/// <summary>
/// Returns true if the brokerage could accept this order. This takes into account
/// order type, security type, and order size limits.
/// </summary>
/// <remarks>
/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
/// </remarks>
/// <param name="security"></param>
/// <param name="order">The order to be processed</param>
/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
/// <returns>True if the brokerage could process the order, false otherwise</returns>
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
message = null;
// validate security type
if (security.Type != SecurityType.Equity)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Invariant($"The {nameof(AlpacaBrokerageModel)} does not support {security.Type} security type.")
);
return(false);
}
// validate order type
if (order.Type != OrderType.Limit && order.Type != OrderType.Market && order.Type != OrderType.StopMarket && order.Type != OrderType.StopLimit && order.Type != OrderType.MarketOnOpen)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Invariant($"The {nameof(AlpacaBrokerageModel)} does not support {order.Type} order type.")
);
return(false);
}
// validate time in force
if (order.TimeInForce != TimeInForce.GoodTilCanceled && order.TimeInForce != TimeInForce.Day)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
$"The {nameof(AlpacaBrokerageModel)} does not support {order.TimeInForce.GetType().Name} time in force."
);
return(false);
}
var openOrders = _orderProvider.GetOpenOrders(x => x.Symbol == order.Symbol && x.Id != order.Id);
if (security.Holdings.IsLong)
{
var openSellQuantity = openOrders.Where(x => x.Direction == OrderDirection.Sell).Sum(x => x.Quantity);
var availableSellQuantity = -security.Holdings.Quantity - openSellQuantity;
// cannot reverse position from long to short (open sell orders are taken into account)
if (order.Direction == OrderDirection.Sell && order.Quantity < availableSellQuantity)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
(openSellQuantity == 0
? $"The {nameof(AlpacaBrokerageModel)} does not support reversing the position (from long to short) with a single order"
: $"The {nameof(AlpacaBrokerageModel)} does not support submitting orders which could potentially reverse the position (from long to short)") +
$" [position:{security.Holdings.Quantity}, order quantity:{order.Quantity}, " +
$"open sell orders quantity:{openSellQuantity}, available sell quantity:{availableSellQuantity}]."
);
return(false);
}
}
else if (security.Holdings.IsShort)
{
var openBuyQuantity = openOrders.Where(x => x.Direction == OrderDirection.Buy).Sum(x => x.Quantity);
var availableBuyQuantity = -security.Holdings.Quantity - openBuyQuantity;
// cannot reverse position from short to long (open buy orders are taken into account)
if (order.Direction == OrderDirection.Buy && order.Quantity > availableBuyQuantity)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
(openBuyQuantity == 0
? $"The {nameof(AlpacaBrokerageModel)} does not support reversing the position (from short to long) with a single order"
: $"The {nameof(AlpacaBrokerageModel)} does not support submitting orders which could potentially reverse the position (from short to long)") +
$" [position:{security.Holdings.Quantity}, order quantity:{order.Quantity}, " +
$"open buy orders quantity:{openBuyQuantity}, available buy quantity:{availableBuyQuantity}]."
);
return(false);
}
}
else if (security.Holdings.Quantity == 0)
{
// cannot open a short sell while a long buy order is open
if (order.Direction == OrderDirection.Sell && openOrders.Any(x => x.Direction == OrderDirection.Buy))
{
var openBuyQuantity = openOrders.Where(x => x.Direction == OrderDirection.Buy).Sum(x => x.Quantity);
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
$"The {nameof(AlpacaBrokerageModel)} does not support submitting sell orders with open buy orders" +
$" [position:{security.Holdings.Quantity}, order quantity:{order.Quantity}, " +
$"open buy orders quantity:{openBuyQuantity}]."
);
return(false);
}
// cannot open a long buy while a short sell order is open
if (order.Direction == OrderDirection.Buy && openOrders.Any(x => x.Direction == OrderDirection.Sell))
{
var openSellQuantity = openOrders.Where(x => x.Direction == OrderDirection.Sell).Sum(x => x.Quantity);
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
$"The {nameof(AlpacaBrokerageModel)} does not support submitting buy orders with open sell orders" +
$" [position:{security.Holdings.Quantity}, order quantity:{order.Quantity}, " +
$"open sell orders quantity:{openSellQuantity}]."
);
return(false);
}
}
return(true);
}
