QuantConnect Server Applications
d4ca27f93f
Co-authored-by: Python Stubs Deployer <stubs-deploy@quantconnect.com>
339 lines
12 KiB
Python
339 lines
12 KiB
Python
from .____init___2 import *
|
|
import typing
|
|
import System.Threading
|
|
import System
|
|
import QuantConnect.Securities
|
|
import QuantConnect.Orders.Serialization
|
|
import QuantConnect.Orders.Fees
|
|
import QuantConnect.Orders
|
|
import QuantConnect.Interfaces
|
|
import QuantConnect.Algorithm.Framework.Portfolio
|
|
import QuantConnect
|
|
import Newtonsoft.Json.Linq
|
|
import Newtonsoft.Json
|
|
import datetime
|
|
|
|
|
|
|
|
class OrderExtensions(System.object):
|
|
""" Provides extension methods for the QuantConnect.Orders.Order class and for the QuantConnect.Orders.OrderStatus enumeration """
|
|
@staticmethod
|
|
def IsClosed(status: QuantConnect.Orders.OrderStatus) -> bool:
|
|
pass
|
|
|
|
@staticmethod
|
|
def IsFill(status: QuantConnect.Orders.OrderStatus) -> bool:
|
|
pass
|
|
|
|
@staticmethod
|
|
def IsLimitOrder(orderType: QuantConnect.Orders.OrderType) -> bool:
|
|
pass
|
|
|
|
@staticmethod
|
|
def IsOpen(status: QuantConnect.Orders.OrderStatus) -> bool:
|
|
pass
|
|
|
|
@staticmethod
|
|
def IsStopOrder(orderType: QuantConnect.Orders.OrderType) -> bool:
|
|
pass
|
|
|
|
__all__: list
|
|
|
|
|
|
class OrderField(System.Enum, System.IConvertible, System.IFormattable, System.IComparable):
|
|
"""
|
|
Specifies an order field that does not apply to all order types
|
|
|
|
enum OrderField, values: LimitPrice (0), StopPrice (1)
|
|
"""
|
|
value__: int
|
|
LimitPrice: 'OrderField'
|
|
StopPrice: 'OrderField'
|
|
|
|
|
|
class OrderJsonConverter(Newtonsoft.Json.JsonConverter):
|
|
"""
|
|
Provides an implementation of Newtonsoft.Json.JsonConverter that can deserialize Orders
|
|
|
|
OrderJsonConverter()
|
|
"""
|
|
def CanConvert(self, objectType: type) -> bool:
|
|
pass
|
|
|
|
@staticmethod
|
|
def CreateOrderFromJObject(jObject: Newtonsoft.Json.Linq.JObject) -> QuantConnect.Orders.Order:
|
|
pass
|
|
|
|
def ReadJson(self, reader: Newtonsoft.Json.JsonReader, objectType: type, existingValue: object, serializer: Newtonsoft.Json.JsonSerializer) -> object:
|
|
pass
|
|
|
|
def WriteJson(self, writer: Newtonsoft.Json.JsonWriter, value: object, serializer: Newtonsoft.Json.JsonSerializer) -> None:
|
|
pass
|
|
|
|
CanWrite: bool
|
|
|
|
|
|
|
|
class OrderRequestStatus(System.Enum, System.IConvertible, System.IFormattable, System.IComparable):
|
|
"""
|
|
Specifies the status of a request
|
|
|
|
enum OrderRequestStatus, values: Error (3), Processed (2), Processing (1), Unprocessed (0)
|
|
"""
|
|
value__: int
|
|
Error: 'OrderRequestStatus'
|
|
Processed: 'OrderRequestStatus'
|
|
Processing: 'OrderRequestStatus'
|
|
Unprocessed: 'OrderRequestStatus'
|
|
|
|
|
|
class OrderRequestType(System.Enum, System.IConvertible, System.IFormattable, System.IComparable):
|
|
"""
|
|
Specifies the type of QuantConnect.Orders.OrderRequest
