Overall Statistics |
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -8.911 Tracking Error 0.223 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Selection; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; using Newtonsoft.Json; #endregion namespace QuantConnect.Algorithm.CSharp { public class CustomBrokerageSideOrderHandlingRegressionAlgorithm : QCAlgorithm { // This algorithm won't add any securities or place any orders public Order BrokerageSideOrder {get; set;} public override void Initialize() { SetStartDate(2013, 10, 7); SetEndDate(2013, 10, 11); SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this)); Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(1)), CheckBrokerageSideOrder); } private void CheckBrokerageSideOrder() { if (BrokerageSideOrder != null) return; var openOrders = Transactions.GetOpenOrders(); var brokerageOrder = openOrders.FirstOrDefault(x => x.BrokerId[0] == BrokerageSideOrder.BrokerId[0]); if (brokerageOrder == null) return; // Also, the security should have been added to the algorithm if (!Securities.ContainsKey(brokerageOrder.Symbol)) { Log($"Security {brokerageOrder.Symbol} not found in algorithm's securities!"); Log($"{Time} :: Brokerage-side order found: {brokerageOrder}"); } } } public class CustomBrokerageMessageHandler : IBrokerageMessageHandler { private readonly CustomBrokerageSideOrderHandlingRegressionAlgorithm _algorithm; public CustomBrokerageMessageHandler(CustomBrokerageSideOrderHandlingRegressionAlgorithm algorithm) { _algorithm = algorithm; } public void HandleMessage(BrokerageMessageEvent message) => _algorithm.Debug($"{_algorithm.Time.ToStringInvariant("o")} Event: {message.Message}"); public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs) { var order = eventArgs.Order; try { _algorithm.Log($"CustomBrokerageMessageHandler.HandleOrder(): {_algorithm.Time} :: New Order:: {JsonConvert.SerializeObject(order)}"); } catch { // should not happen _algorithm.Log($"CustomBrokerageMessageHandler.HandleOrder(): {_algorithm.Time} Explosion!"); } _algorithm.BrokerageSideOrder = order; // Depending on the logic, return true o false to accept or reject the order // (e.g. based on the order type if not supported or just orders that you are not interested in handling in the algorithm)) // Only TerminalLink orders are accepted var orderProperties = order.Properties as TerminalLinkOrderProperties; if (orderProperties == null) { _algorithm.Log($"CustomBrokerageMessageHandler.HandleOrder(): order properties is not set to expected terminal link type, skipping"); return false; } // In this case, we are only interested in orders with a custom note "AcceptOrder" var customNotes1 = orderProperties.CustomNotes1; var result = customNotes1.Contains("AcceptOrder"); _algorithm.Log($"CustomBrokerageMessageHandler.HandleOrder(): returning: {result}"); return result; } } }