/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="data">The event object</param>
private void OnEventReceived(Event data)
{
if (data.IsHeartbeat())
{
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
return;
}
if (data.transaction != null)
{
if (data.transaction.type == "ORDER_FILLED")
{
var qcOrder = OrderProvider.GetOrderByBrokerageId(data.transaction.orderId);
qcOrder.PriceCurrency = SecurityProvider.GetSecurity(qcOrder.Symbol).SymbolProperties.QuoteCurrency;
const int orderFee = 0;
var fill = new OrderEvent(qcOrder, DateTime.UtcNow, orderFee, "Oanda Fill Event")
{
Status = OrderStatus.Filled,
FillPrice = (decimal)data.transaction.price,
FillQuantity = data.transaction.units
};
// flip the quantity on sell actions
if (qcOrder.Direction == OrderDirection.Sell)
{
fill.FillQuantity *= -1;
}
OnOrderEvent(fill);
}
}
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="json">The event object</param>
private void OnTransactionDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
break;
case "ORDER_FILL":
var transaction = obj.ToObject <OrderFillTransaction>();
var order = OrderProvider.GetOrderByBrokerageId(transaction.OrderID);
if (order != null)
{
order.PriceCurrency = SecurityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
const int orderFee = 0;
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee, "Oanda Fill Event")
{
Status = OrderStatus.Filled,
FillPrice = transaction.Price.ToDecimal(),
FillQuantity = Convert.ToInt32(transaction.Units)
});
}
break;
}
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="data">The event object</param>
private void OnEventReceived(Event data)
{
if (data.IsHeartbeat())
{
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
return;
}
if (data.transaction != null)
{
if (data.transaction.type == "ORDER_FILLED")
{
Order order;
lock (Locker)
{
order = OrderProvider.GetOrderByBrokerageId(data.transaction.orderId);
}
if (order != null)
{
OrderStatus status;
// Market orders are special: if the order was not in 'PartiallyFilledMarketOrders', means
// we already sent the fill event with OrderStatus.Filled, else it means we already informed the user
// of a partiall fill, or didn't inform the user, so we need to do it now
if (order.Type != OrderType.Market || PendingFilledMarketOrders.TryRemove(order.Id, out status))
{
order.PriceCurrency = SecurityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
const int orderFee = 0;
var fill = new OrderEvent(order, DateTime.UtcNow, orderFee, "Oanda Fill Event")
{
Status = OrderStatus.Filled,
FillPrice = (decimal)data.transaction.price,
FillQuantity = data.transaction.units
};
// flip the quantity on sell actions
if (order.Direction == OrderDirection.Sell)
{
fill.FillQuantity *= -1;
}
OnOrderEvent(fill);
}
}
else
{
Log.Error($"OandaBrokerage.OnEventReceived(): order id not found: {data.transaction.orderId}");
}
}
}
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="json">The event object</param>
private void OnTransactionDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
break;
case "ORDER_FILL":
var transaction = obj.ToObject <OrderFillTransaction>();
Order order;
lock (Locker)
{
order = OrderProvider.GetOrderByBrokerageId(transaction.OrderID);
}
if (order != null)
{
OrderStatus status;
// Market orders are special: if the order was not in 'PartiallyFilledMarketOrders', means
// we already sent the fill event with OrderStatus.Filled, else it means we already informed the user
// of a partiall fill, or didn't inform the user, so we need to do it now
if (order.Type != OrderType.Market || PendingFilledMarketOrders.TryRemove(order.Id, out status))
{
order.PriceCurrency = SecurityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
const int orderFee = 0;
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee, "Oanda Fill Event")
{
Status = OrderStatus.Filled,
FillPrice = transaction.Price.ToDecimal(),
FillQuantity = Convert.ToInt32(transaction.Units)
});
}
}
else
{
Log.Error($"OandaBrokerage.OnTransactionDataReceived(): order id not found: {transaction.OrderID}");
}
break;
}
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="json">The event object</param>
private void OnTransactionDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
TransactionsConnectionHandler.KeepAlive(DateTime.UtcNow);
break;
case "ORDER_FILL":
var transaction = obj.ToObject <OrderFillTransaction>();
Order order;
lock (Locker)
{
order = OrderProvider.GetOrderByBrokerageId(transaction.OrderID);
}
if (order != null)
{
OrderStatus status;
// Market orders are special: if the order was not in 'PartiallyFilledMarketOrders', means
// we already sent the fill event with OrderStatus.Filled, else it means we already informed the user
// of a partiall fill, or didn't inform the user, so we need to do it now
if (order.Type != OrderType.Market || PendingFilledMarketOrders.TryRemove(order.Id, out status))
{
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Oanda Fill Event")
{
Status = OrderStatus.Filled,
FillPrice = transaction.Price.ToDecimal(),
FillQuantity = transaction.Units.ConvertInvariant <decimal>()
});
}
}
else
{
Log.Error($"OandaBrokerage.OnTransactionDataReceived(): order id not found: {transaction.OrderID}");
}
break;
}
}
/// <summary>
/// Converts an Oanda order into a LEAN order.
