRequests.Last());
}
}
else
{
if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Cancel(Time + " and is still open!");
Log("CANCELLED:: " + ticket.CancelRequest);
}
}
}
}
public async Task <OrderDTO> GetSubmitOrderData(SubmitOrderRequest request)
{
Customer customer = kenticoUsers.GetCurrentCustomer();
var notificationEmails = request.EmailConfirmation.Union(new[] { customer.Email });
if ((request?.DeliveryAddress?.Id ?? 0) < 0)
{
shoppingCart.SetShoppingCartAddress(request.DeliveryAddress);
customer.FirstName = request.DeliveryAddress.CustomerName;
customer.LastName = string.Empty;
customer.Email = request.DeliveryAddress.Email;
customer.Phone = request.DeliveryAddress.Phone;
}
var shippingAddress = shoppingCart.GetCurrentCartShippingAddress();
shippingAddress.Country = localization.GetCountries().FirstOrDefault(c => c.Id == shippingAddress.Country.Id);
shippingAddress.State = localization.GetStates().FirstOrDefault(c => c.Id == shippingAddress.State.Id);
var billingAddress = shoppingCart.GetDefaultBillingAddress();
var billingState = localization.GetStates().FirstOrDefault(c => c.Id == billingAddress.StateId);
var site = siteProvider.GetKenticoSite();
var paymentMethod = shoppingCart.GetPaymentMethod(request.PaymentMethod.Id);
var cartItems = shoppingCart.GetShoppingCartItems();
var currency = siteProvider.GetSiteCurrency();
var totals = shoppingCart.GetShoppingCartTotals();
totals.TotalTax = await taxService.EstimateTotalTax(shippingAddress);
if (string.IsNullOrWhiteSpace(customer.Company))
{
customer.Company = settings.DefaultCustomerCompanyName;
}
foreach (var item in cartItems.Where(i => i.IsTemplated))
{
var taskId = await CallRunGeneratePdfTask(item);
item.DesignFilePathTaskId = taskId;
}
var orderDto = new OrderDTO()
{
BillingAddress = orderDataFactory.CreateBillingAddress(billingAddress, billingState?.StateDisplayName),
ShippingAddress = orderDataFactory.CreateShippingAddress(shippingAddress, customer),
Customer = orderDataFactory.CreateCustomer(customer),
OrderDate = DateTime.Now,
PaymentOption = orderDataFactory.CreatePaymentOption(paymentMethod, request),
Site = new SiteDTO()
{
KenticoSiteID = site.Id,
KenticoSiteName = site.Name,
ErpCustomerId = site.ErpCustomerId
},
OrderCurrency = new CurrencyDTO()
{
CurrencyCode = currency.Code,
KenticoCurrencyID = currency.Id
},
OrderStatus = new OrderStatusDTO()
{
KenticoOrderStatusID = kenticoOrder.GetOrderStatusId("Pending"),
OrderStatusName = "PENDING"
},
TotalPrice = totals.TotalItemsPrice,
TotalShipping = totals.TotalShipping,
TotalTax = totals.TotalTax,
Items = cartItems.Select(item => MapCartItemTypeToOrderItemType(item)),
NotificationsData = notificationEmails.Select(e => new NotificationInfoDto
{
Email = e,
Language = customer.PreferredLanguage
})
};
// If only mailing list items in cart, we are not picking any delivery option
if (!cartItems.All(i => i.IsMailingList))
{
var deliveryMethod = shoppingCart.GetShippingOption(request.DeliveryMethod);
orderDto.ShippingOption = new ShippingOptionDTO()
{
KenticoShippingOptionID = deliveryMethod.Id,
CarrierCode = deliveryMethod.SAPName,
ShippingCompany = deliveryMethod.CarrierCode,
ShippingService = deliveryMethod.Service.Replace("#", "")
};
}
return(orderDto);
}
public void PartiallyFilledOrdersAreTakenIntoAccount(Language language)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, 100, 0, 0, DateTime.MinValue, "");
openOrderRequest.SetOrderId(1);
var order = Order.CreateOrder(openOrderRequest);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
openOrderTicket.SetOrder(order);
openOrderTicket.AddOrderEvent(new OrderEvent(1, Symbols.AAPL, DateTime.MinValue, OrderStatus.PartiallyFilled, OrderDirection.Buy, 250, 70, OrderFee.Zero));
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order> {
new MarketOrder(Symbols.AAPL, 100, DateTime.MinValue)
});
orderProcessor.Setup(m => m.GetOpenOrderTickets(It.IsAny <Func <OrderTicket, bool> >()))
.Returns(new List <OrderTicket> {
openOrderTicket
});
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty <Security>(), Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 80) };
model.Execute(algorithm, targets);
Assert.AreEqual(1, actualOrdersSubmitted.Count);
// Remaining quantity for partially filled order = 100 - 70 = 30
// Quantity submitted = 80 - 30 = 50
Assert.AreEqual(50, actualOrdersSubmitted.Sum(x => x.Quantity));
}
private int InsertOrderRecord(SubmitOrderRequest request)
{
using (var cmd = new SqlCommand("usp_InsertOrder", cn, trans))
{
var parameters = new []
