Future Stop Market Order in Out Market Hours

Algorithm.CSharp/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.cs

@@ -0,0 +1,155 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * 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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Continuous Futures Regression algorithm. 
+    /// Asserting the behavior of stop market order <see cref="StopMarketOrder"/> in extended market hours 
+    /// <seealso cref="Data.UniverseSelection.UniverseSettings.ExtendedMarketHours"/>
+    /// </summary>
+    public class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private OrderTicket _ticket;
+        private Future _SP500EMini;
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 6);
+            SetEndDate(2013, 10, 12);
+
+            _SP500EMini = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours: true);
+
+            Schedule.On(DateRules.EveryDay(), TimeRules.At(19, 0), () =>
+            {
+                MarketOrder(_SP500EMini.Mapped, 1);
+                _ticket = StopMarketOrder(_SP500EMini.Mapped, -1, _SP500EMini.Price * 1.1m);
+            });
+        }
+
+        /// <summary>
+        /// Data Event Handler: receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (_ticket == null || _ticket.Status != OrderStatus.Submitted)
+            {
+                return;
+            }
+
+            var stopPrice = _ticket.Get(OrderField.StopPrice);
+            var bar = Securities[_ticket.Symbol].Cache.GetData<TradeBar>();
+        }
+
+        /// <summary>
+        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
+        /// </summary>
+        /// <param name="orderEvent">Order event details containing details of the events</param>
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent == null)
+            {
+                return;
+            }
+
+            if (Transactions.GetOrderById(orderEvent.OrderId).Type != OrderType.StopMarket)
+            {
+                return;
+            }
+
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                var time = MarketHoursDatabase.GetExchangeHours(_SP500EMini.SubscriptionDataConfig);
+
+                if (!time.IsOpen(orderEvent.UtcTime, _SP500EMini.IsExtendedMarketHours))
+                {
+                    throw new Exception($"The Exchange hours was closed, verify 'extendedMarketHours' flag in {nameof(Initialize)} when added new security(ies).");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var stopMarketOrders = Transactions.GetOrders(x => x is StopMarketOrder);
+
+            if (stopMarketOrders.Any(x => x.Status != OrderStatus.Filled))
+            {
+                throw new Exception("The Algorithms was not handled any StopMarketOrders");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all time slices of algorithm
+        /// </summary>
+        public long DataPoints => 75955;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "10"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.02%"},
+            {"Compounding Annual Return", "-6.736%"},
+            {"Drawdown", "0.100%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "-0.109%"},
+            {"Sharpe Ratio", "-22.29"},
+            {"Sortino Ratio", "-26.651"},
+            {"Probabilistic Sharpe Ratio", "0.016%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.05"},
+            {"Beta", "-0.006"},
+            {"Annual Standard Deviation", "0.002"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-2.76"},
+            {"Tracking Error", "0.215"},
+            {"Treynor Ratio", "8.829"},
+            {"Total Fees", "$21.50"},
+            {"Estimated Strategy Capacity", "$3400000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "138.95%"},
+            {"OrderListHash", "c85997dd5b7d9acda46ac9d11dd1a039"}
+        };
+    }
+}

