C# Orders.LimitOrder類代碼示例

        public void ClientCancelsLimitOrder()
        {
            var orderedResetEvent = new ManualResetEvent(false);
            var canceledResetEvent = new ManualResetEvent(false);

            var ib = _interactiveBrokersBrokerage;

            ib.OrderStatusChanged += (sender, orderEvent) =>
            {
                if (orderEvent.Status == OrderStatus.Submitted)
                {
                    orderedResetEvent.Set();
                }
                if (orderEvent.Status == OrderStatus.Canceled)
                {
                    canceledResetEvent.Set();
                }
            };

            // try to sell a single share at a ridiculous price, we'll cancel this later
            var order = new LimitOrder(Symbol, -buyQuantity, 100000, DateTime.UtcNow, null, Type);
            _orders.Add(order);
            ib.PlaceOrder(order);
            orderedResetEvent.WaitOneAssertFail(2500, "Limit order failed to be submitted.");

            Thread.Sleep(500);

            ib.CancelOrder(order);

            canceledResetEvent.WaitOneAssertFail(2500, "Canceled event did not fire.");

            var openOrders = ib.GetOpenOrders();
            var cancelledOrder = openOrders.FirstOrDefault(x => x.BrokerId.Contains(order.BrokerId[0]));
            Assert.IsNull(cancelledOrder);
        }

        public void PerformsLimitFillSell()
        {
            var model = new SecurityTransactionModel();
            var order = new LimitOrder(Symbol, -100, 101.5m, Noon, type: SecurityType.Equity);
            var config = CreateTradeBarConfig(Symbol);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
            security.SetMarketPrice(Noon, new IndicatorDataPoint(Symbol, Noon, 101m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(Noon, new TradeBar(Noon, Symbol, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

        public void PerformsLimitFillSell()
        {
            var model = new ForexTransactionModel();
            var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
            var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
            var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(new TradeBar(DateTime.Now, Symbol, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

        public void PerformsLimitFillSell()
        {
            var model = new SecurityTransactionModel();
            var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Equity);
            var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0);
            var security = new Security(config, 1);
            security.SetMarketPrice(DateTime.Now, new IndicatorDataPoint(Symbol, DateTime.Now, 101m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(DateTime.Now, new TradeBar(DateTime.Now, Symbol, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

        /// <summary>
        /// Converts an FXCM order to a QuantConnect order.
        /// </summary>
        /// <param name="fxcmOrder">The FXCM order</param>
        private Order ConvertOrder(ExecutionReport fxcmOrder)
        {
            Order order;

            if (fxcmOrder.getOrdType() == OrdTypeFactory.LIMIT)
            {
                order = new LimitOrder
                {
                    LimitPrice = Convert.ToDecimal(fxcmOrder.getPrice())
                };
            }

            else if (fxcmOrder.getOrdType() == OrdTypeFactory.MARKET)
            {
                order = new MarketOrder();
            }

            else if (fxcmOrder.getOrdType() == OrdTypeFactory.STOP)
            {
                order = new StopMarketOrder
                {
                    StopPrice = Convert.ToDecimal(fxcmOrder.getPrice())
                };
            }

            else
            {
                throw new NotSupportedException("FxcmBrokerage.ConvertOrder(): The FXCM order type " + fxcmOrder.getOrdType() + " is not supported.");
            }

            var securityType = _symbolMapper.GetBrokerageSecurityType(fxcmOrder.getInstrument().getSymbol());
            order.Symbol = _symbolMapper.GetLeanSymbol(fxcmOrder.getInstrument().getSymbol(), securityType, Market.FXCM);
            order.Quantity = Convert.ToInt32(fxcmOrder.getOrderQty() * (fxcmOrder.getSide() == SideFactory.BUY ? +1 : -1));
            order.Status = ConvertOrderStatus(fxcmOrder.getFXCMOrdStatus());
            order.BrokerId.Add(fxcmOrder.getOrderID());
            order.Duration = ConvertDuration(fxcmOrder.getTimeInForce());
            order.Time = FromJavaDate(fxcmOrder.getTransactTime().toDate());

            return order;
        }

        public void PerformsLimitFillBuy()
        {
            var model = new ForexTransactionModel();
            var security = CreateSecurity();
            var order = new LimitOrder(Symbols.USDJPY, 100, 101.5m, DateTime.Now, type: SecurityType.Forex);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, DateTime.Now, 102m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.USDJPY, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Min(order.LimitPrice, security.High), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

        public void PerformsLimitFillBuy()
        {
            var model = new SecurityTransactionModel();
            var order = new LimitOrder(Symbols.SPY, 100, 101.5m, Noon);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Min(order.LimitPrice, security.High), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

