Add TimeInForceAlgorithm regression tests

Algorithm.Python/TimeInForceAlgorithm.py

@@ -0,0 +1,70 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Orders import *
+
+### <summary>
+### Demonstration algorithm of time in force order settings.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="trading and orders" />
+class TimeInForceAlgorithm(QCAlgorithm):
+
+    # Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+    def Initialize(self):
+
+        self.SetStartDate(2013,10,7)
+        self.SetEndDate(2013,10,11)
+        self.SetCash(100000)
+
+        # The default time in force setting for all orders is GoodTilCancelled (GTC),
+        # uncomment this line to set a different time in force.
+        # We currently only support GTC and DAY.
+        # self.DefaultOrderProperties.TimeInForce = TimeInForce.Day;
+
+        self.symbol = self.AddEquity("SPY", Resolution.Second).Symbol
+
+        self.gtcOrderTicket = None
+        self.dayOrderTicket = None
+
+    # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+    # Arguments:
+    #    data: Slice object keyed by symbol containing the stock data
+    def OnData(self, data):
+
+        if self.gtcOrderTicket is None:
+            # This order has a default time in force of GoodTilCancelled,
+            # it will never expire and will not be cancelled automatically.
+
+            self.gtcOrderTicket = self.LimitOrder(self.symbol, 10, 160)
+
+        if self.dayOrderTicket is None:
+            # This order will expire at market close,
+            # if not filled by then it will be cancelled automatically.
+
+            self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
+            self.dayOrderTicket = self.LimitOrder(self.symbol, 10, 160)
+
+    # Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
+    # This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
+    def OnOrderEvent(self, orderEvent):
+        self.Debug(f"{self.Time} {orderEvent}")