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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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 System.Collections.Generic;

using System.Linq;

using QuantConnect.Data;

using QuantConnect.Orders;

using QuantConnect.Securities;

using QuantConnect.Util;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// Provides a regression baseline focused on updating orders

/// </summary>

public class UpdateOrderLiveTestAlgorithm : QCAlgorithm

{

private static readonly Random Random = new Random();

private const decimal ImmediateCancelPercentage = 0.05m;

private int _lastMinute = -1;

private Security _security;

private int _quantity = 5;

private string _symbol = "SPY";

private const int DeltaQuantity = 1;

private const decimal StopPercentage = 0.025m;

private const decimal StopPercentageDelta = 0.005m;

private const decimal LimitPercentage = 0.025m;

private const decimal LimitPercentageDelta = 0.005m;

private const SecurityType SecType = SecurityType.Equity;

private readonly CircularQueue<OrderType> _orderTypesQueue = new CircularQueue<OrderType>(new []

{

OrderType.MarketOnOpen,

OrderType.MarketOnClose,

OrderType.StopLimit,

OrderType.StopMarket,

OrderType.Limit,

OrderType.Market

});

private readonly List<OrderTicket> _tickets = new List<OrderTicket>();

private readonly HashSet<int> _immediateCancellations = new HashSet<int>();

/// <summary>

/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

/// </summary>

public override void Initialize()

{

SetStartDate(2013, 10, 07); //Set Start Date

SetEndDate(2013, 10, 07); //Set End Date

SetCash(100000); //Set Strategy Cash

// Find more symbols here: http://quantconnect.com/data

AddSecurity(SecType, _symbol, Resolution.Second);

_security = Securities[_symbol];

_orderTypesQueue.CircleCompleted += (sender, args) =>

{

// flip our signs

_quantity *= -1;

};

}

/// <summary>

/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

/// </summary>

/// <param name="data">Slice object keyed by symbol containing the stock data</param>

public override void OnData(Slice data)

{

if (!_security.HasData)

{

Log("::::: NO DATA :::::");

return;

}

// each month make an action

if (Time.Minute != _lastMinute && Time.Second == 0)

{

Log("");

Log("--------------Minute: " + Time.Minute);

Log("");

_lastMinute = Time.Minute;

// we'll submit the next type of order from the queue

var orderType = _orderTypesQueue.Dequeue();

Log("ORDER TYPE:: " + orderType);

var isLong = _quantity > 0;

var stopPrice = isLong ? (1 + StopPercentage) * _security.High : (1 - StopPercentage) * _security.Low;

var limitPrice = isLong ? (1 - LimitPercentage) * stopPrice : (1 + LimitPercentage) * stopPrice;

if (orderType == OrderType.Limit)

{

limitPrice = !isLong ? (1 + LimitPercentage) * _security.High : (1 - LimitPercentage) * _security.Low;

}

var request = new SubmitOrderRequest(orderType, SecType, Securities[_symbol].Symbol, _quantity, stopPrice, limitPrice, Time, orderType.ToString());

var ticket = Transactions.AddOrder(request);

_tickets.Add(ticket);

if ((decimal)Random.NextDouble() < ImmediateCancelPercentage)

{

Log("Immediate cancellation requested!");

_immediateCancellations.Add(ticket.OrderId);

}

else if (_tickets.Count > 0)

{

var ticket = _tickets.Last();

if (Time.Second > 15 && Time.Second < 30)

{

if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())

{

Log(ticket.ToString());

ticket.Update(new UpdateOrderFields

{

Quantity = ticket.Quantity + Math.Sign(_quantity) * DeltaQuantity,

Tag = "Change quantity: " + Time

});

Log("UPDATE1:: " + ticket.UpdateRequests.Last());

}

else if (Time.Second > 29 && Time.Second < 45)

{

if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())

{

Log(ticket.ToString());

ticket.Update(new UpdateOrderFields

{

LimitPrice = _security.Price * (1 - Math.Sign(ticket.Quantity) * LimitPercentageDelta),

StopPrice = _security.Price * (1 + Math.Sign(ticket.Quantity) * StopPercentageDelta),

Tag = "Change prices: " + Time

});

Log("UPDATE2:: " + ticket.UpdateRequests.Last());

}

else

{

if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())

{

Log(ticket.ToString());

ticket.Cancel(Time + " and is still open!");

Log("CANCELLED:: " + ticket.CancelRequest);

}

public override void OnOrderEvent(OrderEvent orderEvent)

{

if (_immediateCancellations.Contains(orderEvent.OrderId))

{

_immediateCancellations.Remove(orderEvent.OrderId);

Transactions.CancelOrder(orderEvent.OrderId);

}

if (orderEvent.Status == OrderStatus.Filled)

{

Log("FILLED:: " + Transactions.GetOrderById(orderEvent.OrderId) + " FILL PRICE:: " + orderEvent.FillPrice.SmartRounding());

}

else

{

Log(orderEvent.ToString());

}

private new void Log(string msg)

{

// redirect live logs to debug window

if (LiveMode)

{

Debug(msg);

}

else

{

base.Log(msg);

}

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