/// <summary>
/// Converts an Oanda order into a LEAN order.
/// </summary>
private Order ConvertOrder(JToken order)
{
var type = order["type"].ToString();
Order qcOrder;
var instrument = order["instrument"].ToString();
var id = order["id"].ToString();
var units = order["units"].ConvertInvariant <decimal>();
var createTime = order["createTime"].ToString();
var securityType = SymbolMapper.GetBrokerageSecurityType(instrument);
var symbol = SymbolMapper.GetLeanSymbol(instrument, securityType, Market.Oanda);
var time = GetTickDateTimeFromString(createTime);
var quantity = units;
switch (type)
{
case "MARKET_IF_TOUCHED":
var stopOrder = order.ToObject <MarketIfTouchedOrder>();
qcOrder = new StopMarketOrder
{
StopPrice = stopOrder.Price.ToDecimal()
};
break;
case "LIMIT":
var limitOrder = order.ToObject <OandaLimitOrder>();
qcOrder = new LimitOrder(symbol, quantity, limitOrder.Price.ToDecimal(), time);
break;
case "STOP":
var stopLimitOrder = order.ToObject <StopOrder>();
var price = stopLimitOrder.Price.ConvertInvariant <decimal>();
var limitPrice = stopLimitOrder.PriceBound.ConvertInvariant <decimal>();
qcOrder = new StopLimitOrder(symbol, quantity, price, limitPrice, time);
break;
case "MARKET":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException(
"An existing " + type + " working order was found and is currently unsupported. Please manually cancel the order before restarting the algorithm.");
}
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(id);
var gtdTime = order["gtdTime"];
if (gtdTime != null)
{
var expiry = GetTickDateTimeFromString(gtdTime.ToString());
qcOrder.Properties.TimeInForce = TimeInForce.GoodTilDate(expiry);
}
return(qcOrder);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderProperties"/> class
/// </summary>
public OrderProperties()
{
TimeInForce = TimeInForce.GoodTilCanceled;
}
/// <summary>
/// Creates a new Order instance from a SerializedOrder instance
/// </summary>
/// <remarks>Used by the <see cref="SerializedOrderJsonConverter"/></remarks>
public static Order FromSerialized(SerializedOrder serializedOrder)
{
var sid = SecurityIdentifier.Parse(serializedOrder.Symbol);
var symbol = new Symbol(sid, sid.Symbol);
TimeInForce timeInForce = null;
var type = System.Type.GetType($"QuantConnect.Orders.TimeInForces.{serializedOrder.TimeInForceType}", throwOnError: false, ignoreCase: true);
if (type != null)
{
timeInForce = (TimeInForce)Activator.CreateInstance(type, true);
if (timeInForce is GoodTilDateTimeInForce)
{
var expiry = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.TimeInForceExpiry.Value);
timeInForce = new GoodTilDateTimeInForce(expiry);
}
}
var createdTime = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.CreatedTime);
DateTime?expiryDate = null;
if (serializedOrder.ExpiryDate.HasValue)
{
expiryDate = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.ExpiryDate.Value);
}
OrderReason?orderReason = null;
if (serializedOrder.Reason != "")
{
orderReason = serializedOrder.Reason == "Open" ? OrderReason.Open : OrderReason.Close;
}
var order = CreateOrder(serializedOrder.OrderId, serializedOrder.Type, symbol, serializedOrder.Quantity,
DateTime.SpecifyKind(createdTime, DateTimeKind.Utc),
serializedOrder.Tag,
new OrderProperties {
TimeInForce = timeInForce
},
serializedOrder.LimitPrice ?? 0,
serializedOrder.StopPrice ?? 0,
expiryDate,
orderReason);
order.OrderSubmissionData = new OrderSubmissionData(serializedOrder.SubmissionBidPrice,
serializedOrder.SubmissionAskPrice,
serializedOrder.SubmissionLastPrice);
order.BrokerId = serializedOrder.BrokerId;
order.ContingentId = serializedOrder.ContingentId;
order.Price = serializedOrder.Price;
order.PriceCurrency = serializedOrder.PriceCurrency;
order.Status = serializedOrder.Status;
if (serializedOrder.LastFillTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.LastFillTime.Value);
order.LastFillTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
if (serializedOrder.LastUpdateTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.LastUpdateTime.Value);
order.LastUpdateTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
if (serializedOrder.CanceledTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.CanceledTime.Value);
order.CanceledTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
return(order);
}
