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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 UpdateOrderRegressionAlgorithm : QCAlgorithm

{

private int LastMonth = -1;

private Security Security;

private int Quantity = 100;

private const int DeltaQuantity = 10;

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 string Symbol = "SPY";

private const SecurityType SecType = SecurityType.Equity;

private readonly CircularQueue<OrderType> _orderTypesQueue = new CircularQueue<OrderType>(Enum.GetValues(typeof(OrderType)).OfType<OrderType>());

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

/// <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, 01, 01); //Set Start Date

SetEndDate(2015, 01, 01); //Set End Date

SetCash(100000); //Set Strategy Cash

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

AddSecurity(SecType, Symbol, Resolution.Daily);

Security = Securities[Symbol];

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

{

// flip our signs when we've gone through all the order types

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 (!data.Bars.ContainsKey(Symbol)) return;

// each month make an action

if (Time.Month != LastMonth)

{

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

var orderType = _orderTypesQueue.Dequeue();

//Log("");

Log("\r\n--------------MONTH: " + Time.ToString("MMMM") + ":: " + orderType + "\r\n");

//Log("");

LastMonth = Time.Month;

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

var isLong = Quantity > 0;

var stopPrice = isLong ? (1 + StopPercentage)*data.Bars[Symbol].High : (1 - StopPercentage)*data.Bars[Symbol].Low;

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

if (orderType == OrderType.Limit)

{

limitPrice = !isLong ? (1 + LimitPercentage) * data.Bars[Symbol].High : (1 - LimitPercentage) * data.Bars[Symbol].Low;

}

var request = new SubmitOrderRequest(orderType, SecType, Symbol, Quantity, stopPrice, limitPrice, Time, orderType.ToString());

var ticket = Transactions.AddOrder(request);

_tickets.Add(ticket);

}

else if (_tickets.Count > 0)

{

var ticket = _tickets.Last();

if (Time.Day > 8 && Time.Day < 14)

{

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

{

Log("TICKET:: " + ticket);

ticket.Update(new UpdateOrderFields

{

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

Tag = "Change quantity: " + Time

});

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

}

else if (Time.Day > 13 && Time.Day < 20)

{

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

{

Log("TICKET:: " + ticket);

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:: " + ticket);

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

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

}

public override void OnOrderEvent(OrderEvent orderEvent)

{

if (orderEvent.Status == OrderStatus.Filled)

{

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

}

else

{

Log(orderEvent.ToString());

Log("TICKET:: " + _tickets.Last());

}

private new void Log(string msg)

{

if (LiveMode) Debug(msg);

else base.Log(msg);

}

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