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Jhonathan Abreu b54281b262 Combo orders (#6813)
* Feature combo orders

- Add support for combo orders

* Make fill model wait for all grouped orders to emit fills

* Add ComboFill to model multiple fills for combo orders

* Fill combo limit orders

Add some regression algorithms

* Add fill implementation for combo leg limit orders

* Add IFill as common interface for Fill and ComboFill

* Refactor combo orders removing IGroupOrder interface

Move the group order manager to the base Order class

* Update algorithms

* Handle combo order events atomically

* Refactor brokerage transaction event handler

* Refactor combo fill models

* Process fills in batch

* Combo orders fill model tests

* Combo leg limit orders algorithm

* Regression algorithms cleanup

* Fill and combo fill classes cleanup

* Housekeeping

* Refactor equity fill model to derive from base fill model

* Address review changes request

* Handling the new types of orders in the OrderJsonConverter

* Add regression algorithm to test combo orders update/cancel

* Add regression algorithm to test combo orders update/cancel

* Housekeeping

* Address review changes request

* Minor changes

* Security transaction handler method for setting order request id

* Extend public interface for placing combo orders

* Combo order tickets demo algorithm python version

* Tweaks and updates

* Minor fixes

* Minor changes

* Minor fixes

* Address reviews minor fixes

* Minor fixes

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2023-01-06 17:58:43 -03:00
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