Commit Graph

2 Commits

Author SHA1 Message Date
Jhonathan Abreu 906ab20bee Trailing stop orders (#7402)
* Add trailing stop orders base implementation

* Handle trailing stop order prices rounding

* Implement trailing stop orders fill logic

* Minor fill model changes

* Add ApplySplit to fill model interface for models that might need to be aware of splits.

Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted.

* Add brokerage order updated event for communicating certain order types prices changes

* Add order update event args class for brokerage side order updates

* Revert IFillModel.ApplySplit

* Add trailing stop orders regression algorithm

* Updated order ticket demo algorithm to include trailing stop orders

* Some cleanup

* Support trailing stop orders in IB brokerage model

* Some cleanup

* Fix failing tests

* Fix failing regression algorithm

* Address peer review

* Add trailing stop price calculation unit tests

* Minor changes

* Minor change
2023-07-28 17:49:58 -04:00
Ricardo Andrés Marino Rojas 7f6da62e5d Add TriggerPrice field when applying a split (#7279)
* Add TriggerPrice field when applying a split

If one stock is split in k parts, the new TriggerPrice in an order for that stock should be also scaled by a factor of k/10. It was made:
- Modify `DefaultBrokerageModel.ApplySplit()` to adjust `TriggerPrice` field
- Regression and unit test was added

* Check Limit Price for LimitIfTouched

* Nit change
2023-05-30 13:36:49 -03:00