This transaction handler is used for processing transactions during backtests More...

Inheritance diagram for QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler:

Public Member Functions
override void	Initialize (IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
	Creates a new BacktestingTransactionHandler using the BacktestingBrokerage More...

override void	ProcessSynchronousEvents ()
	Processes all synchronous events that must take place before the next time loop for the algorithm More...

override void	ProcessAsynchronousEvents ()
	Processes asynchronous events on the transaction handler's thread More...

Public Member Functions inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
OrderTicket	Process (OrderRequest request)
	Adds the specified order to be processed More...

OrderTicket	AddOrder (SubmitOrderRequest request)
	Add an order to collection and return the unique order id or negative if an error. More...

OrderTicket	UpdateOrder (UpdateOrderRequest request)
	Update an order yet to be filled such as stop or limit orders. More...

OrderTicket	CancelOrder (CancelOrderRequest request)
	Remove this order from outstanding queue: user is requesting a cancel. More...

IEnumerable< OrderTicket >	GetOrderTickets (Func< OrderTicket, bool > filter=null)
	Gets and enumerable of OrderTicket matching the specified filter More...

IEnumerable< OrderTicket >	GetOpenOrderTickets (Func< OrderTicket, bool > filter=null)
	Gets and enumerable of opened OrderTicket matching the specified filter More...

OrderTicket	GetOrderTicket (int orderId)
	Gets the order ticket for the specified order id. Returns null if not found More...

Order	GetOrderById (int orderId)
	Get the order by its id More...

List< Order >	GetOrdersByBrokerageId (string brokerageId)
	Gets the order by its brokerage id More...

IEnumerable< Order >	GetOrders (Func< Order, bool > filter=null)
	Gets all orders matching the specified filter. Specifying null will return an enumerable of all orders. More...

List< Order >	GetOpenOrders (Func< Order, bool > filter=null)
	Gets open orders matching the specified filter More...

void	AddOpenOrder (Order order, IAlgorithm algorithm)
	Register an already open Order More...

void	Exit ()
	Signal a end of thread request to stop monitoring the transactions. More...

void	HandleOrderRequest (OrderRequest request)
	Handles a generic order request More...

decimal	RoundOffOrder (Order order, Security security)
	Rounds off the order towards 0 to the nearest multiple of Lot Size More...

Protected Member Functions
override void	WaitForOrderSubmission (OrderTicket ticket)
	For backtesting we will submit the order ourselves More...

override void	InitializeTransactionThread ()
	For backtesting order requests will be processed by the algorithm thread sequentially at WaitForOrderSubmission and ProcessSynchronousEvents More...

Protected Member Functions inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
void	Run ()
	Primary thread entry point to launch the transaction thread. More...

void	RoundOrderPrices (Order order, Security security)
	Rounds the order prices to its security minimum price variation. More...

Protected Attributes
override DateTime	CurrentTimeUtc => _algorithm.UtcTime
	Gets current time UTC. This is here to facilitate testing More...

Protected Attributes inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
IBusyCollection< OrderRequest >	_orderRequestQueue
	OrderQueue holds the newly updated orders from the user algorithm waiting to be processed. Once orders are processed they are moved into the Orders queue awaiting the brokerage response. More...

readonly CancelPendingOrders	_cancelPendingOrders = new CancelPendingOrders()
	The _cancelPendingOrders instance will help to keep track of CancelPending orders and their Status More...

virtual TimeSpan	TimeSinceLastFill
	Gets the amount of time since the last call to algorithm.Portfolio.ProcessFill(fill) More...

virtual DateTime	CurrentTimeUtc => DateTime.UtcNow
	Gets current time UTC. This is here to facilitate testing More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
IEnumerable< OrderEvent >	OrderEvents => _orderEvents
	Gets all order events More...

int	OrdersCount => _totalOrderCount
	Gets the current number of orders that have been processed More...

Properties inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
ConcurrentDictionary< int, Order >	Orders `[get]`
	Gets the permanent storage for all orders More...

ConcurrentDictionary< int, OrderTicket >	OrderTickets `[get]`
	Gets the permanent storage for all order tickets More...

bool	IsActive `[get]`
	Boolean flag indicating the Run thread method is busy. False indicates it is completely finished processing and ready to be terminated. More...

Properties inherited from QuantConnect.Lean.Engine.TransactionHandlers.ITransactionHandler
bool	IsActive `[get]`
	Boolean flag indicating the thread is busy. False indicates it is completely finished processing and ready to be terminated. More...

ConcurrentDictionary< int, Order >	Orders `[get]`
	Gets the permanent storage for all orders More...

IEnumerable< OrderEvent >	OrderEvents `[get]`
	Gets all order events More...

ConcurrentDictionary< int, OrderTicket >	OrderTickets `[get]`
	Gets the permanent storage for all order tickets More...

Properties inherited from QuantConnect.Securities.IOrderProvider
int	OrdersCount `[get]`
	Gets the current number of orders that have been processed More...

Events inherited from QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler
EventHandler< OrderEvent >	NewOrderEvent
	Event fired when there is a new OrderEvent More...

Events inherited from QuantConnect.Securities.IOrderEventProvider
EventHandler< OrderEvent >	NewOrderEvent
	Event fired when there is a new OrderEvent More...

Detailed Description

This transaction handler is used for processing transactions during backtests

Definition at line 30 of file BacktestingTransactionHandler.cs.

Member Function Documentation

◆ Initialize()

override void QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler.Initialize	(	IAlgorithm	algorithm,
		IBrokerage	brokerage,
		IResultHandler	resultHandler
	)