/* * 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 { /// /// Limit order type definition /// public class LimitOrder : Order { /// /// Limit price for this order. /// [JsonProperty(PropertyName = "limitPrice")] public decimal LimitPrice { get; internal set; } /// /// Limit Order Type /// public override OrderType Type { get { return OrderType.Limit; } } /// /// Added a default constructor for JSON Deserialization: /// public LimitOrder() { } /// /// 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 /// 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 LimitOrder(Symbol symbol, decimal quantity, decimal limitPrice, DateTime time, string tag = "", IOrderProperties properties = null) : base(symbol, quantity, time, tag, properties) { LimitPrice = limitPrice; } /// /// Gets the default tag for this order /// /// The default tag public override string GetDefaultTag() { return Messages.LimitOrder.Tag(this); } /// /// 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 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; } } /// /// Returns a string that represents the current object. /// /// /// A string that represents the current object. /// /// 2 public override string ToString() { return Messages.LimitOrder.ToString(this); } /// /// Creates a deep-copy clone of this order /// /// A copy of this order public override Order Clone() { var order = new LimitOrder { LimitPrice = LimitPrice }; CopyTo(order); return order; } internal static decimal CalculateOrderValue(decimal quantity, decimal limitPrice, decimal price) { // selling, so higher price will be used if (quantity < 0) { return quantity * Math.Max(limitPrice, price); } // buying, so lower price will be used if (quantity > 0) { return quantity * Math.Min(limitPrice, price); } return 0m; } } }