/*
* 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 Newtonsoft.Json;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
namespace QuantConnect.Orders
{
///
/// Combo leg limit order type
///
/// Limit price per leg in the combo order
public class ComboLegLimitOrder : ComboOrder
{
///
/// Combo Limit Leg Order Type
///
public override OrderType Type => OrderType.ComboLegLimit;
///
/// Limit price for this order.
///
[JsonProperty(PropertyName = "limitPrice")]
public decimal LimitPrice { get; internal set; }
///
/// Added a default constructor for JSON Deserialization:
///
public ComboLegLimitOrder() : base()
{
}
///
/// New limit order constructor
///
/// Symbol asset we're seeking to trade
/// Quantity of the asset we're seeking to trade
/// Time the order was placed
/// Manager for the orders in the group
/// Price the order should be filled at if a limit order
/// User defined data tag for this order
/// The order properties for this order
public ComboLegLimitOrder(Symbol symbol, decimal quantity, decimal limitPrice, DateTime time, GroupOrderManager groupOrderManager,
string tag = "", IOrderProperties properties = null)
: base(symbol, quantity, time, groupOrderManager, tag, properties)
{
GroupOrderManager = groupOrderManager;
LimitPrice = limitPrice;
}
///
/// Gets the order value in units of the security's quote currency
///
/// The security matching this order's symbol
protected override decimal GetValueImpl(Security security)
{
return LimitOrder.CalculateOrderValue(Quantity, LimitPrice, security.Price);
}
///
/// Modifies the state of this order to match the update request
///
/// The request to update this order object
public override void ApplyUpdateOrderRequest(UpdateOrderRequest request)
{
base.ApplyUpdateOrderRequest(request);
if (request.LimitPrice.HasValue)
{
LimitPrice = request.LimitPrice.Value;
}
}
///
/// Creates a deep-copy clone of this order
///
/// A copy of this order
public override Order Clone()
{
var order = new ComboLegLimitOrder { LimitPrice = LimitPrice };
CopyTo(order);
return order;
}
}
}