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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
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Co-authored-by: arthiondaena <arthiondaena@gmail.com>
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* Add forward data only fill model example
- Add forward data only custom fill model C# & PY example.
- Minor adjustment for 'MarketOrderFillTimeout' to be zero always in
backtesting
* Address reviews
* Feature combo orders
- Add support for combo orders
* Make fill model wait for all grouped orders to emit fills
* Add ComboFill to model multiple fills for combo orders
* Fill combo limit orders
Add some regression algorithms
* Add fill implementation for combo leg limit orders
* Add IFill as common interface for Fill and ComboFill
* Refactor combo orders removing IGroupOrder interface
Move the group order manager to the base Order class
* Update algorithms
* Handle combo order events atomically
* Refactor brokerage transaction event handler
* Refactor combo fill models
* Process fills in batch
* Combo orders fill model tests
* Combo leg limit orders algorithm
* Regression algorithms cleanup
* Fill and combo fill classes cleanup
* Housekeeping
* Refactor equity fill model to derive from base fill model
* Address review changes request
* Handling the new types of orders in the OrderJsonConverter
* Add regression algorithm to test combo orders update/cancel
* Add regression algorithm to test combo orders update/cancel
* Housekeeping
* Address review changes request
* Minor changes
* Security transaction handler method for setting order request id
* Extend public interface for placing combo orders
* Combo order tickets demo algorithm python version
* Tweaks and updates
* Minor fixes
* Minor changes
* Minor fixes
* Address reviews minor fixes
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Filter out small orders based on Setting
- BuyingPowerModel will filter out small orders based on algorithm
setting, a % of PTV, instead of hard coded 1 share value. Addin unit
and regression tests
- Updating regression algorithms to use new setting, reduce order trades
* Update regression algorithms
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
The `NullReferenceException` type is intended to only be thrown by the CLR.
In most cases, it should be converted to an `ArgumentException` or an
`InvalidOperationException`, depending on if the null value is a parameter
to the current method or not.
The `Exception` type should never really be thrown as it doesn't provide any
additional information or hints as to the issue. It also forces users that
would like to handle expected exceptions to catch all exceptions. These are
converted to an exception type that more accurately describes the reason for
raising the exception: `KeyNotFoundException`, `InvalidOperationException`
- `SecurityTransactionManager.TransactionRecord` will now be thread safe.
`SecurityTransactionManager` will internally wrap usage of `TransactionRecord` with
a lock.
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes#1043
1. Made sure we treat properly option expiration dates before Feb 2015 and after. Added tests.
2. Refactored expiration delisting, assignments/option exercise to happen in the end of the date, not MOC orders in the beginning of the day. Regression test.
3. Refactored option exercise model to generate proper fills on assignments/option. Those fills are reflected correctly in margins, in stats and correspond to IB model. Still need to run IB real-life live tests.
4. Refactored option symbol related functions into separate module (OptionSymbol.cs)
5. Made sure OnAssignmentEvent arrived to the user algo in regression test. Do we need OnExercise event? Not sure.
6. Tested end-to-end Ray's current code (covered call strat) to see short option legs expire worthless, and stats updated.
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
Jhonathan Abreu