/*
* QUANTCONNECT.COM - 
* Example custom transaction model override the underlying model
*/
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using QuantConnect;
using QuantConnect.Models;

namespace QuantConnect.Securities
{
    /******************************************************** 
    * CLASS DEFINITIONS
    *********************************************************/
    /// <summary>
    /// Custom Transaction Model Example
    /// </summary>
    public class CustomTransactionModel : SecurityTransactionModel, ISecurityTransactionModel 
    {
        /******************************************************** 
        * CLASS CONSTRUCTOR
        *********************************************************/
        /// <summary>
        /// Custom transaction model class.
        /// </summary>
        public CustomTransactionModel() 
        { }

        /******************************************************** 
        * CLASS METHODS
        *********************************************************/
        /// <summary>
        /// Perform neccessary check to see if the model has been filled, appoximate the best we can.
        /// </summary>
        /// <param name="vehicle">Asset we're working with</param>
        /// <param name="order">Order class to check if filled.</param>
        public override OrderEvent Fill(Security vehicle, Order order)
        {
            //Default order event to return.
            var fill = new OrderEvent(order);

            switch (order.Type) 
            {
                case OrderType.Limit:
                    fill = LimitFill(vehicle, order);
                    break;
                case OrderType.StopMarket:
                    fill = StopFill(vehicle, order);
                    break;
                case OrderType.Market:
                    fill = MarketFill(vehicle, order);
                    break;
            }

            return fill;
        }


        /// <summary>
        /// Get the Slippage approximation for this order:
        /// </summary>
        public override decimal GetSlippageApproximation(Security security, Order order) 
        {
            return 0;
        }


        /// <summary>
        /// Default market order model. Fill at last price
        /// </summary>
        /// <param name="security">Asset we're working with</param>
        /// <param name="order">Order to update</param>
        public override OrderEvent MarketFill(Security security, Order order)
        {
            //Default order event to return.
            var fill = new OrderEvent(order);
            //Set the order price 
            order.Price = security.Price;
            order.Status = OrderStatus.Filled;

            //Set the order event fill: - Assuming 100% fill
            fill.FillPrice = security.Price;
            fill.FillQuantity = order.Quantity;
            fill.Status = order.Status;

            return fill;
        }

        /// <summary>
        /// Check if the model has stopped out our position yet:
        /// </summary>
        /// <param name="security">Asset we're working with</param>
        /// <param name="order">Stop Order to Check, return filled if true</param>
        public override OrderEvent StopFill(Security security, Order order)
        {
            //Default order event to return.
            var fill = new OrderEvent(order);

            //If its cancelled don't need anymore checks:
            if (fill.Status == OrderStatus.Canceled) return fill;

            //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 (security.Price < order.Price) 
                    {
                        order.Status = OrderStatus.Filled;
                        order.Price = security.Price;
                    }
                    break;
                case OrderDirection.Buy:
                    //-> 1.2 Buy Stop: If Price Above Setpoint, Buy:
                    if (security.Price > order.Price) 
                    {
                        order.Status = OrderStatus.Filled;
                        order.Price = security.Price;
                    }
                    break;
            }

            if (order.Status == OrderStatus.Filled || order.Status == OrderStatus.PartiallyFilled)
            {
                fill.FillQuantity = order.Quantity;
                fill.FillPrice = security.Price;        //Stop price as security price because can gap past stop price.
                fill.Status = order.Status;
            }

            return fill;
        }
        
        /// <summary>
        /// Check if the price MarketDataed to our limit price yet:
        /// </summary>
        /// <param name="security">Asset we're working with</param>
        /// <param name="order">Limit order in market</param>
        public override OrderEvent LimitFill(Security security, Order order)
        {

            //Initialise;
            decimal marketDataMinPrice = 0;
            decimal marketDataMaxPrice = 0;
            var fill = new OrderEvent(order);

            //If its cancelled don't need anymore checks:
            if (fill.Status == OrderStatus.Canceled) return fill;

            //Depending on the resolution, return different data types:
            BaseData marketData = security.GetLastData();

            if (marketData.DataType == MarketDataType.TradeBar)
            {
                marketDataMinPrice = ((TradeBar)marketData).Low;
                marketDataMaxPrice = ((TradeBar)marketData).High;
            } else {
                marketDataMinPrice = marketData.Value;
                marketDataMaxPrice = marketData.Value;
            }

            //-> Valid Live/Model Order: 
            switch (order.Direction)
            {
                case OrderDirection.Buy:
                    //Buy limit seeks lowest price
                    if (marketDataMinPrice < order.Price) 
                    {   
                        //Set order fill:
                        order.Status = OrderStatus.Filled;
                        order.Price = security.Price;
                    }
                    break;
                case OrderDirection.Sell:
                    //Sell limit seeks highest price possible
                    if (marketDataMaxPrice > order.Price) 
                    {
                        order.Status = OrderStatus.Filled;
                        order.Price = security.Price;
                    }
                    break;
            }

            if (order.Status == OrderStatus.Filled || order.Status == OrderStatus.PartiallyFilled)
            {
                fill.FillQuantity = order.Quantity;
                fill.FillPrice = security.Price;
                fill.Status = order.Status;
            }
                
            return fill;
        }

        /// <summary>
        /// Example Override of Fee Model - $100 Per Trade Fee
        /// </summary>
        public override decimal GetOrderFee(decimal quantity, decimal price)
        {
            return 100;
        }

    } // End Algorithm Transaction Filling Classes

} // End QC Namespace

/*
* QUANTCONNECT.COM - 
* Example custom transaction model override the underlying model
*/
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using QuantConnect;
using QuantConnect.Models;

namespace QuantConnect.Securities
{
    /********************************************************  
    * CLASS DEFINITIONS
    *********************************************************/
    /// <summary>
    /// Simple Custom Order Fee Only Model.
    /// </summary>
    public class CompactFeeOnlyModel : SecurityTransactionModel, ISecurityTransactionModel 
    {
        /******************************************************** 
        * CLASS CONSTRUCTOR
        *********************************************************/
        /// <summary>
        /// Fee only transaction model.
        /// </summary>
        public CompactFeeOnlyModel() 
        { }

        /******************************************************** 
        * CLASS METHODS
        *********************************************************/
        /// <summary>
        /// Example Override of Fee Model - $100 Per Trade Fee
        /// </summary>
        public override decimal GetOrderFee(decimal quantity, decimal price)
        {
            return 500;
        }

    } // End Algorithm Transaction Filling Classes

} // End QC Namespace

using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   

namespace QuantConnect 
{   
    // Name your algorithm class anything, as long as it inherits QCAlgorithm
    public class FillModelExample : QCAlgorithm
    {
        string _symbol = "MSFT";
        DateTime _firedToday = new DateTime();
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        { 
            SetStartDate(new DateTime(2014,5, 1));
            SetEndDate(new DateTime(2014, 6, 30));  
            SetCash(20000);
            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
            
            //SET THE FEE / SLIPPAGE / FILL MODEL PER SYMBOL.
            Securities[_symbol].Model = new CompactFeeOnlyModel();
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {   
            if (_firedToday.Date == Time.Date) return;
            
            if (Time.Day % 3 == 0 ) 
            {
                Order(_symbol, 100 );
                //Messaging.
                Debug("Debug Purchased: " + _symbol);
                Log("Log Purchased: " + _symbol);
            }
            
            if (Time.Day % 7 == 0)
            {
                Error("Fake Error to Demonstrate Errors: " + _symbol);
                Liquidate();
            }
            
            _firedToday = Time;
        }
    }
}