/* * 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. */ using System; using QuantConnect.Brokerages; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Interfaces; namespace QuantConnect.Algorithm.CSharp { /// /// Algorithm demonstrating how to setup a custom brokerage message handler. Using the custom messaging /// handler you can ensure your algorithm continues operation through connection failures. /// /// /// public class CustomBrokerageErrorHandlerAlgorithm : QCAlgorithm { public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); AddSecurity(SecurityType.Equity, "SPY"); //Set the brokerage message handler: SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this)); } public override void OnData(Slice slice) { if (Portfolio.HoldStock) return; Order("SPY", 100); Debug("Purchased SPY on " + Time.ToShortDateString()); } } /// /// Handle the error messages in a custom manner /// public class CustomBrokerageMessageHandler : IBrokerageMessageHandler { private readonly IAlgorithm _algo; public CustomBrokerageMessageHandler(IAlgorithm algo) { _algo = algo; } /// /// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required. /// /// Message object public void HandleMessage(BrokerageMessageEvent message) { var toLog = $"{_algo.Time.ToStringInvariant("o")} Event: {message.Message}"; _algo.Debug(toLog); _algo.Log(toLog); } /// /// Handles a new order placed manually in the brokerage side /// /// The new order event /// Whether the order should be added to the transaction handler public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs) { return true; } } }