/// <summary>
/// Processes all synchronous events that must take place before the next time loop for the algorithm
/// </summary>
public override void ProcessSynchronousEvents()
{
base.ProcessSynchronousEvents();
_brokerage.SimulateMarket();
_brokerage.Scan();
}
/// <summary>
/// Processes all synchronous events that must take place before the next time loop for the algorithm
/// </summary>
public override void ProcessSynchronousEvents()
{
// we process pending order requests our selves
Run();
base.ProcessSynchronousEvents();
_brokerage.SimulateMarket();
_brokerage.Scan();
}
/// <summary>
/// Processes all synchronous events that must take place before the next time loop for the algorithm
/// </summary>
public override void ProcessSynchronousEvents()
{
// we process pending order requests our selves
Run();
base.ProcessSynchronousEvents();
_brokerage.SimulateMarket();
_brokerage.Scan();
// Run our delistings processing, only do this once a slice
if (_algorithm.CurrentSlice != null && _algorithm.CurrentSlice.Delistings != _lastestDelistings)
{
_lastestDelistings = _algorithm.CurrentSlice.Delistings;
_brokerage.ProcessDelistings(_algorithm.CurrentSlice.Delistings);
}
}
public void UpdateOrderRequestShouldFailForFilledOrder()
{
// 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);
// Submit and process a limit order
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted);
broker.Scan();
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields());
transactionHandler.Process(updateRequest);
Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Error);
Assert.IsTrue(updateRequest.Response.IsError);
Assert.AreEqual(updateRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidOrderStatus);
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
Assert.AreEqual(_algorithm.OrderEvents.Count, 2);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Submitted), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Filled), 1);
}
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);
}
/// <summary>
/// Processes all synchronous events that must take place before the next time loop for the algorithm
/// </summary>
protected override void ProcessSynchronousEvents()
{
base.ProcessSynchronousEvents();
_brokerage.Scan();
}
