QuantConnect.Orders.MarketOnCloseOrder Class Reference

Market on close order type - submits a market order on exchange close More...

Inheritance diagram for QuantConnect.Orders.MarketOnCloseOrder:

Public Member Functions
	MarketOnCloseOrder ()
	Intiializes a new instance of the MarketOnCloseOrder class. More...
	MarketOnCloseOrder (Symbol symbol, decimal quantity, DateTime time, string tag="", IOrderProperties properties=null)
	Intiializes a new instance of the MarketOnCloseOrder class. More...
override Order	Clone ()
	Creates a deep-copy clone of this order More...
Public Member Functions inherited from QuantConnect.Orders.Order
virtual IEnumerable< IPosition >	CreatePositions (SecurityManager securities)
	Creates an enumerable containing each position resulting from executing this order. More...
decimal	GetValue (Security security)
	Gets the value of this order at the given market price in units of the account currency NOTE: Some order types derive value from other parameters, such as limit prices More...
virtual string	GetDefaultTag ()
	Gets the default tag for this order More...
virtual void	ApplyUpdateOrderRequest (UpdateOrderRequest request)
	Modifies the state of this order to match the update request More...
override string	ToString ()
	Returns a string that represents the current object. More...

Static Public Attributes
static readonly TimeSpan	DefaultSubmissionTimeBuffer = TimeSpan.FromMinutes(15.5)
	Gets the default interval before market close that an MOC order may be submitted. For example, US equity exchanges typically require MOC orders to be placed no later than 15 minutes before market close, which yields a nominal time of 3:45PM. This buffer value takes into account the 15 minutes and adds an additional 30 seconds to account for other potential delays, such as LEAN order processing and placement of the order to the exchange. More...
static TimeSpan	SubmissionTimeBuffer = DefaultSubmissionTimeBuffer
	The interval before market close that an MOC order may be submitted. More...

Protected Member Functions
override decimal	GetValueImpl (Security security)
	Gets the order value in units of the security's quote currency More...
Protected Member Functions inherited from QuantConnect.Orders.Order
	Order ()
	Added a default constructor for JSON Deserialization: More...
	Order (Symbol symbol, decimal quantity, DateTime time, GroupOrderManager groupOrderManager, string tag="", IOrderProperties properties=null)
	New order constructor More...
	Order (Symbol symbol, decimal quantity, DateTime time, string tag="", IOrderProperties properties=null)
	New order constructor More...
void	CopyTo (Order order)
	Copies base Order properties to the specified order More...

Properties
override OrderType	Type [get]
	MarketOnClose Order Type More...
Properties inherited from QuantConnect.Orders.Order
int	Id [get, set]
	Order ID. More...
int	ContingentId [get, set]
	Order id to process before processing this order. More...
List< string >	BrokerId [get, set]
	Brokerage Id for this order for when the brokerage splits orders into multiple pieces More...
Symbol	Symbol [get, set]
	Symbol of the Asset More...
decimal	Price [get, set]
	Price of the Order. More...
string	PriceCurrency [get, set]
	Currency for the order price More...
DateTime	Time [get, set]
	Gets the utc time the order was created. More...
DateTime?	LastFillTime [get, set]
	Gets the utc time the last fill was received, or null if no fills have been received More...
DateTime?	LastUpdateTime [get, set]
	Gets the utc time this order was last updated, or null if the order has not been updated. More...
DateTime?	CanceledTime [get, set]
	Gets the utc time this order was canceled, or null if the order was not canceled. More...
virtual decimal	Quantity [get, set]
	Number of shares to execute. More...
abstract OrderType	Type [get]
	Order Type More...
OrderStatus	Status [get, set]
	Status of the Order More...
string	Tag [get, set]
	Tag the order with some custom data More...
IOrderProperties	Properties [get]
	Additional properties of the order More...
OrderDirection	Direction [get]
	Order Direction Property based off Quantity. More...
OrderSubmissionData	OrderSubmissionData [get, set]
	Gets the price data at the time the order was submitted More...
bool	IsMarketable [get]
	Returns true if the order is a marketable order. More...
GroupOrderManager	GroupOrderManager [get, set]
	Manager for the orders in the group if this is a combo order More...
DataNormalizationMode	PriceAdjustmentMode [get, set]
	The adjustment mode used on the order fill price More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Orders.Order
static Order	CreateOrder (SubmitOrderRequest request)
	Creates an Order to match the specified request More...
Public Attributes inherited from QuantConnect.Orders.Order
DateTime	CreatedTime => Time
	Gets the utc time this order was created. Alias for Time More...
TimeInForce	TimeInForce => Properties.TimeInForce
	Order Time In Force More...
SecurityType	SecurityType => Symbol.ID.SecurityType
	The symbol's security type More...
decimal	AbsoluteQuantity => Math.Abs(Quantity)
	Get the absolute quantity for this order More...
decimal	Value => Quantity * Price
	Deprecated More...

