/*
* 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);
}
}
}