Algorithm.Python/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.py

@@ -0,0 +1,71 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# 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.
+
+from AlgorithmImports import *
+from QuantConnect import Orders
+
+# <summary>
+# This example demonstrates how to create future 'stopMarketOrder' in extended Market Hours time
+# </summary>
+
+class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
+    # Keep new created instance of stopMarketOrder
+    stopMarketTicket = None
+    SP500EMini = None
+
+    # Initialize the Algorithm and Prepare Required Data
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 6)
+        self.SetEndDate(2013, 10, 12)
+
+        # Add mini SP500 future with extended Market hours flag
+        self.SP500EMini = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True)
+
+        # Init new schedule event with params: everyDay, 19:00:00 PM, what should to do
+        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.At(19, 0),self.MakeMarketAndStopMarketOrder)
+
+    # This method is opened 2 new orders by scheduler
+    def MakeMarketAndStopMarketOrder(self):
+        self.MarketOrder(self.SP500EMini.Mapped, 1)
+        self.stopMarketTicket = self.StopMarketOrder(self.SP500EMini.Mapped, -1, self.SP500EMini.Price * 1.1)
+
+    # New Data Event handler receiving all subscription data in a single event
+    def OnData(self, slice):
+        if (self.stopMarketTicket == None or self.stopMarketTicket.Status != OrderStatus.Submitted):
+            return None
+
+        self.stopPrice = self.stopMarketTicket.Get(OrderField.StopPrice)
+        self.bar = self.Securities[self.stopMarketTicket.Symbol].Cache.GetData()
+
+    # An order fill update the resulting information is passed to this method.
+    def OnOrderEvent(self, orderEvent):
+        if orderEvent is None:
+            return None
+
+        if self.Transactions.GetOrderById(orderEvent.OrderId).Type is not OrderType.StopMarket:
+            return None
+
+        if orderEvent.Status == OrderStatus.Filled:
+            # Get Exchange Hours for specific security
+            exchangeHours = self.MarketHoursDatabase.GetExchangeHours(self.SP500EMini.SubscriptionDataConfig)
+
+            # Validate, Exchange is opened explicitly
+            if (not exchangeHours.IsOpen(orderEvent.UtcTime, self.SP500EMini.IsExtendedMarketHours)):
+                raise Exception("The Exchange hours was closed, verify 'extendedMarketHours' flag in Initialize() when added new security(ies)")
+
+    def OnEndOfAlgorithm(self):
+        self.stopMarketOrders = self.Transactions.GetOrders(lambda o: o.Type is OrderType.StopMarket)
+
+        for o in self.stopMarketOrders:
+            if o.Status != OrderStatus.Filled:
+                raise Exception("The Algorithms was not handled any StopMarketOrders")

Common/Orders/Fills/FutureFillModel.cs

@@ -13,6 +13,9 @@
  * limitations under the License.
 */
 
+using System;
+using QuantConnect.Util;
+using QuantConnect.Data;
 using QuantConnect.Securities;
 using QuantConnect.Orders.Fees;
 
@@ -72,5 +75,84 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order)
 
             return fill;
         }
+
+        /// <summary>
+        /// Stop fill model implementation for Future.
+        /// </summary>
+        /// <param name="asset">Security asset we're filling</param>
+        /// <param name="order">Order packet to model</param>
+        /// <returns>Order fill information detailing the average price and quantity filled.</returns>
+        /// <remarks>
+        /// A Stop order is an instruction to submit a buy or sell market order
+        /// if and when the user-specified stop trigger price is attained or penetrated.
+        ///
+        /// A Sell Stop order is always placed below the current market price.
+        /// We assume a fluid/continuous, high volume market. Therefore, it is filled at the stop trigger price
+        /// if the current low price of trades is less than or equal to this price.
+        ///
+        /// A Buy Stop order is always placed above the current market price.
+        /// We assume a fluid, high volume market. Therefore, it is filled at the stop trigger price
+        /// if the current high price of trades is greater or equal than this price.
+        ///
+        /// The continuous market assumption is not valid if the market opens with an unfavorable gap.
+        /// In this case, a new bar opens below/above the stop trigger price, and the order is filled with the opening price.
+        /// <seealso cref="MarketFill(Security, MarketOrder)"/>
+        public override OrderEvent StopMarketFill(Security asset, StopMarketOrder order)
+        {
+            //Default order event to return.
+            var utcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
+            var fill = new OrderEvent(order, utcTime, OrderFee.Zero);
+
+            //If its cancelled don't need anymore checks:
+            if (order.Status == OrderStatus.Canceled) return fill;
+
+            // Fill only if open or extended
+            // even though data from internal configurations are not sent to the algorithm.OnData they still drive security cache and data
+            // this is specially relevant for the continuous contract underlying mapped contracts which are internal configurations
+            if (!IsExchangeOpen(asset, Parameters.ConfigProvider.GetSubscriptionDataConfigs(asset.Symbol, includeInternalConfigs: true).IsExtendedMarketHours()))
+            {
+                return fill;
+            }
+
+            //Get the range of prices in the last bar:
+            var prices = GetPricesCheckingPythonWrapper(asset, order.Direction);
+            var pricesEndTime = prices.EndTime.ConvertToUtc(asset.Exchange.TimeZone);
+
+            // do not fill on stale data
+            if (pricesEndTime <= order.Time) return fill;
+
+            //Calculate the model slippage: e.g. 0.01c
+            var slip = asset.SlippageModel.GetSlippageApproximation(asset, order);
+
+            //Check if the Stop Order was filled: opposite to a limit order
+            switch (order.Direction)
+            {
+                case OrderDirection.Sell:
+                    //-> 1.1 Sell Stop: If Price below setpoint, Sell:
+                    if (prices.Low < order.StopPrice)
+                    {
+                        fill.Status = OrderStatus.Filled;
+                        // Assuming worse case scenario fill - fill at lowest of the stop & asset price.
+                        fill.FillPrice = Math.Min(order.StopPrice, prices.Current - slip);
+                        // assume the order completely filled
+                        fill.FillQuantity = order.Quantity;
+                    }
+                    break;
+
+                case OrderDirection.Buy:
+                    //-> 1.2 Buy Stop: If Price Above Setpoint, Buy:
+                    if (prices.High > order.StopPrice)
+                    {
+                        fill.Status = OrderStatus.Filled;
+                        // Assuming worse case scenario fill - fill at highest of the stop & asset price.
+                        fill.FillPrice = Math.Max(order.StopPrice, prices.Current + slip);
+                        // assume the order completely filled
+                        fill.FillQuantity = order.Quantity;
+                    }
+                    break;
+            }
+
+            return fill;
+        }
     }
 }

