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    Feature 5162 - LimitIfTouched Orders (#5164)

    frostbyte_neo 发布于 2021-02-15 13:29:51 +00:00 | 2536 次提交 在此版本后已推送到 master

    • 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

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