{
new SqlParameter("@OrderNumber", SqlDbType.NVarChar, 255)
{Value = request.OrderNumber},
new SqlParameter("@Account", SqlDbType.NVarChar, 16)
{Value = request.Account},
new SqlParameter("@FirstName", SqlDbType.NVarChar, 64)
{Value = request.FirstName},
new SqlParameter("@LastName", SqlDbType.NVarChar, 64)
{Value = request.LastName},
new SqlParameter("@AddressLine1", SqlDbType.NVarChar, 255)
{Value = request.Address.Line1},
new SqlParameter("@AddressLine2", SqlDbType.NVarChar, 255)
{Value = request.Address.Line2},
new SqlParameter("@City", SqlDbType.NVarChar, 64)
{Value = request.Address.City},
new SqlParameter("@ST", SqlDbType.NVarChar, 2)
{Value = request.Address.State},
new SqlParameter("@ZipCode", SqlDbType.NVarChar, 16)
{Value = request.Address.Zip},
new SqlParameter("@Phone", SqlDbType.NVarChar, 16)
{Value = request.Phone}
};
var prmId = new SqlParameter("@ID", SqlDbType.Int) {Direction = ParameterDirection.Output};
cmd.CommandType = CommandType.StoredProcedure;
cmd.Parameters.AddRange(parameters);
cmd.Parameters.Add(prmId);
cmd.ExecuteNonQuery();
id = Convert.ToInt32(prmId.Value);
}
return id;
}
public async Task <SubmitOrderResponse> SubmitOrder(SubmitOrderRequest request)
{
return(await GetResult <SubmitOrderResponse, SubmitOrderRequest>(PrivateApiCall.SubmitOrder, request));
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == QuantConnect.Symbol.Empty)
{
return(OrderResponse.ZeroQuantity(request));
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.ToString() + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.ToString() + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
// check quote currency existence/conversion rate on all orders
Cash quoteCash;
var quoteCurrency = security.QuoteCurrency.Symbol;
if (!Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.QuoteCurrencyRequired, request.Symbol.Value + ": requires " + quoteCurrency + " in the cashbook to trade."));
}
if (security.QuoteCurrency.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ConversionRateZero, request.Symbol.Value + ": requires " + quoteCurrency + " to have a non-zero conversion rate. This can be caused by lack of data."));
}
// need to also check base currency existence/conversion rate on forex orders
if (security.Type == SecurityType.Forex)
{
Cash baseCash;
var baseCurrency = ((Forex)security).BaseCurrencySymbol;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
if (baseCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.MarketOnClose)
{
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = nextMarketClose.AddMinutes(-10.75);
if (!security.Exchange.ExchangeOpen || Time > latestSubmissionTime)
{
// tell the user we require an 11 minute buffer, on minute data in live a user will receive the 3:49->3:50 bar at 3:50,
// this is already too late to submit one of these orders, so make the user do it at the 3:48->3:49 bar so it's submitted
// to the brokerage before 3:50.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 11 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
return(ProcessRequest(request));
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int)(1000 * leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(quantity);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
var fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.CashBook["USD"].Amount, fill.FillPrice * fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = buyPrice
};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = highPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice / 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity / 2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity / 2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsFalse(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage to test margin call warning and margin call logic
security.SetLeverage(leverage * 2);
// Stock price increase by minimum variation
const decimal newPrice = lowPrice + 0.01m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, newPrice, newPrice, newPrice, newPrice, 1));
// this would not cause a margin call, only a margin call warning
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// Price drops again to previous low, margin call orders will be issued
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, lowPrice, lowPrice, lowPrice, lowPrice, 1));
order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-security.Holdings.Quantity, marginCallOrders[0].Quantity); // we bought twice
