/* * 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.Interfaces; namespace QuantConnect.Orders { /// /// Combo order type /// public abstract class ComboOrder : Order { private decimal _ratio; /// /// Number of shares to execute. /// For combo orders, we store the ratio of each leg instead of the quantity, /// and the actual quantity is calculated when requested using the group order manager quantity. /// This allows for a single quantity update to be applied to all the legs of the combo. /// public override decimal Quantity { get { return _ratio.GetOrderLegGroupQuantity(GroupOrderManager).Normalize(); } internal set { _ratio = value.GetOrderLegRatio(GroupOrderManager); } } /// /// Added a default constructor for JSON Deserialization: /// public ComboOrder() : base() { } /// /// New market 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 /// User defined data tag for this order /// The order properties for this order public ComboOrder(Symbol symbol, decimal quantity, DateTime time, GroupOrderManager groupOrderManager, string tag = "", IOrderProperties properties = null) : base(symbol, 0m, time, tag, properties) { GroupOrderManager = groupOrderManager; Quantity = quantity; } /// /// Modifies the state of this order to match the update request /// /// The request to update this order object public override void ApplyUpdateOrderRequest(UpdateOrderRequest request) { if (request.OrderId != Id) { throw new ArgumentException("Attempted to apply updates to the incorrect order!"); } if (request.Tag != null) { Tag = request.Tag; } if (request.Quantity.HasValue) { // For combo orders, the updated quantity is the quantity of the group GroupOrderManager.Quantity = request.Quantity.Value; } } } }