Martin-Molinero
11cc062628
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* Fix limit price calculation for combo limit orders fills * Update regression algorithms * Address reviews * Fix thread race condition Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
102 lines
3.1 KiB
C#
102 lines
3.1 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 Newtonsoft.Json;
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using System.Collections.Generic;
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namespace QuantConnect.Orders
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{
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/// <summary>
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/// Manager of a group of orders
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/// </summary>
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public class GroupOrderManager
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{
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/// <summary>
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/// The unique order group Id
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/// </summary>
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public long Id { get; }
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/// <summary>
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/// The group order quantity
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/// </summary>
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public decimal Quantity { get; }
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/// <summary>
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/// The total order count associated with this order group
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/// </summary>
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public int Count { get; }
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/// <summary>
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/// The limit price associated with this order group if any
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/// </summary>
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public decimal LimitPrice { get; set; }
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/// <summary>
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/// The order Ids in this group
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/// </summary>
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/// <remarks>In live trading we process orders in a dedicated thread so we need to be thread safe</remarks>
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public HashSet<int> OrderIds { get; }
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/// <summary>
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/// Order Direction Property based off Quantity.
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/// </summary>
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public OrderDirection Direction
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{
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get
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{
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if (Quantity > 0)
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{
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return OrderDirection.Buy;
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}
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if (Quantity < 0)
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{
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return OrderDirection.Sell;
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}
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return OrderDirection.Hold;
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}
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}
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/// <summary>
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/// Get the absolute quantity for this combo order
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/// </summary>
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[JsonIgnore]
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public decimal AbsoluteQuantity => Math.Abs(Quantity);
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/// <summary>
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/// Creates a new empty instance
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/// </summary>
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public GroupOrderManager()
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{
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}
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="id">This order group unique Id</param>
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/// <param name="legCount">The order leg count</param>
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/// <param name="quantity">The group order quantity</param>
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/// <param name="limitPrice">The limit price associated with this order group if any</param>
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public GroupOrderManager(int id, int legCount, decimal quantity, decimal limitPrice = 0)
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{
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Id = id;
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Count = legCount;
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Quantity = quantity;
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LimitPrice = limitPrice;
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OrderIds = new (capacity: legCount);
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}
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}
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}
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