- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
This new status is being added to solve the following problem with order cancellations:
Working orders (limit or stop) are usually cancelled by calling the OrderTicket.Cancel() method. This method is asynchronous in both backtesting and live, so reading the OrderStatus immediately after the Cancel call, can result in different values seen over different runs.
The solution introduces a new CancelPending value to the OrderStatus enum and guarantees that the order will have this status when the Cancel method returns (unless there was an error earlier, such as invalid order id). This status is meant to be temporary and will be overwritten/replaced by the Canceled value after the brokerage has completed the cancel operation.
- Updated IB fee model to support option exercise
- Added support for splits for options. Not tested on real data yet.
- Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet.
- Added option assignment functionality for short positions. Assignment event. Unit Tests.
- Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
RealTimeSynchronizedTimer now triggers based on UTC time
LiveTradingDataFeed used UTC time to add to bridge
Renamed Security.Time to Security.LocalTime to be explicit
Renamed SecurityExchange.Time to SecurityExchange.LocalTime to be explicit
QCAlgorithm order functions now return an OrderTicket
OrderTicket can be used to directly update or cancel an order
Placing an order now submits an OrderRequest which is processed by the ITransactionHandler
Stefano Raggi