# 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. import itertools from AlgorithmImports import * ###

### Algorithm for testing submit/update/cancel for combo orders ###

class ComboOrderTicketDemoAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 12, 24) self.SetEndDate(2015, 12, 24) self.SetCash(100000) equity = self.AddEquity("GOOG", leverage=4, fillForward=True) option = self.AddOption(equity.Symbol, fillForward=True) self._optionSymbol = option.Symbol option.SetFilter(lambda u: u.Strikes(-2, +2).Expiration(0, 180)) self._openMarketOrders = [] self._openLegLimitOrders = [] self._openLimitOrders = [] self._orderLegs = None def OnData(self, data: Slice): if self._orderLegs is None: if self.IsMarketOpen(self._optionSymbol): chain = data.OptionChains.GetValue(self._optionSymbol) if chain is not None: callContracts = [contract for contract in chain if contract.Right == OptionRight.Call] callContracts = [(key, list(group)) for key, group in itertools.groupby(callContracts, key=lambda x: x.Expiry)] callContracts.sort(key=lambda x: x[0]) callContracts = callContracts[0][1] callContracts.sort(key=lambda x: x.Strike) if len(callContracts) < 3: return quantities = [1, -2, 1] self._orderLegs = [] for i, contract in enumerate(callContracts[:3]): leg = Leg.Create(contract.Symbol, quantities[i]); self._orderLegs.append(leg) else: # COMBO MARKET ORDERS self.ComboMarketOrders() # COMBO LIMIT ORDERS self.ComboLimitOrders() # COMBO LEG LIMIT ORDERS self.ComboLegLimitOrders() def ComboMarketOrders(self): if len(self._openMarketOrders) != 0 or self._orderLegs is None: return; self.Log("Submitting combo market orders") tickets = self.ComboMarketOrder(self._orderLegs, 2, asynchronous=False) self._openMarketOrders.extend(tickets) tickets = self.ComboMarketOrder(self._orderLegs, 2, asynchronous=True) self._openMarketOrders.extend(tickets) for ticket in tickets: response = ticket.Cancel("Attempt to cancel combo market order") if response.IsSuccess: raise Exception("Combo market orders should fill instantly, they should not be cancelable in backtest mode: " + response.OrderId) def ComboLimitOrders(self): if len(self._openLimitOrders) == 0: self.Log("Submitting ComboLimitOrder") currentPrice = sum([leg.Quantity * self.Securities[leg.Symbol].Close for leg in self._orderLegs]) tickets = self.ComboLimitOrder(self._orderLegs, 2, currentPrice + 1.5) self._openLimitOrders.extend(tickets) # These won't fill, we will test cancel with this tickets = self.ComboLimitOrder(self._orderLegs, -2, currentPrice + 3) self._openLimitOrders.extend(tickets) else: combo1 = self._openLimitOrders[:len(self._orderLegs)] combo2 = self._openLimitOrders[-len(self._orderLegs):] # check if either is filled and cancel the other if self.CheckGroupOrdersForFills(combo1, combo2): return # if neither order has filled, bring in the limits by a penny ticket = combo1[0] newLimit = round(ticket.Get(OrderField.LimitPrice) + 0.01, 2) self.Debug(f"Updating limits - Combo 1 {ticket.OrderId}: {newLimit:.2f}") fields = UpdateOrderFields() fields.LimitPrice = newLimit fields.Tag = f"Update #{len(ticket.UpdateRequests) + 1}" ticket.Update(fields) ticket = combo2[0] newLimit = round(ticket.Get(OrderField.LimitPrice) - 0.01, 2) self.Debug(f"Updating limits - Combo 2 {ticket.OrderId}: {newLimit:.2f}") fields.LimitPrice = newLimit fields.Tag = f"Update #{len(ticket.UpdateRequests) + 1}" ticket.Update(fields) def ComboLegLimitOrders(self): if len(self._openLegLimitOrders) == 0: self.Log("Submitting ComboLegLimitOrder") # submit a limit order to buy 2 shares at .1% below the bar's close for leg in self._orderLegs: close = self.Securities[leg.Symbol].Close leg.OrderPrice = close * .999 tickets = self.ComboLegLimitOrder(self._orderLegs, quantity=2) self._openLegLimitOrders.extend(tickets) # submit another limit order to sell 2 shares at .1% above the bar's close for leg in