Fix bug and add unit tests

QuantConnect · Jan 25, 2024 · 7a6167a · 7a6167a
1 parent 20a5f69
commit 7a6167a
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diff --git a/Common/Brokerages/InteractiveBrokersBrokerageModel.cs b/Common/Brokerages/InteractiveBrokersBrokerageModel.cs
@@ -132,6 +132,13 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag
 
                 return false;
             }
+            else if (order.Type == OrderType.MarketOnClose && (security.Type == SecurityType.Option || security.Type == SecurityType.IndexOption))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning,
+                    "InteractiveBrokers does not support Market-on-Close orders for Options",
+                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes.Where(x => x != OrderType.MarketOnClose)));
+                return false;
+            }
 
             // validate security type
             if (security.Type != SecurityType.Equity &&

diff --git a/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs b/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs
@@ -27,6 +27,7 @@
 using QuantConnect.Data;
 using QuantConnect.Securities.Option;
 using QuantConnect.Securities.Forex;
+using QuantConnect.Securities.IndexOption;
 
 namespace QuantConnect.Tests.Common.Brokerages
 {
@@ -71,6 +72,52 @@ public void CanSubmitOrder_ForexWithinAllowableOrderSize(Forex security, decimal
             }
         }
 
+        [Test]
+        public void CannotSubmitMOCOrdersForOptions()
+        {
+            var option = Symbols.SPY_Option_Chain;
+            var securityOption = new QuantConnect.Securities.Option.Option(
+            option,
+            MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, option, option.SecurityType),
+            new Cash("USD", 100000m, 1m),
+                new OptionSymbolProperties(string.Empty, "USD", 1m, 0.01m, 1m),
+                new CashBook(),
+                new RegisteredSecurityDataTypesProvider(),
+                new SecurityCache(),
+                null);
+
+            var optionOrder = new MarketOnCloseOrder(option, 1, DateTime.UtcNow);
+            var result = _interactiveBrokersBrokerageModel.CanSubmitOrder(securityOption, optionOrder, out var message);
+            Assert.IsFalse(result);
+            var expectedMessage = "The InteractiveBrokersBrokerageModel does not support MarketOnClose order type. Only supports [Market,MarketOnOpen,Limit,StopMarket,StopLimit,TrailingStop,LimitIfTouched,ComboMarket,ComboLimit,ComboLegLimit,OptionExercise]";
+            Assert.AreEqual(expectedMessage, message.Message);
+        }
+
+        [Test]
+        public void CannotSubmitMOCOrdersForIndexOptions()
+        {
+            var index = Symbol.Create(IndexOptionSymbol.MapToUnderlying("SPY"), SecurityType.Index, Market.USA);
+            var indexOption = Symbol.CreateOption(index, "SPY", Market.USA, OptionStyle.European,
+                OptionRight.Call, 3700, DateTime.UtcNow);
+            var securityIndexOption = new QuantConnect.Securities.IndexOption.IndexOption(
+            indexOption,
+            MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, indexOption, indexOption.SecurityType),
+            new Cash("USD", 100000m, 1m),
+                new IndexOptionSymbolProperties(string.Empty, "USD", 1m, 0.01m, 1m),
+                new CashBook(),
+                new RegisteredSecurityDataTypesProvider(),
+                new SecurityCache(),
+                null);
+
+            var indexOptionOrder = new MarketOnCloseOrder(indexOption, 1, DateTime.UtcNow);
+            var optionIndexOrder = new MarketOnCloseOrder(indexOption, 1, DateTime.UtcNow);
+            var result = _interactiveBrokersBrokerageModel.CanSubmitOrder(securityIndexOption, indexOptionOrder, out var message);
+            Assert.IsFalse(result);
+            var expectedMessage = "The InteractiveBrokersBrokerageModel does not support MarketOnClose order type. Only supports [Market,MarketOnOpen,Limit,StopMarket,StopLimit,TrailingStop,LimitIfTouched,ComboMarket,ComboLimit,ComboLegLimit,OptionExercise]";
+            Assert.AreEqual(expectedMessage, message.Message);
+        }
+
+
         private static List<Security> GetUnsupportedOptions()
         {
             // Index option