        /// <summary>
        /// Creates an order of the correct type
        /// </summary>
        private static Order CreateOrder(OrderType orderType, JObject jObject)
        {
            Order order;
            switch (orderType)
            {
                case OrderType.Market:
                    order = new MarketOrder();
                    break;

                case OrderType.Limit:
                    order = new LimitOrder {LimitPrice = jObject["LimitPrice"].Value<decimal>()};
                    break;

                case OrderType.StopMarket:
                    order = new StopMarketOrder
                    {
                        StopPrice = jObject["StopPrice"].Value<decimal>()
                    };
                    break;

                case OrderType.StopLimit:
                    order = new StopLimitOrder
                    {
                        LimitPrice = jObject["LimitPrice"].Value<decimal>(),
                        StopPrice = jObject["StopPrice"].Value<decimal>()
                    };
                    break;

                case OrderType.MarketOnOpen:
                    order = new MarketOnOpenOrder();
                    break;

                case OrderType.MarketOnClose:
                    order = new MarketOnCloseOrder();
                    break;

                default:
                    throw new ArgumentOutOfRangeException();
            }
            return order;
        }

        public void ValidateLimitOrders()
        {
            var oanda = (OandaBrokerage)Brokerage;
            var symbol = Symbol;
            var quotes = oanda.GetRates(new List<string> { new OandaSymbolMapper().GetBrokerageSymbol(symbol) });

            // Buy Limit order below market
            var limitPrice = Convert.ToDecimal(quotes[0].bid - 0.5);
            var order = new LimitOrder(symbol, 1, limitPrice, DateTime.Now);
            Assert.IsTrue(oanda.PlaceOrder(order));

            // update Buy Limit order with no changes
            Assert.IsTrue(oanda.UpdateOrder(order));

            // move Buy Limit order above market
            order.LimitPrice = Convert.ToDecimal(quotes[0].ask + 0.5);
            Assert.IsTrue(oanda.UpdateOrder(order));
        }

        /// <summary>
        /// Send a limit order to the transaction handler:
        /// </summary>
        /// <param name="symbol">String symbol for the asset</param>
        /// <param name="quantity">Quantity of shares for limit order</param>
        /// <param name="limitPrice">Limit price to fill this order</param>
        /// <param name="tag">String tag for the order (optional)</param>
        /// <returns>Order id</returns>
        public int LimitOrder(string symbol, int quantity, decimal limitPrice, string tag = "")
        {
            var error = PreOrderChecks(symbol, quantity, OrderType.Limit);
            if (error < 0)
            {
                return error;
            }

            var order = new LimitOrder(symbol, quantity, limitPrice, Time, tag, Securities[symbol].Type);

            //Add the order and create a new order Id.
            return Transactions.AddOrder(order);
        }

 /// <summary>
 /// Creates a deep-copy clone of this order
 /// </summary>
 /// <returns>A copy of this order</returns>
 public override Order Clone()
 {
     var order = new LimitOrder {LimitPrice = LimitPrice};
     CopyTo(order);
     return order;
 }

        public void GetOpenOrders()
        {
            var ib = _interactiveBrokersBrokerage;

            var orderEventFired = new ManualResetEvent(false);
            ib.OrderStatusChanged += (sender, args) =>
            {
                if (args.Status == OrderStatus.Submitted)
                {
                    orderEventFired.Set();
                }
            };

            var order = new LimitOrder(Symbols.USDJPY, buyQuantity, 0.01m, DateTime.UtcNow);
            _orders.Add(order);
            ib.PlaceOrder(order);

            orderEventFired.WaitOne(1500);

            Thread.Sleep(250);

            var openOrders = ib.GetOpenOrders();