Assert.GreaterOrEqual(-portfolio.MarginRemaining, security.Price * marginCallOrders[0].Quantity);
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == Symbol.Empty)
{
return(OrderResponse.ZeroQuantity(request));
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.SID + " data. Add this with AddSecurity() in the Initialize() Method."));
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
//Allow market orders, they'll just execute when the exchange reopens
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open."));
}
if (price == 0)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.SID + ": asset price is $0. If using custom data make sure you've set the 'Value' property."));
}
if (security.Type == SecurityType.Forex)
{
// for forex pairs we need to verify that the conversions to USD have values as well
string baseCurrency, quoteCurrency;
Forex.DecomposeCurrencyPair(security.Symbol.Value, out baseCurrency, out quoteCurrency);
// verify they're in the portfolio
Cash baseCash, quoteCash;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash) || !Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade."));
}
// verify we have conversion rates for each leg of the pair back into the account currency
if (baseCash.ConversionRate == 0m || quoteCash.ConversionRate == 0m)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data."));
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return(OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point."));
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
_quit = true;
return(OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders)));
}
if (request.OrderType == OrderType.MarketOnClose)
{
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = (Time.Date + security.Exchange.MarketClose).AddMinutes(-10.75);
if (Time > latestSubmissionTime)
{
// tell the user we require an 11 minute buffer, on minute data in live a user will receive the 3:49->3:50 bar at 3:50,
// this is already too late to submit one of these orders, so make the user do it at the 3:48->3:49 bar so it's submitted
// to the brokerage before 3:50.
return(OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 11 minute buffer before market close."));
}
}
// passes all initial order checks
return(OrderResponse.Success(request));
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(1000);
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config1, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.AAPL].SetLeverage(2m);
securities[Symbols.AAPL].Holdings.SetHoldings(100, 100);
securities[Symbols.AAPL].SetMarketPrice(new TradeBar {
Time = time, Value = 100
});
//Console.WriteLine("AAPL TMU: " + securities[Symbols.AAPL].MarginModel.GetMaintenanceMargin(securities[Symbols.AAPL]));
//Console.WriteLine("AAPL Value: " + securities[Symbols.AAPL].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2, SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.EURUSD].SetLeverage(100m);
securities[Symbols.EURUSD].Holdings.SetHoldings(1.1m, 1000);
securities[Symbols.EURUSD].SetMarketPrice(new TradeBar {
Time = time, Value = 1.1m
});
//Console.WriteLine("EURUSD TMU: " + securities[Symbols.EURUSD].MarginModel.GetMaintenanceMargin(securities[Symbols.EURUSD]));
//Console.WriteLine("EURUSD Value: " + securities[Symbols.EURUSD].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURGBP);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3, SymbolProperties.GetDefault(gbpCash.Symbol)));
securities[Symbols.EURGBP].SetLeverage(100m);
securities[Symbols.EURGBP].Holdings.SetHoldings(1m, 1000);
securities[Symbols.EURGBP].SetMarketPrice(new TradeBar {
Time = time, Value = 1m
});
//Console.WriteLine("EURGBP TMU: " + securities[Symbols.EURGBP].MarginModel.GetMaintenanceMargin(securities[Symbols.EURGBP]));
//Console.WriteLine("EURGBP Value: " + securities[Symbols.EURGBP].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder(Symbols.AAPL, 101, DateTime.Now)
{
Price = 100
};
orderProcessor.AddOrder(acceptedOrder);
var request = new SubmitOrderRequest(OrderType.Market, acceptedOrder.SecurityType, acceptedOrder.Symbol, acceptedOrder.Quantity, 0, 0, acceptedOrder.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder(Symbols.AAPL, 102, DateTime.Now)
{
Price = 100
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return(OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists"));
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return(OrderResponse.UnableToFindOrder(request));
}
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
