Stefano Raggi
a616bdbea2
The market fill warning introduced in #2869 was considering any price older than the fill time as stale (even if only a few seconds older), causing many false alerts. This is being changed now by adding a new configurable algorithm setting: StalePriceTimeSpan (with a default value of one hour).
67 lines
2.4 KiB
C#
67 lines
2.4 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 System;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders.Fills
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{
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/// <summary>
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/// Defines the parameters for the <see cref="IFillModel"/> method
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/// </summary>
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public class FillModelParameters
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{
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/// <summary>
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/// Gets the <see cref="Security"/>
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// Gets the <see cref="Order"/>
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/// </summary>
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public Order Order { get; }
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/// <summary>
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/// Gets the <see cref="SubscriptionDataConfig"/> provider
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/// </summary>
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public ISubscriptionDataConfigProvider ConfigProvider { get; }
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/// <summary>
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/// Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
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/// </summary>
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public TimeSpan StalePriceTimeSpan { get; }
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="security">Security asset we're filling</param>
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/// <param name="order">Order packet to model</param>
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/// <param name="configProvider">The <see cref="ISubscriptionDataConfigProvider"/> to use</param>
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/// <param name="stalePriceTimeSpan">The minimum time span elapsed to consider a fill price as stale</param>
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public FillModelParameters(
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Security security,
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Order order,
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ISubscriptionDataConfigProvider configProvider,
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TimeSpan stalePriceTimeSpan)
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{
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Security = security;
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Order = order;
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ConfigProvider = configProvider;
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StalePriceTimeSpan = stalePriceTimeSpan;
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}
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}
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} |