/// </summary>
private Order ConvertOrder(JToken order)
{
var type = order["type"].ToString();
Order qcOrder;
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
{
LimitPrice = limitOrder.Price.ToDecimal()
};
break;
case "STOP":
var stopLimitOrder = order.ToObject <StopOrder>();
qcOrder = new StopLimitOrder
{
Price = stopLimitOrder.Price.ConvertInvariant <decimal>(),
LimitPrice = stopLimitOrder.PriceBound.ConvertInvariant <decimal>()
};
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.");
}
var instrument = order["instrument"].ToString();
var id = order["id"].ToString();
var units = order["units"].ConvertInvariant <int>();
var createTime = order["createTime"].ToString();
var securityType = SymbolMapper.GetBrokerageSecurityType(instrument);
qcOrder.Symbol = SymbolMapper.GetLeanSymbol(instrument, securityType, Market.Oanda);
qcOrder.Time = GetTickDateTimeFromString(createTime);
qcOrder.Quantity = units;
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(id);
var orderByBrokerageId = OrderProvider.GetOrderByBrokerageId(id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
var gtdTime = order["gtdTime"];
if (gtdTime != null)
{
var expiry = GetTickDateTimeFromString(gtdTime.ToString());
qcOrder.Properties.TimeInForce = TimeInForce.GoodTilDate(expiry);
}
return(qcOrder);
}
/// <summary>
/// Converts the specified Oanda order into a qc order.
/// The 'task' will have a value if we needed to issue a rest call for the stop price, otherwise it will be null
/// </summary>
private Order ConvertOrder(RestV1.DataType.Order order)
{
Order qcOrder;
switch (order.type)
{
case "limit":
qcOrder = new LimitOrder();
if (order.side == "buy")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "stop":
qcOrder = new StopLimitOrder();
if (order.side == "buy")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "marketIfTouched":
//when market reaches the price sell at market.
qcOrder = new StopMarketOrder {
Price = Convert.ToDecimal(order.price), StopPrice = Convert.ToDecimal(order.price)
};
break;
case "market":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + order.type + " is not supported.");
}
var securityType = SymbolMapper.GetBrokerageSecurityType(order.instrument);
qcOrder.Symbol = SymbolMapper.GetLeanSymbol(order.instrument, securityType, Market.Oanda);
qcOrder.Quantity = ConvertQuantity(order);
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(order.id.ToString());
var orderByBrokerageId = OrderProvider.GetOrderByBrokerageId(order.id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
var expiry = XmlConvert.ToDateTime(order.expiry, XmlDateTimeSerializationMode.Utc);
qcOrder.Properties.TimeInForce = TimeInForce.GoodTilDate(expiry);
qcOrder.Time = XmlConvert.ToDateTime(order.time, XmlDateTimeSerializationMode.Utc);
return(qcOrder);
}
/// <summary>
/// Converts an Oanda order into a LEAN order.
/// </summary>
private Order ConvertOrder(JToken order)
{
var type = order["type"].ToString();
var instrument = order["instrument"].ToString();
var id = order["id"].ToString();
var units = Convert.ToInt32(order["units"]);
var createTime = order["createTime"].ToString();
Order qcOrder;
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
{
LimitPrice = limitOrder.Price.ToDecimal()
};
break;
case "STOP":
var stopLimitOrder = order.ToObject <StopOrder>();
qcOrder = new StopLimitOrder
{
Price = Convert.ToDecimal(stopLimitOrder.Price),
LimitPrice = Convert.ToDecimal(stopLimitOrder.PriceBound)
};
break;
case "MARKET":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + type + " is not supported.");
}
var securityType = SymbolMapper.GetBrokerageSecurityType(instrument);
qcOrder.Symbol = SymbolMapper.GetLeanSymbol(instrument, securityType, Market.Oanda);
qcOrder.Time = GetTickDateTimeFromString(createTime);
qcOrder.Quantity = units;
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(id);
var orderByBrokerageId = OrderProvider.GetOrderByBrokerageId(id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
var gtdTime = order["gtdTime"];
if (gtdTime != null)
{
qcOrder.Duration = OrderDuration.Custom;
qcOrder.DurationValue = GetTickDateTimeFromString(gtdTime.ToString());
}
return(qcOrder);
}