// check to see if we have enough money to place the order
bool sufficientCapitalForOrder;
try
{
sufficientCapitalForOrder = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder"));
}
if (!sufficientCapitalForOrder)
{
order.Status = OrderStatus.Invalid;
var security = _algorithm.Securities[order.Symbol];
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id, order.GetValue(security).SmartRounding()));
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Insufficient buying power to complete order"));
return(response);
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.LiveMode && !_algorithm.BrokerageModel.CanSubmitOrder(_algorithm.Securities[order.Symbol], order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return(response);
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return(response);
}
order.Status = OrderStatus.Submitted;
return(OrderResponse.Success(request));
}
public void ComputeMarginProperlyShortCoverZeroLong()
{
const decimal leverage = 2m;
const int amount = 1000;
const int quantity = (int)(amount * leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(amount);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal sellPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, sellPrice, sellPrice, sellPrice, sellPrice, 1));
var order = new MarketOrder(Symbols.AAPL, -quantity, time)
{
Price = sellPrice
};
var fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = sellPrice, FillQuantity = -quantity
};
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
portfolio.ProcessFill(fill);
// we shouldn't be able to place a new short order
var newOrder = new MarketOrder(Symbols.AAPL, -1, time.AddSeconds(1))
{
Price = sellPrice
};
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// we should be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1))
{
Price = sellPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// now the stock doubles, so we should have negative margin remaining
time = time.AddDays(1);
const decimal highPrice = sellPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
// we still shouldn be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1))
{
Price = highPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// we shouldn't be able to place cover to long
newOrder = new MarketOrder(Symbols.AAPL, quantity + 1, time.AddSeconds(1))
{
Price = highPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
}
public void GenerateMarginCallOrderTests()
{
const int quantity = 1000;
const decimal leverage = 1m;
var orderProcessor = new FakeOrderProcessor();
var portfolio = GetPortfolio(orderProcessor, quantity);
portfolio.MarginCallModel = new DefaultMarginCallModel(portfolio, null);
var security = GetSecurity(Symbols.AAPL);
portfolio.Securities.Add(security);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, buyPrice, buyPrice));
var order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
var fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.Cash, fill.FillPrice * fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = buyPrice
};
var hasSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(portfolio, security, newOrder).IsSufficient;
Assert.IsFalse(hasSufficientBuyingPower);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, highPrice, highPrice));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = highPrice
};
hasSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(portfolio, security, anotherOrder).IsSufficient;
Assert.IsTrue(hasSufficientBuyingPower);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice / 2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
Assert.AreEqual(-quantity / 2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity / 2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsFalse(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage to test margin call warning and margin call logic
security.SetLeverage(leverage * 2);
// Stock price increase by minimum variation
const decimal newPrice = lowPrice + 0.01m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, newPrice, newPrice));
// this would not cause a margin call, only a margin call warning
marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// Price drops again to previous low, margin call orders will be issued
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(1, marginCallOrders.Count);
}
public Task <IObjectClientResponse <SubmitOrderResponse> > SubmitOrderAsync(SubmitOrderRequest request)
{
var id = request.Id;
return(Client.PostAsync <SubmitOrderResponse>($"{id}/submit"));
}
