/*
* 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
{
///
/// In effect, a LimitIfTouchedOrder behaves opposite to the ;
/// after a trigger price is touched, a limit order is set for some user-defined value above (below)
/// the trigger when selling (buying).
/// https://www.interactivebrokers.ca/en/index.php?f=45318
///
public class LimitIfTouchedOrder : Order
{
///
/// Order Type
///
public override OrderType Type => OrderType.LimitIfTouched;
///
/// The price which, when touched, will trigger the setting of a limit order at .
///
[JsonProperty(PropertyName = "triggerPrice")]
public decimal TriggerPrice { get; internal set; }
///
/// The price at which to set the limit order following being touched.
///
[JsonProperty(PropertyName = "limitPrice")]
public decimal LimitPrice { get; internal set; }
///
/// Whether or not the has been touched.
///
[JsonProperty(PropertyName = "triggerTouched")]
public bool TriggerTouched { get; internal set; }
///
/// New constructor.
///
/// Symbol asset we're seeking to trade
/// Quantity of the asset we're seeking to trade
/// Maximum price to fill the order
/// Time the order was placed
/// Price which must be touched in order to then set a limit order
/// User defined data tag for this order
/// The order properties for this order
public LimitIfTouchedOrder(
Symbol symbol,
decimal quantity,
decimal? triggerPrice,
decimal limitPrice,
DateTime time,
string tag = "",
IOrderProperties properties = null
)
: base(symbol, quantity, time, tag, properties)
{
TriggerPrice = (decimal) triggerPrice;
LimitPrice = limitPrice;
}
///
/// Default constructor for JSON Deserialization:
///
public LimitIfTouchedOrder()
{
}
///
/// Gets the default tag for this order
///
/// The default tag
public override string GetDefaultTag()
{
return Messages.LimitIfTouchedOrder.Tag(this);
}
///
/// 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.TriggerPrice.HasValue)
{
TriggerPrice = request.TriggerPrice.Value;
}
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 LimitIfTouchedOrder
{TriggerPrice = TriggerPrice, LimitPrice = LimitPrice, TriggerTouched = TriggerTouched};
CopyTo(order);
return order;
}
///
/// Returns a string that represents the current object.
///
///
/// A string that represents the current object.
///
/// 2
public override string ToString()
{
return Messages.LimitIfTouchedOrder.ToString(this);
}
///
/// Gets the order value in units of the security's quote currency for a single unit.
/// A single unit here is a single share of stock, or a single barrel of oil, or the
/// cost of a single share in an option contract.
///
/// The security matching this order's symbol
protected override decimal GetValueImpl(Security security)
{
// selling, so higher price will be used
if (Quantity < 0)
{
return Quantity * Math.Max(LimitPrice, security.Price);
}
// buying, so lower price will be used
if (Quantity > 0)
{
return Quantity * Math.Min(LimitPrice, security.Price);
}
return 0m;
}
}
}