|
|
|
|
enum OrderRequestType, values: Cancel (2), Submit (0), Update (1)
|
|
"""
|
|
value__: int
|
|
Cancel: 'OrderRequestType'
|
|
Submit: 'OrderRequestType'
|
|
Update: 'OrderRequestType'
|
|
|
|
|
|
class OrderResponse(System.object):
|
|
"""
|
|
Represents a response to an QuantConnect.Orders.OrderRequest. See QuantConnect.Orders.OrderRequest.Response property for
|
|
a specific request's response value
|
|
"""
|
|
@staticmethod
|
|
def Error(request: QuantConnect.Orders.OrderRequest, errorCode: QuantConnect.Orders.OrderResponseErrorCode, errorMessage: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
@staticmethod
|
|
def InvalidStatus(request: QuantConnect.Orders.OrderRequest, order: QuantConnect.Orders.Order) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
@staticmethod
|
|
def Success(request: QuantConnect.Orders.OrderRequest) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def ToString(self) -> str:
|
|
pass
|
|
|
|
@staticmethod
|
|
def UnableToFindOrder(request: QuantConnect.Orders.OrderRequest) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
@staticmethod
|
|
def WarmingUp(request: QuantConnect.Orders.OrderRequest) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
@staticmethod
|
|
def ZeroQuantity(request: QuantConnect.Orders.OrderRequest) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
ErrorCode: QuantConnect.Orders.OrderResponseErrorCode
|
|
|
|
ErrorMessage: str
|
|
|
|
IsError: bool
|
|
|
|
IsProcessed: bool
|
|
|
|
IsSuccess: bool
|
|
|
|
OrderId: int
|
|
|
|
|
|
Unprocessed: 'OrderResponse'
|
|
|
|
|
|
class OrderResponseErrorCode(System.Enum, System.IConvertible, System.IFormattable, System.IComparable):
|
|
"""
|
|
Error detail code
|
|
|
|
enum OrderResponseErrorCode, values: AlgorithmWarmingUp (-24), BrokerageFailedToCancelOrder (-8), BrokerageFailedToSubmitOrder (-5), BrokerageFailedToUpdateOrder (-6), BrokerageHandlerRefusedToUpdateOrder (-7), BrokerageModelRefusedToSubmitOrder (-4), BrokerageModelRefusedToUpdateOrder (-25), ConversionRateZero (-27), ExceededMaximumOrders (-20), ExchangeNotOpen (-15), ForexBaseAndQuoteCurrenciesRequired (-17), ForexConversionRateZero (-18), InsufficientBuyingPower (-3), InvalidOrderStatus (-9), InvalidRequest (-22), MarketOnCloseOrderTooLate (-21), MissingSecurity (-14), None (0), NonExercisableSecurity (-29), NonTradableSecurity (-28), OrderAlreadyExists (-2), OrderQuantityLessThanLoteSize (-30), OrderQuantityZero (-11), PreOrderChecksError (-13), ProcessingError (-1), QuoteCurrencyRequired (-26), RequestCanceled (-23), SecurityHasNoData (-19), SecurityPriceZero (-16), UnableToFindOrder (-10), UnsupportedRequestType (-12)
|
|
"""
|
|
value__: int
|
|
AlgorithmWarmingUp: 'OrderResponseErrorCode'
|
|
BrokerageFailedToCancelOrder: 'OrderResponseErrorCode'
|
|
BrokerageFailedToSubmitOrder: 'OrderResponseErrorCode'
|
|
BrokerageFailedToUpdateOrder: 'OrderResponseErrorCode'
|
|
BrokerageHandlerRefusedToUpdateOrder: 'OrderResponseErrorCode'
