/* * 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.Orders; using QuantConnect.Securities; using System.Collections.Generic; using QuantConnect.Orders.TimeInForces; namespace QuantConnect.Brokerages { /// /// Provides properties specific to interactive brokers /// public class InteractiveBrokersFixModel : InteractiveBrokersBrokerageModel { /// /// Supported time in force /// protected override Type[] SupportedTimeInForces { get; } = { typeof(GoodTilCanceledTimeInForce), typeof(DayTimeInForce), }; /// /// Supported order types /// protected override HashSet SupportedOrderTypes { get; } = new HashSet { OrderType.Market, OrderType.MarketOnOpen, OrderType.MarketOnClose, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.TrailingStop, OrderType.ComboMarket, OrderType.ComboLimit }; /// /// Initializes a new instance of the class /// /// The type of account to be modelled, defaults to /// public InteractiveBrokersFixModel(AccountType accountType = AccountType.Margin) : base(accountType) { } /// /// Returns true if the brokerage could accept this order. This takes into account /// order type, security type, and order size limits. /// /// /// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit /// /// The security being ordered /// The order to be processed /// If this function returns false, a brokerage message detailing why the order may not be submitted /// True if the brokerage could process the order, false otherwise public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message) { if (security.Symbol.SecurityType == SecurityType.FutureOption && order is ComboOrder) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.InteractiveBrokersFixModel.UnsupportedComboOrdersForFutureOptions(this, order)); return false; } return base.CanSubmitOrder(security, order, out message); } } }