LimitOrder.cs

/*
 * 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
{
    /// <summary>
    /// Limit order type definition
    /// </summary>
    public class LimitOrder : Order
    {
        /// <summary>
        /// Limit price for this order.
        /// </summary>
        [JsonProperty(PropertyName = "limitPrice")]
        public decimal LimitPrice { get; internal set; }
 
        /// <summary>
        /// Limit Order Type
        /// </summary>
        public override OrderType Type
        {
            get { return OrderType.Limit; }
        }
 
        /// <summary>
        /// Added a default constructor for JSON Deserialization:
        /// </summary>
        public LimitOrder()
        {
        }
 
        /// <summary>
        /// New limit order constructor
        /// </summary>
        /// <param name="symbol">Symbol asset we're seeking to trade</param>
        /// <param name="quantity">Quantity of the asset we're seeking to trade</param>
        /// <param name="time">Time the order was placed</param>
        /// <param name="limitPrice">Price the order should be filled at if a limit order</param>
        /// <param name="tag">User defined data tag for this order</param>
        /// <param name="properties">The order properties for this order</param>
        public LimitOrder(Symbol symbol, decimal quantity, decimal limitPrice, DateTime time, string tag = "", IOrderProperties properties = null)
            : base(symbol, quantity, time, tag, properties)
        {
            LimitPrice = limitPrice;
        }
 
        /// <summary>
        /// Gets the default tag for this order
        /// </summary>
        /// <returns>The default tag</returns>
        public override string GetDefaultTag()
        {
            return Messages.LimitOrder.Tag(this);
        }
 
        /// <summary>
        /// Gets the order value in units of the security's quote currency
        /// </summary>
        /// <param name="security">The security matching this order's symbol</param>
        protected override decimal GetValueImpl(Security security)
        {
            return CalculateOrderValue(Quantity, LimitPrice, security.Price);
        }
 
        /// <summary>
        /// Modifies the state of this order to match the update request
        /// </summary>
        /// <param name="request">The request to update this order object</param>
        public override void ApplyUpdateOrderRequest(UpdateOrderRequest request)
        {
            base.ApplyUpdateOrderRequest(request);
            if (request.LimitPrice.HasValue)
            {
                LimitPrice = request.LimitPrice.Value;
            }
        }
 
        /// <summary>
        /// Returns a string that represents the current object.
        /// </summary>
        /// <returns>
        /// A string that represents the current object.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        public override string ToString()
        {
            return Messages.LimitOrder.ToString(this);
        }
 
        /// <summary>
        /// Creates a deep-copy clone of this order
        /// </summary>
        /// <returns>A copy of this order</returns>
        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;
        }
    }
}