|
|
BrokerageModelRefusedToSubmitOrder: 'OrderResponseErrorCode'
|
|
BrokerageModelRefusedToUpdateOrder: 'OrderResponseErrorCode'
|
|
ConversionRateZero: 'OrderResponseErrorCode'
|
|
ExceededMaximumOrders: 'OrderResponseErrorCode'
|
|
ExchangeNotOpen: 'OrderResponseErrorCode'
|
|
ForexBaseAndQuoteCurrenciesRequired: 'OrderResponseErrorCode'
|
|
ForexConversionRateZero: 'OrderResponseErrorCode'
|
|
InsufficientBuyingPower: 'OrderResponseErrorCode'
|
|
InvalidOrderStatus: 'OrderResponseErrorCode'
|
|
InvalidRequest: 'OrderResponseErrorCode'
|
|
MarketOnCloseOrderTooLate: 'OrderResponseErrorCode'
|
|
MissingSecurity: 'OrderResponseErrorCode'
|
|
NonExercisableSecurity: 'OrderResponseErrorCode'
|
|
NonTradableSecurity: 'OrderResponseErrorCode'
|
|
OrderAlreadyExists: 'OrderResponseErrorCode'
|
|
OrderQuantityLessThanLoteSize: 'OrderResponseErrorCode'
|
|
OrderQuantityZero: 'OrderResponseErrorCode'
|
|
PreOrderChecksError: 'OrderResponseErrorCode'
|
|
ProcessingError: 'OrderResponseErrorCode'
|
|
QuoteCurrencyRequired: 'OrderResponseErrorCode'
|
|
RequestCanceled: 'OrderResponseErrorCode'
|
|
SecurityHasNoData: 'OrderResponseErrorCode'
|
|
SecurityPriceZero: 'OrderResponseErrorCode'
|
|
UnableToFindOrder: 'OrderResponseErrorCode'
|
|
UnsupportedRequestType: 'OrderResponseErrorCode'
|
|
None_: 'OrderResponseErrorCode'
|
|
|
|
|
|
class OrderSizing(System.object):
|
|
""" Provides methods for computing a maximum order size. """
|
|
@staticmethod
|
|
def AdjustByLotSize(security: QuantConnect.Securities.Security, quantity: float) -> float:
|
|
pass
|
|
|
|
@staticmethod
|
|
def GetOrderSizeForMaximumValue(security: QuantConnect.Securities.Security, maximumOrderValueInAccountCurrency: float, desiredOrderSize: float) -> float:
|
|
pass
|
|
|
|
@staticmethod
|
|
def GetOrderSizeForPercentVolume(security: QuantConnect.Securities.Security, maximumPercentCurrentVolume: float, desiredOrderSize: float) -> float:
|
|
pass
|
|
|
|
@staticmethod
|
|
def GetUnorderedQuantity(algorithm: QuantConnect.Interfaces.IAlgorithm, target: QuantConnect.Algorithm.Framework.Portfolio.IPortfolioTarget) -> float:
|
|
pass
|
|
|
|
__all__: list
|
|
|
|
|
|
class OrderStatus(System.Enum, System.IConvertible, System.IFormattable, System.IComparable):
|
|
"""
|
|
Fill status of the order class.
|
|
|
|
enum OrderStatus, values: Canceled (5), CancelPending (8), Filled (3), Invalid (7), New (0), None (6), PartiallyFilled (2), Submitted (1), UpdateSubmitted (9)
|
|
"""
|
|
value__: int
|
|
Canceled: 'OrderStatus'
|
|
CancelPending: 'OrderStatus'
|
|
Filled: 'OrderStatus'
|
|
Invalid: 'OrderStatus'
|
|
New: 'OrderStatus'
|
|
PartiallyFilled: 'OrderStatus'
|
|
Submitted: 'OrderStatus'
|
|
UpdateSubmitted: 'OrderStatus'
|
|
None_: 'OrderStatus'
|
|
|
|
|
|
class OrderSubmissionData(System.object):
|
|
"""
|
|
The purpose of this class is to store time and price information
|
|
available at the time an order was submitted.