Detailed Description

Market on close order type - submits a market order on exchange close

Definition at line 25 of file MarketOnCloseOrder.cs.

Constructor & Destructor Documentation

MarketOnCloseOrder() [1/2]

QuantConnect.Orders.MarketOnCloseOrder.MarketOnCloseOrder

(

)

Intiializes a new instance of the MarketOnCloseOrder class.

Definition at line 55 of file MarketOnCloseOrder.cs.

Here is the caller graph for this function:

MarketOnCloseOrder() [2/2]

QuantConnect.Orders.MarketOnCloseOrder.MarketOnCloseOrder	(	Symbol	symbol,
		decimal	quantity,
		DateTime	time,
		string	tag = "",
		IOrderProperties	properties = null
	)

Intiializes a new instance of the MarketOnCloseOrder class.

Parameters

symbol	The security's symbol being ordered
quantity	The number of units to order
time	The current time
tag	A user defined tag for the order
properties	The order properties for this order

Definition at line 67 of file MarketOnCloseOrder.cs.

Member Function Documentation

GetValueImpl()

override decimal QuantConnect.Orders.MarketOnCloseOrder.GetValueImpl ( Security  security )

protectedvirtual

Gets the order value in units of the security's quote currency

Parameters

security

The security matching this order's symbol

Implements QuantConnect.Orders.Order.

Definition at line 76 of file MarketOnCloseOrder.cs.

Clone()

override Order QuantConnect.Orders.MarketOnCloseOrder.Clone ( )

virtual

Creates a deep-copy clone of this order

Returns

A copy of this order

Implements QuantConnect.Orders.Order.

Definition at line 85 of file MarketOnCloseOrder.cs.

Here is the call graph for this function:

Member Data Documentation

DefaultSubmissionTimeBuffer

readonly TimeSpan QuantConnect.Orders.MarketOnCloseOrder.DefaultSubmissionTimeBuffer = TimeSpan.FromMinutes(15.5)

static

Gets the default interval before market close that an MOC order may be submitted. For example, US equity exchanges typically require MOC orders to be placed no later than 15 minutes before market close, which yields a nominal time of 3:45PM. This buffer value takes into account the 15 minutes and adds an additional 30 seconds to account for other potential delays, such as LEAN order processing and placement of the order to the exchange.

Definition at line 35 of file MarketOnCloseOrder.cs.

SubmissionTimeBuffer

TimeSpan QuantConnect.Orders.MarketOnCloseOrder.SubmissionTimeBuffer = DefaultSubmissionTimeBuffer

static

The interval before market close that an MOC order may be submitted.

Configurable so advanced users may modify this for special cases; Related issue: Github #5481

Definition at line 42 of file MarketOnCloseOrder.cs.

Property Documentation

Type

override OrderType QuantConnect.Orders.MarketOnCloseOrder.Type

get

MarketOnClose Order Type

Definition at line 48 of file MarketOnCloseOrder.cs.

---

The documentation for this class was generated from the following file:

• Common/Orders/MarketOnCloseOrder.cs