Improve implementation

QuantConnect · Jan 25, 2024 · 87c635d · 87c635d
1 parent 7a6167a
commit 87c635d
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Showing 2 changed files with 32 additions and 1 deletion.
diff --git a/Common/Brokerages/InteractiveBrokersBrokerageModel.cs b/Common/Brokerages/InteractiveBrokersBrokerageModel.cs
@@ -132,7 +132,7 @@ 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))
+            else if (order.Type == OrderType.MarketOnClose && security.Type.IsOption())
             {
                 message = new BrokerageMessageEvent(BrokerageMessageType.Warning,
                     "InteractiveBrokers does not support Market-on-Close orders for Options",

diff --git a/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs b/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs
@@ -117,6 +117,37 @@ public void CannotSubmitMOCOrdersForIndexOptions()
             Assert.AreEqual(expectedMessage, message.Message);
         }
 
+        [Test]
+        public void CannotSubmitMOCOrdersForFutureOptions()
+        {
+            var underlyingFuture = Symbol.CreateFuture(
+                QuantConnect.Securities.Futures.Indices.SP500EMini,
+                Market.CME,
+                new DateTime(2021, 3, 19));
+
+            var futureOption = Symbol.CreateOption(underlyingFuture,
+                Market.CME,
+                OptionStyle.American,
+                OptionRight.Call,
+                2550m,
+                new DateTime(2021, 3, 19));
+
+            var futureOptionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(
+                futureOption,
+                MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.CME, futureOption, futureOption.SecurityType),
+                new Cash("USD", 100000m, 1m),
+                new OptionSymbolProperties(string.Empty, "USD", 1m, 0.01m, 1m),
+                new CashBook(),
+                new RegisteredSecurityDataTypesProvider(),
+                new SecurityCache(),
+                null);
+
+            var futureOptionOrder = new MarketOnCloseOrder(futureOption, 1, DateTime.UtcNow);
+            var result = _interactiveBrokersBrokerageModel.CanSubmitOrder(futureOptionSecurity, futureOptionOrder, 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()
         {