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JosueNinaJosueNina
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Updating Orders should fail if it causes insufficient margin (#8553)
* Initial solution * Update regression test * Update assertions * Resolve PR comments * Add more order types to regression test * Update regression algorithm name * Update old regression algorithm * Refactor validation to check buying power only for non-ComboLeg update orders * Update ValidateSufficientBuyingPowerForOrders * Update regression algorithm * Resolve review comments * Use try out pattern
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‎Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm tests order updates with margin constraints to ensure that orders become invalid when exceeding margin requirements.
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/// </summary>
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public class InsufficientMarginOrderUpdateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private OrderTicket _stopOrderTicket;
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private OrderTicket _limitOrderTicket;
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private OrderTicket _trailingStopOrderTicket;
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private bool _updatesReady;
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private bool _updatesInProgress;
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private int _updateEventsCount;
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public override void Initialize()
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{
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SetStartDate(2018, 4, 3);
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SetEndDate(2018, 4, 4);
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AddForex("EURUSD", Resolution.Minute);
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_updatesInProgress = true;
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_updateEventsCount = 0;
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}
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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var qty = CalculateOrderQuantity("EURUSD", 50m);
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MarketOrder("EURUSD", qty);
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// Place stop market, limit, and trailing stop orders with half the quantity
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_stopOrderTicket = StopMarketOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
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_limitOrderTicket = LimitOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
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_trailingStopOrderTicket = TrailingStopOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m, 0.01m, true);
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// Update the stop order
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var updateStopOrderSettings = new UpdateOrderFields
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{
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// Attempt to increase the order quantity significantly
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Quantity = -qty * 100,
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StopPrice = Securities["EURUSD"].Price - 0.003m
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};
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_stopOrderTicket.Update(updateStopOrderSettings);
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// Update limit order
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var updateLimitOrderSettings = new UpdateOrderFields
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{
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// Attempt to increase the order quantity significantly
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Quantity = -qty * 100,
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LimitPrice = Securities["EURUSD"].Price - 0.003m
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};
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_limitOrderTicket.Update(updateLimitOrderSettings);
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// Update trailing stop order
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var updateTrailingStopOrderSettings = new UpdateOrderFields
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{
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// Attempt to increase the order quantity significantly
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Quantity = -qty * 100,
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StopPrice = Securities["EURUSD"].Price - 0.003m,
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TrailingAmount = 0.01m,
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};
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_trailingStopOrderTicket.Update(updateTrailingStopOrderSettings);
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_updatesReady = true;
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (_updatesReady && _updatesInProgress)
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{
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if (orderEvent.Status != OrderStatus.Submitted)
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{
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throw new RegressionTestException($"Unexpected order event status {orderEvent.Status} received. Expected Submitted.");
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}
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// All updates have been enqueued and should be rejected one by one
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if (orderEvent.OrderId == _stopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
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{
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throw new RegressionTestException($"The stop order update should have been rejected due to insufficient margin");
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}
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if (orderEvent.Id == _limitOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
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{
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throw new RegressionTestException($"The limit order update should have been rejected due to insufficient margin");
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}
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if (orderEvent.Id == _trailingStopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
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{
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throw new RegressionTestException($"The trailing stop order update should have been rejected due to insufficient margin");
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}
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_updateEventsCount++;
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}
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if (_updateEventsCount >= 3)
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{
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_updatesInProgress = false;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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// Updates were rejected, so all orders should be in Filled status
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var orders = Transactions.GetOrders().ToList();
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foreach (var order in orders)
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{
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if (order.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException($"Order {order.Id} with symbol {order.Symbol} should have been filled, but its current status is {order.Status}.");
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}
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}
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if (!_updatesReady)
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{
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throw new RegressionTestException("Update Orders should be ready!");
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}
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}
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public virtual List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 2893;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 60;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "4"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000.00"},
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{"End Equity", "90809.64"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$99000.00"},
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{"Lowest Capacity Asset", "EURUSD 8G"},
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{"Portfolio Turnover", "6777.62%"},
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{"OrderListHash", "505feaf1ae70ead2d7ab78ea257d7342"}
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};
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}
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}

‎Engine/TransactionHandlers/BrokerageTransactionHandler.cs

+60-22
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@@ -844,29 +844,9 @@ private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
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}
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846846
// check to see if we have enough money to place the order
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HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
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try
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if (!HasSufficientBuyingPowerForOrders(order, request, out var validationResult, orders, securities))
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{
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hasSufficientBuyingPowerResult = _algorithm.Portfolio.HasSufficientBuyingPowerForOrder(orders);
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}
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catch (Exception err)
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{
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Log.Error(err);
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_algorithm.Error($"Order Error: id: {order.Id.ToStringInvariant()}, Error executing margin models: {err.Message}");
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HandleOrderEvent(new OrderEvent(order,
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_algorithm.UtcTime,
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OrderFee.Zero,
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"Error executing margin models"));
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return OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder");
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}
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if (!hasSufficientBuyingPowerResult.IsSufficient)
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{
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var errorMessage = securities.GetErrorMessage(hasSufficientBuyingPowerResult);
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_algorithm.Error(errorMessage);
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InvalidateOrders(orders, errorMessage);
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return OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
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return validationResult;
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}
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// verify that our current brokerage can actually take the order
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return response;
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}
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// If the order is not part of a ComboLegLimit update, validate sufficient buying power
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if (order.GroupOrderManager == null)
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{
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var updatedOrder = order.Clone();
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updatedOrder.ApplyUpdateOrderRequest(request);
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if (!HasSufficientBuyingPowerForOrders(updatedOrder, request, out var validationResult))
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{
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return validationResult;
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}
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}
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// modify the values of the order object
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order.ApplyUpdateOrderRequest(request);
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@@ -1057,6 +1048,53 @@ private OrderResponse HandleCancelOrderRequest(CancelOrderRequest request)
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return OrderResponse.Success(request);
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}
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/// <summary>
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/// Validates if there is sufficient buying power for the given order(s).
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/// Returns an error response if validation fails or an exception occurs.
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/// Returns null if validation passes.
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/// </summary>
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private bool HasSufficientBuyingPowerForOrders(Order order, OrderRequest request, out OrderResponse response, List<Order> orders = null, Dictionary<Order, Security> securities = null)
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{
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response = null;
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HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
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try
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{
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hasSufficientBuyingPowerResult = _algorithm.Portfolio.HasSufficientBuyingPowerForOrder(orders ?? [order]);
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}
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catch (Exception err)
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{
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Log.Error(err);
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_algorithm.Error($"Order Error: id: {order.Id.ToStringInvariant()}, Error executing margin models: {err.Message}");
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HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, OrderFee.Zero, "Error executing margin models"));
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response = OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "An error occurred while checking sufficient buying power for the orders.");
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return false;
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}
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if (!hasSufficientBuyingPowerResult.IsSufficient)
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{
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var errorMessage = securities != null
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? securities.GetErrorMessage(hasSufficientBuyingPowerResult)
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: $"Brokerage failed to update order with id: {order.Id.ToStringInvariant()}, Symbol: {order.Symbol.Value}, Insufficient buying power to complete order, Reason: {hasSufficientBuyingPowerResult.Reason}.";
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_algorithm.Error(errorMessage);
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if (request is UpdateOrderRequest)
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{
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HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, OrderFee.Zero, errorMessage));
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response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToUpdateOrder, errorMessage);
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}
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else
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{
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InvalidateOrders(orders, errorMessage);
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response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
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}
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return false;
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}
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return true;
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}
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private void HandleOrderEvents(List<OrderEvent> orderEvents)
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{
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lock (_lockHandleOrderEvent)

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