Stefano Raggi
96 lines
3.0 KiB
C#
96 lines
3.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// The purpose of this class is to store time and price information
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/// available at the time an order was submitted.
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/// </summary>
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public class OrderSubmissionData
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{
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/// <summary>
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/// The bid price at order submission time
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/// </summary>
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public decimal BidPrice { get; }
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/// <summary>
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/// The ask price at order submission time
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/// </summary>
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public decimal AskPrice { get; }
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/// <summary>
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/// The current price at order submission time
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/// </summary>
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public decimal LastPrice { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="OrderSubmissionData"/> class
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/// </summary>
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public OrderSubmissionData(IBaseData lastData)
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{
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if (lastData == null)
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{
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return;
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}
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var tick = lastData as Tick;
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if (tick != null)
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{
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LastPrice = tick.Value;
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BidPrice = tick.BidPrice;
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AskPrice = tick.AskPrice;
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return;
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}
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var quoteBar = lastData as QuoteBar;
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if (quoteBar != null)
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{
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LastPrice = quoteBar.Close;
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BidPrice = quoteBar.Bid?.Close ?? lastData.Value;
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AskPrice = quoteBar.Ask?.Close ?? lastData.Value;
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}
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else
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{
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LastPrice = lastData.Value;
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BidPrice = lastData.Value;
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AskPrice = lastData.Value;
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="OrderSubmissionData"/> class
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/// </summary>
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/// <remarks>This method is currently only used for testing.</remarks>
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public OrderSubmissionData(decimal bidPrice, decimal askPrice, decimal lastPrice)
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{
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BidPrice = bidPrice;
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AskPrice = askPrice;
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LastPrice = lastPrice;
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}
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/// <summary>
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/// Return a new instance clone of this object
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/// </summary>
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public OrderSubmissionData Clone()
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{
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return (OrderSubmissionData)MemberwiseClone();
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}
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}
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}
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