|
|
|
|
OrderSubmissionData(bidPrice: Decimal, askPrice: Decimal, lastPrice: Decimal)
|
|
"""
|
|
def Clone(self) -> QuantConnect.Orders.OrderSubmissionData:
|
|
pass
|
|
|
|
def __init__(self, bidPrice: float, askPrice: float, lastPrice: float) -> QuantConnect.Orders.OrderSubmissionData:
|
|
pass
|
|
|
|
AskPrice: float
|
|
|
|
BidPrice: float
|
|
|
|
LastPrice: float
|
|
|
|
|
|
|
|
class OrderTicket(System.object):
|
|
"""
|
|
Provides a single reference to an order for the algorithm to maintain. As the order gets
|
|
updated this ticket will also get updated
|
|
|
|
OrderTicket(transactionManager: SecurityTransactionManager, submitRequest: SubmitOrderRequest)
|
|
"""
|
|
def Cancel(self, tag: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def Get(self, field: QuantConnect.Orders.OrderField) -> float:
|
|
pass
|
|
|
|
def GetMostRecentOrderRequest(self) -> QuantConnect.Orders.OrderRequest:
|
|
pass
|
|
|
|
def GetMostRecentOrderResponse(self) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
@staticmethod
|
|
def InvalidCancelOrderId(transactionManager: QuantConnect.Securities.SecurityTransactionManager, request: QuantConnect.Orders.CancelOrderRequest) -> QuantConnect.Orders.OrderTicket:
|
|
pass
|
|
|
|
@staticmethod
|
|
def InvalidSubmitRequest(transactionManager: QuantConnect.Securities.SecurityTransactionManager, request: QuantConnect.Orders.SubmitOrderRequest, response: QuantConnect.Orders.OrderResponse) -> QuantConnect.Orders.OrderTicket:
|
|
pass
|
|
|
|
@staticmethod
|
|
def InvalidUpdateOrderId(transactionManager: QuantConnect.Securities.SecurityTransactionManager, request: QuantConnect.Orders.UpdateOrderRequest) -> QuantConnect.Orders.OrderTicket:
|
|
pass
|
|
|
|
@staticmethod
|
|
def InvalidWarmingUp(transactionManager: QuantConnect.Securities.SecurityTransactionManager, submit: QuantConnect.Orders.SubmitOrderRequest) -> QuantConnect.Orders.OrderTicket:
|
|
pass
|
|
|
|
def ToString(self) -> str:
|
|
pass
|
|
|
|
def Update(self, fields: QuantConnect.Orders.UpdateOrderFields) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def UpdateLimitPrice(self, limitPrice: float, tag: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def UpdateQuantity(self, quantity: float, tag: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def UpdateStopPrice(self, stopPrice: float, tag: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def UpdateTag(self, tag: str) -> QuantConnect.Orders.OrderResponse:
|
|
pass
|
|
|
|
def __init__(self, transactionManager: QuantConnect.Securities.SecurityTransactionManager, submitRequest: QuantConnect.Orders.SubmitOrderRequest) -> QuantConnect.Orders.OrderTicket:
|
|
pass
|
|
|
|
AverageFillPrice: float
|
|
|
|
CancelRequest: QuantConnect.Orders.CancelOrderRequest
|
|
|
|
HasOrder: bool
|
|
|
|
OrderClosed: System.Threading.WaitHandle
|
|
|
|
OrderEvents: typing.List[QuantConnect.Orders.OrderEvent]
|
|
|
|
OrderId: int
|
|
|
|
OrderSet: System.Threading.WaitHandle
|
|
|
|
OrderType: QuantConnect.Orders.OrderType
|
|
|
|
Quantity: float
|
|
|
|
QuantityFilled: float
|
|
|
|
SecurityType: QuantConnect.SecurityType
|
|
|
|
Status: QuantConnect.Orders.OrderStatus
|
|
|
|
SubmitRequest: QuantConnect.Orders.SubmitOrderRequest
|
|
|
|
Symbol: QuantConnect.Symbol
|
|
|
|
Tag: str
|
|
|
|
Time: datetime.datetime
|
|
|
|
UpdateRequests: typing.List[QuantConnect.Orders.UpdateOrderRequest]
|