self._orderLegs: close = self.Securities[leg.Symbol].Close leg.OrderPrice = close * 1.001 tickets = self.ComboLegLimitOrder(self._orderLegs, -2) self._openLegLimitOrders.extend(tickets) else: combo1 = self._openLegLimitOrders[:len(self._orderLegs)] combo2 = self._openLegLimitOrders[-len(self._orderLegs):] # check if either is filled and cancel the other if self.CheckGroupOrdersForFills(combo1, combo2): return # if neither order has filled, bring in the limits by a penny for ticket in combo1: newLimit = ticket.Get(OrderField.LimitPrice) + (1 if ticket.Quantity > 0 else -1) * 0.01 self.Debug(f"Updating limits - Combo #1: {newLimit:.2f}") fields = UpdateOrderFields() fields.LimitPrice = newLimit fields.Tag = f"Update #{len(ticket.UpdateRequests) + 1}" ticket.Update(fields) for ticket in combo2: newLimit = ticket.Get(OrderField.LimitPrice) + (1 if ticket.Quantity > 0 else -1) * 0.01 self.Debug(f"Updating limits - Combo #2: {newLimit:.2f}") fields.LimitPrice = newLimit fields.Tag = f"Update #{len(ticket.UpdateRequests) + 1}" ticket.Update(fields) def OnOrderEvent(self, orderEvent): order = self.Transactions.GetOrderById(orderEvent.OrderId) if orderEvent.Quantity == 0: raise Exception("OrderEvent quantity is Not expected to be 0, it should hold the current order Quantity") if orderEvent.Quantity != order.Quantity: raise Exception("OrderEvent quantity should hold the current order Quantity. " f"Got {orderEvent.Quantity}, expected {order.Quantity}") if order.Type == OrderType.ComboLegLimit and orderEvent.LimitPrice == 0: raise Exception("OrderEvent.LimitPrice is not expected to be 0 for ComboLegLimitOrder") def CheckGroupOrdersForFills(self, combo1, combo2): if all(x.Status == OrderStatus.Filled for x in combo1): self.Log(f"{combo1[0].OrderType}: Canceling combo #2, combo #1 is filled.") if any(OrderExtensions.IsOpen(x.Status) for x in combo2): for ticket in combo2: ticket.Cancel("Combo #1 filled.") return True if all(x.Status == OrderStatus.Filled for x in combo2): self.Log(f"{combo2[0].OrderType}: Canceling combo #1, combo #2 is filled.") if any(OrderExtensions.IsOpen(x.Status) for x in combo1): for ticket in combo1: ticket.Cancel("Combo #2 filled.") return True return False def OnEndOfAlgorithm(self): filledOrders = self.Transactions.GetOrders(lambda x: x.Status == OrderStatus.Filled).ToList() orderTickets = self.Transactions.GetOrderTickets().ToList() openOrders = self.Transactions.GetOpenOrders() openOrderTickets = self.Transactions.GetOpenOrderTickets().ToList() remainingOpenOrders = self.Transactions.GetOpenOrdersRemainingQuantity() # 6 market, 6 limit, 6 leg limit. # Out of the 6 limit orders, 3 are expected to be canceled. expectedOrdersCount = 18 expectedFillsCount = 15 if len(filledOrders) != expectedFillsCount or len(orderTickets) != expectedOrdersCount: raise Exception(f"There were expected {expectedFillsCount} filled orders and {expectedOrdersCount} order tickets, but there were {len(filledOrders)} filled orders and {len(orderTickets)} order tickets") filledComboMarketOrders = [x for x in filledOrders if x.Type == OrderType.ComboMarket] filledComboLimitOrders = [x for x in filledOrders if x.Type == OrderType.ComboLimit] filledComboLegLimitOrders = [x for x in filledOrders if x.Type == OrderType.ComboLegLimit] if len(filledComboMarketOrders) != 6 or len(filledComboLimitOrders) != 3 or len(filledComboLegLimitOrders) != 6: raise Exception("There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " f"but there were {len(filledComboMarketOrders)} filled market orders, {len(filledComboLimitOrders)} filled " f"combo limit orders and {len(filledComboLegLimitOrders)} filled combo leg limit orders") if len(openOrders) != 0 or len(openOrderTickets) != 0: raise Exception("No open orders or tickets were expected") if remainingOpenOrders != 0: raise Exception("No remaining quantity to be filled from open orders was expected")