Ronit Jain
0d882b8201
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* handle multiple command files * remove default useage * add tests for verify files are read in order * add comment * change reuslt file name * add comment * liquidate using given symbol values * remove redundant * accept ticker, market, security type to build symbol, to be used by CLI commands * use null leverage * symbol can be null if ticker, market, security type values are provided * reject the default value of security type * cleanup * cleanup * check if status is not invalid * cleanup * abstraction to remove duplication * fix name * address reviews * use counter * add test to validate symbol/ticker agrumnets * remove hardcoded values
111 lines
4.0 KiB
C#
111 lines
4.0 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Commands
|
|
{
|
|
/// <summary>
|
|
/// Represents a command to submit an order to the algorithm
|
|
/// </summary>
|
|
public class OrderCommand : BaseCommand
|
|
{
|
|
/// <summary>
|
|
/// Gets or sets the symbol to be ordered
|
|
/// </summary>
|
|
public Symbol Symbol { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the string ticker symbol
|
|
/// </summary>
|
|
public string Ticker { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the security type of the ticker.
|
|
/// </summary>
|
|
public SecurityType SecurityType { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the market the ticker resides in
|
|
/// </summary>
|
|
public string Market { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the order type to be submted
|
|
/// </summary>
|
|
public OrderType OrderType { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the number of units to be ordered (directional)
|
|
/// </summary>
|
|
public decimal Quantity { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the limit price. Only applies to <see cref="QuantConnect.Orders.OrderType.Limit"/> and <see cref="QuantConnect.Orders.OrderType.StopLimit"/>
|
|
/// </summary>
|
|
public decimal LimitPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets the stop price. Only applies to <see cref="QuantConnect.Orders.OrderType.StopLimit"/> and <see cref="QuantConnect.Orders.OrderType.StopMarket"/>
|
|
/// </summary>
|
|
public decimal StopPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets or sets an arbitrary tag to be attached to the order
|
|
/// </summary>
|
|
public string Tag { get; set; }
|
|
|
|
/// <summary>
|
|
/// Runs this command against the specified algorithm instance
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm to run this command against</param>
|
|
public override CommandResultPacket Run(IAlgorithm algorithm)
|
|
{
|
|
Symbol = GetSymbol(Ticker, SecurityType, Market, Symbol);
|
|
var request = new SubmitOrderRequest(OrderType, Symbol.SecurityType, Symbol, Quantity, StopPrice, LimitPrice, DateTime.UtcNow, Tag);
|
|
var ticket = algorithm.Transactions.ProcessRequest(request);
|
|
var response = ticket.GetMostRecentOrderResponse();
|
|
var message = $"{OrderType} for {Quantity} units of {Symbol}: {response}";
|
|
|
|
if (response.IsSuccess)
|
|
{
|
|
algorithm.Debug(message);
|
|
}
|
|
else
|
|
{
|
|
algorithm.Error(message);
|
|
}
|
|
|
|
return new CommandResultPacket(this, response.IsSuccess);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns a string that represents the current object.
|
|
/// </summary>
|
|
/// <returns>
|
|
/// A string that represents the current object.
|
|
/// </returns>
|
|
/// <filterpriority>2</filterpriority>
|
|
public override string ToString()
|
|
{
|
|
Symbol = GetSymbol(Ticker, SecurityType, Market, Symbol);
|
|
// delegate to the order request
|
|
return new SubmitOrderRequest(OrderType, Symbol.SecurityType, Symbol, Quantity, StopPrice, LimitPrice, DateTime.UtcNow, Tag).ToString();
|
|
}
|
|
}
|
|
}
|