Roman Yavnikov
a8b106ae3e
* feat: TryCrossPositionOrder feat: helper methods to CrossPosition * refactor: get rid CrossOrder +UTests * feat: test simulator of cross zero orders request * remove: callback from TryCrossPositionOrder rename: TryCrossPositionOrder -> TryCrossZeroPositionOrder feat: handle event of CrossZeroOrder feat: new prop in CrossZeroOrderRequest test:feat: write working test imitate of CrossZeroOrdering and assert different params * feat: temp collection to keep CrossZeroOrder with Lean * refactor: flag which indicate should we place crossZero order with LeanEvent or not * refactor: change access modifier * fix: CrossZero tests * refactor: property collection instead of variable * feat: lock context of CrossZeroOrder feat: helper method for CrossZeroCollection * refactor: test of cross brokerage ordering * refactor: CrossZero Brokerage * fix: lock area * feat: Update CrossZero Ordering refactor: CrossZeroOrders tests * feat: additional test case for CrossZeroOrdering * feat: Invalid OrderStatus when FirstPart of CrossZero ordering try to place feat: message property in CrossZeroOrderResponse refactor: CrossBrokerageTest a little bit * feat: PossibleUpdateCrossZeroOrder * refactor: UpdateCrossZeroOrder * refactor: TimeOut for resetEvent * refactor: crossZeroOrder change DateTime UtcNow on specific time refactor: change action scenario for Filled FirstPart of CrossZeroOrder * refactor: change firstPartQuantityproperty to link of FirstPartOfCrossZero order completely fix: crossZeroOrder test put orderStatus internally * feat: additional orderType in CrossZeroOrder tests * test:remove: not use GetOrderCrossesZero() * refactor: extra paddings * rename: TryGetUpdateCrossZeroOrderQuantity instead of IsPossibleUpdateCrossZeroOrder * refactor: CrossZeroOrder process and models * remove: interface ICrossZeroOrderRequest * feat: TradeStation NotSupportUpdate of CrossZeroOrder quantity * feat: add license remove: extra validation of variable * refactor: add validation of quantity update in TradeStationBrokerageModel * test:feat: canUpdate of TradeStationOrder * refactor: reuse OrderEvent when we handle FirstPartCrossZeroOrder * remove: assignment of filled quantity of FirstPartCrossZeroOrder
77 lines
2.9 KiB
C#
77 lines
2.9 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 QuantConnect.Orders;
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using System;
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namespace QuantConnect.Brokerages.CrossZero
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{
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/// <summary>
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/// Represents a first request to cross zero order.
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/// </summary>
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public class CrossZeroFirstOrderRequest
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{
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/// <summary>
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/// Gets the original lean order.
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/// </summary>
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public Order LeanOrder { get; }
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/// <summary>
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/// Gets the type of the order.
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/// </summary>
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public OrderType OrderType { get; }
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/// <summary>
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/// Gets the quantity of the order.
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/// </summary>
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public decimal OrderQuantity { get; }
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/// <summary>
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/// Gets the absolute quantity of the order.
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/// </summary>
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public decimal AbsoluteOrderQuantity => Math.Abs(OrderQuantity);
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/// <summary>
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/// Gets the current holding quantity of the order's symbol.
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/// </summary>
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public decimal OrderQuantityHolding { get; }
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/// <summary>
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/// Gets the position of the order.
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/// </summary>
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/// <value>
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/// The position of the order, which depends on the <see cref="OrderQuantityHolding"/>.
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/// </value>
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public OrderPosition OrderPosition { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="CrossZeroFirstOrderRequest"/> struct.
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/// </summary>
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/// <param name="leanOrder">The lean order.</param>
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/// <param name="orderType">The type of the order.</param>
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/// <param name="orderQuantity">The quantity of the order.</param>
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/// <param name="orderQuantityHolding">The current holding quantity of the order's symbol.</param>
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/// <param name="orderPosition">The position of the order, which depends on the <paramref name="orderQuantityHolding"/>.</param>
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public CrossZeroFirstOrderRequest(Order leanOrder, OrderType orderType, decimal orderQuantity, decimal orderQuantityHolding, OrderPosition orderPosition)
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{
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LeanOrder = leanOrder;
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OrderType = orderType;
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OrderQuantity = orderQuantity;
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OrderPosition = orderPosition;
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OrderQuantityHolding = orderQuantityHolding;
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}
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}
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}
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