/* * 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; } } }