            Assert.AreNotEqual(0, openOrders.Count);
        }

        public void ClientUpdatesLimitOrder()
        {
            int id = 0;
            var ib = _interactiveBrokersBrokerage;

            bool filled = false;
            ib.OrderStatusChanged += (sender, args) =>
            {
                if (args.Status == OrderStatus.Filled)
                {
                    filled = true;
                }
            };

            const decimal limitPrice = 10000m;
            var order = new LimitOrder(Symbols.USDJPY, -buyQuantity, limitPrice, DateTime.UtcNow) {Id = ++id};
            _orders.Add(order);
            ib.PlaceOrder(order);

            var stopwatch = Stopwatch.StartNew();
            while (!filled && stopwatch.Elapsed.TotalSeconds < 10)
            {
                //Thread.MemoryBarrier();
                Thread.Sleep(1000);
                order.LimitPrice = order.LimitPrice/2;
                ib.UpdateOrder(order);
            }

            Assert.IsTrue(filled);
        }

        public void ClientPlacesLimitOrder()
        {
            bool orderFilled = false;
            var manualResetEvent = new ManualResetEvent(false);
            var ib = _interactiveBrokersBrokerage;

            decimal price = 100m;
            decimal delta = 85.0m; // if we can't get a price then make the delta huge
            ib.OrderStatusChanged += (sender, orderEvent) =>
            {
                if (orderEvent.Status == OrderStatus.Filled)
                {
                    orderFilled = true;
                    manualResetEvent.Set();
                }
                price = orderEvent.FillPrice;
                delta = 0.02m;
            };

            // get the current market price, couldn't get RequestMarketData to fire tick events
            int id = 0;
            Order order = new MarketOrder(Symbols.USDJPY, buyQuantity, DateTime.UtcNow) { Id = ++id };
            _orders.Add(order);
            ib.PlaceOrder(order);

            manualResetEvent.WaitOne(2000);
            manualResetEvent.Reset();

            // make a box around the current price +- a little

            order = new LimitOrder(Symbols.USDJPY, buyQuantity, price - delta, DateTime.UtcNow, null) { Id = ++id };
            _orders.Add(order);
            ib.PlaceOrder(order);

            order = new LimitOrder(Symbols.USDJPY, -buyQuantity, price + delta, DateTime.UtcNow, null) { Id = ++id };
            _orders.Add(order);
            ib.PlaceOrder(order);

            manualResetEvent.WaitOne(1000);

            var orderFromIB = AssertOrderOpened(orderFilled, ib, order);
            Assert.AreEqual(OrderType.Limit, orderFromIB.Type);
        }

        /// <summary>
        /// Default limit order fill model in the base security class.
        /// </summary>
        /// <param name="asset">Security asset we're filling</param>
        /// <param name="order">Order packet to model</param>
        /// <returns>Order fill information detailing the average price and quantity filled.</returns>
        /// <seealso cref="StopMarketFill(Security, StopMarketOrder)"/>
        /// <seealso cref="MarketFill(Security, MarketOrder)"/>
        public virtual OrderEvent LimitFill(Security asset, LimitOrder order)
        {
            //Initialise;
            var utcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
            var orderFee = GetOrderFee(asset, order);
            var fill = new OrderEvent(order, utcTime, orderFee);

            try
            {
                //If its cancelled don't need anymore checks:
                if (order.Status == OrderStatus.Canceled) return fill;

                //Get the range of prices in the last bar:
                decimal minimumPrice;
                decimal maximumPrice;
                DataMinMaxPrices(asset, out minimumPrice, out maximumPrice);

                //-> Valid Live/Model Order: 
                switch (order.Direction)
                {
                    case OrderDirection.Buy:
                        //Buy limit seeks lowest price
                        if (minimumPrice < order.LimitPrice)
                        {
                            //Set order fill:
                            fill.Status = OrderStatus.Filled;
                            // fill at the worse price this bar or the limit price, this allows far out of the money limits
                            // to be executed properly
                            fill.FillPrice = Math.Min(maximumPrice, order.LimitPrice); 
                        }
                        break;
                    case OrderDirection.Sell:
                        //Sell limit seeks highest price possible
                        if (maximumPrice > order.LimitPrice)
                        {
                            fill.Status = OrderStatus.Filled;
                            // fill at the worse price this bar or the limit price, this allows far out of the money limits
                            // to be executed properly
                            fill.FillPrice = Math.Max(minimumPrice, order.LimitPrice);
                        }
                        break;
                }

                // assume the order completely filled
                if (fill.Status == OrderStatus.Filled) fill.FillQuantity = order.Quantity;
            }
            catch (Exception err)
            {
                Log.Error("SecurityTransactionModel.LimitFill(): " + err.Message);
            }

            return fill;
        }