/*
* 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 System.Collections.Generic;
namespace QuantConnect.Orders
{
///
/// Manager of a group of orders
///
public class GroupOrderManager
{
///
/// The unique order group Id
///
[JsonProperty(PropertyName = "id")]
public int Id { get; internal set; }
///
/// The group order quantity
///
[JsonProperty(PropertyName = "quantity")]
public decimal Quantity { get; internal set; }
///
/// The total order count associated with this order group
///
[JsonProperty(PropertyName = "count")]
public int Count { get; }
///
/// The limit price associated with this order group if any
///
[JsonProperty(PropertyName = "limitPrice")]
public decimal LimitPrice { get; set; }
///
/// The order Ids in this group
///
/// In live trading we process orders in a dedicated thread so we need to be thread safe
[JsonProperty(PropertyName = "orderIds")]
public HashSet OrderIds { get; }
///
/// Order Direction Property based off Quantity.
///
[JsonProperty(PropertyName = "direction")]
public OrderDirection Direction
{
get
{
if (Quantity > 0)
{
return OrderDirection.Buy;
}
if (Quantity < 0)
{
return OrderDirection.Sell;
}
return OrderDirection.Hold;
}
}
///
/// Get the absolute quantity for this combo order
///
[JsonIgnore]
public decimal AbsoluteQuantity => Math.Abs(Quantity);
///
/// Creates a new empty instance
///
public GroupOrderManager()
{
}
///
/// Creates a new instance of
///
/// This order group unique Id
/// The order leg count
/// The group order quantity
/// The limit price associated with this order group if any
public GroupOrderManager(int id, int legCount, decimal quantity, decimal limitPrice = 0) : this(legCount, quantity, limitPrice)
{
Id = id;
}
///
/// Creates a new instance of
///
/// The order leg count
/// The group order quantity
/// The limit price associated with this order group if any
public GroupOrderManager(int legCount, decimal quantity, decimal limitPrice = 0)
{
Count = legCount;
Quantity = quantity;
LimitPrice = limitPrice;
OrderIds = new(capacity: legCount);
}
}
}