Jhonathan Abreu
906ab20bee
* Add trailing stop orders base implementation * Handle trailing stop order prices rounding * Implement trailing stop orders fill logic * Minor fill model changes * Add ApplySplit to fill model interface for models that might need to be aware of splits. Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted. * Add brokerage order updated event for communicating certain order types prices changes * Add order update event args class for brokerage side order updates * Revert IFillModel.ApplySplit * Add trailing stop orders regression algorithm * Updated order ticket demo algorithm to include trailing stop orders * Some cleanup * Support trailing stop orders in IB brokerage model * Some cleanup * Fix failing tests * Fix failing regression algorithm * Address peer review * Add trailing stop price calculation unit tests * Minor changes * Minor change
54 lines
1.7 KiB
C#
54 lines
1.7 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.
|
|
*/
|
|
|
|
namespace QuantConnect.Orders
|
|
{
|
|
/// <summary>
|
|
/// Specifies the data in an order to be updated
|
|
/// </summary>
|
|
public class UpdateOrderFields
|
|
{
|
|
/// <summary>
|
|
/// Specify to update the quantity of the order
|
|
/// </summary>
|
|
public decimal? Quantity { get; set; }
|
|
|
|
/// <summary>
|
|
/// Specify to update the limit price of the order
|
|
/// </summary>
|
|
public decimal? LimitPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// Specify to update the stop price of the order
|
|
/// </summary>
|
|
public decimal? StopPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// Specify to update the trigger price of the order
|
|
/// </summary>
|
|
public decimal? TriggerPrice { get; set; }
|
|
|
|
/// <summary>
|
|
/// The trailing stop order trailing amount
|
|
/// </summary>
|
|
public decimal? TrailingAmount { get; set; }
|
|
|
|
/// <summary>
|
|
/// Specify to update the order's tag
|
|
/// </summary>
|
|
public string Tag { get; set; }
|
|
}
|
|
}
|