Feature 5162 - LimitIfTouched Orders (#5164)

* Adds LimitIfTouched order. TODO: -- Add tests. -- Add into existing regression algorithms. -- Refactors (?) * Fixes - Remove unrequired space changes - Fix EquityFillModel min/max limit price fill - Add TriggerPrice for UpdateOrderRequest. Quote info used w.r.t. comparing against Limit prices for LIT FillModel.cs implementation is fixed to use quotes when comparing against set limit prices. Also changes test implementations to assert which of quotes/trade-bars are being used Reviewer-suggested fixes ------------ Merge remote-tracking branch 'origin/limiftouched' into limiftouched Styling Adds missing null check for quotebar Styling Adds missing null check for quotebar Merge remote-tracking branch 'origin/limiftouched' into limiftouched High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380 fill fixes: FillModel.cs: Fills exactly at the limit EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608 Equity fill now uses quotebars Revert - use new constructor which emulates former SubmitOrderRequest Style changes Reverts order model to original by means if new constructor High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380 fill fixes: FillModel.cs: Fills exactly at the limit EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608 Equity fill now uses quotebars Revert - use new constructor which emulates former SubmitOrderRequest Style changes Reverts order model to original by means if new constructor Merge commit 'bf4c96d2a055ea808fa4293662528c11a89b72c7' * Suggested style fixes * Review fixes ------------------- - Suggested style fixes - Changes LIT regression to better incorporate order modifications - TODO: orderlisthash must be fixed Fixed LIT regression algo ----------------------- - Includes asserts in OnOrderEvent * Fix OrderListHash OrderListHash -> -292689487 * Re-adds quote nullchecks * EquityFillModelTests fixes asserts * Reordering FillModel.cs * Fixes quote logic, adds methods in FillModel.cs * Refactoring + LIT regression fixes -- revert unneeded changes * Fixes list hash * Rebase -- catch up upstream * OrderListHash fix * Various fixes by reviewer * Final requested changes * tagged time -> utcinvariant * Fixes listorderhash * Time changed to UtcTime.ToString(DateFormat.US, CultureInfo.InvariantCulture) * Adds Python LimitIfTouchedRegressionAlgorithm * adds LimitIfTouchedRegressionAlgorithm.py * adds LimitIfTouchedRegressionAlgorithm.py * Minor changes to LIT regression algorithms Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2021-02-15 05:29:51 -08:00
parent d17fe34c74
commit 643e8754ed
33 changed files with 1477 additions and 28 deletions
@@ -0,0 +1,66 @@
+# 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 QuantConnect import *
+from QuantConnect.Orders import *
+from QuantConnect.Algorithm import *
+from collections import deque
+from datetime import timedelta
+
+
+### <summary>
+### Basic algorithm demonstrating how to place LimitIfTouched orders.
+### </summary>
+### <meta name="tag" content="trading and orders" />
+### <meta name="tag" content="placing orders" />`
+### <meta name="tag" content="limit if touched order"/>
+class LimitIfTouchedRegressionAlgorithm(QCAlgorithm):
+    _expectedEvents = deque([
+        "Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 152.8807 USD LimitPrice: 152.519 TriggerPrice: 151.769 OrderFee: 1 USD",
+        "Time: 10/10/2013 15:55:00 OrderID: 73 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 153.9225 USD LimitPrice: 153.8898 TriggerPrice: 153.1398 OrderFee: 1 USD",
+        "Time: 10/11/2013 14:02:00 OrderID: 74 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 154.9643 USD LimitPrice: 154.9317 TriggerPrice: 154.1817 OrderFee: 1 USD"
+    ])
+
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 11)
+        self.SetCash(100000)
+        self.AddEquity("SPY")
+
+    def OnData(self, data):
+        if data.ContainsKey("SPY"):
+            if len(self.Transactions.GetOpenOrders()) == 0:
+                self._negative = 1 if self.Time.day < 9 else -1
+                orderRequest = SubmitOrderRequest(OrderType.LimitIfTouched, SecurityType.Equity, "SPY",
+                                                  self._negative * 10, 0,
+                                                  data["SPY"].Price - self._negative,
+                                                  data["SPY"].Price - 0.25 * self._negative, self.UtcTime,
+                                                  f"LIT - Quantity: {self._negative * 10}")
+                self._request = self.Transactions.AddOrder(orderRequest)
+                return
+
+            if self._request is not None:
+                if self._request.Quantity == 1:
+                    self.Transactions.CancelOpenOrders()
+                    self._request = None
+                    return
+
+                new_quantity = int(self._request.Quantity - self._negative)
+                self._request.UpdateQuantity(new_quantity, f"LIT - Quantity: {new_quantity}")
+
+    def OnOrderEvent(self, orderEvent):
+        if orderEvent.Status == OrderStatus.Filled:
+            expected = self._expectedEvents.popleft()
+            if orderEvent.ToString() != expected:
+                raise Exception(f"orderEvent {orderEvent.Id} differed from {expected}")