Tests/Common/Orders/Fills/FutureFillModelTests.cs

@@ -64,6 +64,51 @@ public void PerformsMarketFill([Values] bool isInternal,
             Assert.AreEqual(OrderStatus.Filled, fill.Status);
         }
 
+        [Test]
+        public void PerformsStopMarketFill(
+            [Values] bool extendedMarketHours,
+            [Values(OrderDirection.Buy, OrderDirection.Sell)] OrderDirection orderDirection)
+        {
+            var symbol = Symbols.ES_Future_Chain;
+            var model = new FutureFillModel();
+            var quantity = orderDirection == OrderDirection.Buy ? 100 : -100;
+            var marketPrice = orderDirection == OrderDirection.Buy ? 102m : 101m;
+
+            var time = Noon.AddHours(-12);
+
+            var order = new StopMarketOrder(symbol, quantity, 101.124m, time);
+            var config = CreateTradeBarConfig(symbol, extendedMarketHours: extendedMarketHours);
+            var security = GetSecurity(config);
+            TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork).UpdateTime(time.ConvertToUtc(TimeZones.NewYork));
+            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
+            security.SetMarketPrice(new IndicatorDataPoint(symbol, time, marketPrice));
+
+            var fill = model.Fill(new FillModelParameters(
+                security,
+                order,
+                new MockSubscriptionDataConfigProvider(config),
+                Time.OneHour,
+                null)).Single();
+
+            var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(config);
+            if (extendedMarketHours)
+            {
+                Assert.AreEqual(order.Quantity, fill.FillQuantity);
+                Assert.AreEqual(security.Price, fill.FillPrice);
+                Assert.AreEqual(OrderStatus.Filled, fill.Status);
+                Assert.IsTrue(exchangeHours.IsOpen(fill.UtcTime, extendedMarketHours));
+            }
+            else
+            {
+                Assert.AreEqual(0m, fill.FillQuantity);
+                Assert.AreEqual(0m, fill.FillPrice);
+                Assert.AreNotEqual(OrderStatus.Filled, fill.Status);
+                Assert.AreNotEqual(OrderStatus.PartiallyFilled, fill.Status);
+                Assert.IsFalse(exchangeHours.IsOpen(fill.UtcTime, extendedMarketHours));
+            }
+
+        }
+
         private SubscriptionDataConfig CreateTradeBarConfig(Symbol symbol, bool isInternal = false, bool extendedMarketHours = true)
         {
             return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, extendedMarketHours, isInternal);