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Validate buying power for combo order updates #9750

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69 changes: 65 additions & 4 deletions Engine/TransactionHandlers/BrokerageTransactionHandler.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -993,9 +993,7 @@ private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
isClosedOrderUpdate = true;
}

// rounds off the order towards 0 to the nearest multiple of lot size
security ??= _algorithm.Securities[order.Symbol];
order.Quantity = RoundOffOrder(order, security);

// verify that our current brokerage can actually update the order
BrokerageMessageEvent message;
Expand All @@ -1011,10 +1009,39 @@ private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
return response;
}

// If the order is not part of a ComboLegLimit update, validate sufficient buying power
if (order.GroupOrderManager == null)
// Validate the proposed order without changing the order held by the transaction handler. For combo orders,
// the buying power model must see every leg with the proposed group-level update applied.
if (order.GroupOrderManager != null)
{
if (!order.TryGetGroupOrders(GetComboOrderLeg, out var comboOrders))
{
var errorMessage = $"Unable to update order with id {request.OrderId} because its combo group is incomplete.";
_algorithm.Error(errorMessage);
return OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, errorMessage);
}

var updatedOrders = CloneGroupOrders(comboOrders);
var updatedOrder = updatedOrders.Single(o => o.Id == order.Id);
// Round the candidate rather than the live order so a rejected update has no side effects.
updatedOrder.Quantity = RoundOffOrder(updatedOrder, security);
updatedOrder.ApplyUpdateOrderRequest(request);
if (!updatedOrders.TryGetGroupOrdersSecurities(_algorithm.Portfolio, out var securities))
{
var errorMessage = $"Unable to update order with id {request.OrderId} because a combo leg security is missing.";
_algorithm.Error(errorMessage);
return OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, errorMessage);
}

if (!HasSufficientBuyingPowerForOrders(updatedOrder, request, out var validationResult, updatedOrders, securities))
{
return validationResult;
}
}
else
{
var updatedOrder = order.Clone();
// Round the candidate rather than the live order so a rejected update has no side effects.
updatedOrder.Quantity = RoundOffOrder(updatedOrder, security);
updatedOrder.ApplyUpdateOrderRequest(request);
if (!HasSufficientBuyingPowerForOrders(updatedOrder, request, out var validationResult))
{
Expand All @@ -1023,6 +1050,8 @@ private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
}

// modify the values of the order object
// rounds off the order towards 0 to the nearest multiple of lot size
order.Quantity = RoundOffOrder(order, security);
order.ApplyUpdateOrderRequest(request);

// rounds the order prices
Expand Down Expand Up @@ -1917,6 +1946,38 @@ private Order GetComboOrderLeg(int orderId)
return order;
}

/// <summary>
/// Creates isolated copies of all orders in a combo for a what-if buying power check.
/// Combo orders share their group manager, so the manager must be copied as well before applying an update.
/// </summary>
private static List<Order> CloneGroupOrders(List<Order> orders)
{
var groupOrderManager = orders[0].GroupOrderManager;
var clonedGroupOrderManager = new GroupOrderManager(
groupOrderManager.Id,
groupOrderManager.Count,
groupOrderManager.Quantity,
groupOrderManager.LimitPrice);

lock (groupOrderManager.OrderIds)
{
foreach (var orderId in groupOrderManager.OrderIds)
{
clonedGroupOrderManager.OrderIds.Add(orderId);
}
}

var clonedOrders = new List<Order>(orders.Count);
foreach (var order in orders)
{
var clonedOrder = order.Clone();
clonedOrder.GroupOrderManager = clonedGroupOrderManager;
clonedOrders.Add(clonedOrder);
}

return clonedOrders;
}

private void InvalidateOrders(List<Order> orders, string message)
{
for (var i = 0; i < orders.Count; i++)
Expand Down
93 changes: 93 additions & 0 deletions Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1116,6 +1116,96 @@ public void UpdateOrderRequestShouldWork()
Assert.IsTrue(_algorithm.OrderEvents[1].Status == OrderStatus.UpdateSubmitted);
}

[Test]
public void ComboOrderUpdateShouldRejectInsufficientBuyingPowerWithoutMutatingTheGroup()
{
_transactionHandler = new TestBrokerageTransactionHandler();
using var brokerage = new NoSubmitTestBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());

var security1 = (Security)_algorithm.AddEquity("SPY");
var security2 = (Security)_algorithm.AddEquity("AAPL");
security1.SetMarketPrice(new Tick(DateTime.UtcNow, security1.Symbol, 100, 100));
security2.SetMarketPrice(new Tick(DateTime.UtcNow, security2.Symbol, 100, 100));

var firstBuyingPowerModel = new Mock<IBuyingPowerModel>();
firstBuyingPowerModel
.Setup(model => model.HasSufficientBuyingPowerForOrder(It.IsAny<HasSufficientBuyingPowerForOrderParameters>()))
.Returns(new HasSufficientBuyingPowerForOrderResult(true));
security1.SetBuyingPowerModel(firstBuyingPowerModel.Object);

var secondBuyingPowerModel = new Mock<IBuyingPowerModel>();
secondBuyingPowerModel
.Setup(model => model.HasSufficientBuyingPowerForOrder(It.IsAny<HasSufficientBuyingPowerForOrderParameters>()))
.Returns((HasSufficientBuyingPowerForOrderParameters parameters) =>
new HasSufficientBuyingPowerForOrderResult(parameters.Order.Quantity <= 1, "insufficient combo buying power"));
security2.SetBuyingPowerModel(secondBuyingPowerModel.Object);

var groupOrderManager = new GroupOrderManager(1, 2, 1);
var firstOrder = new ComboMarketOrder(security1.Symbol, 1, DateTime.UtcNow, groupOrderManager);
var secondOrder = new ComboMarketOrder(security2.Symbol, 1, DateTime.UtcNow, groupOrderManager);
_transactionHandler.AddOpenOrder(firstOrder, _algorithm);
_transactionHandler.AddOpenOrder(secondOrder, _algorithm);

var updateRequest = new UpdateOrderRequest(DateTime.UtcNow, firstOrder.Id, new UpdateOrderFields { Quantity = 2 });
_transactionHandler.Process(updateRequest);
_transactionHandler.HandleOrderRequest(updateRequest);

Assert.IsTrue(updateRequest.Response.IsError);
Assert.AreEqual(OrderResponseErrorCode.BrokerageFailedToUpdateOrder, updateRequest.Response.ErrorCode);
Assert.AreEqual(1, groupOrderManager.Quantity);
Assert.AreEqual(1, firstOrder.Quantity);
Assert.AreEqual(1, secondOrder.Quantity);
secondBuyingPowerModel.Verify(model => model.HasSufficientBuyingPowerForOrder(
It.Is<HasSufficientBuyingPowerForOrderParameters>(parameters => parameters.Order.Quantity == 2)), Times.Once);
Assert.IsEmpty(brokerage.UpdatedOrders);
}

[Test]
public void ComboOrderUpdateShouldValidateTheCompleteGroupAndUpdateBrokerage()
{
_transactionHandler = new TestBrokerageTransactionHandler();
using var brokerage = new NoSubmitTestBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());

var security1 = (Security)_algorithm.AddEquity("SPY");
var security2 = (Security)_algorithm.AddEquity("AAPL");
security1.SetMarketPrice(new Tick(DateTime.UtcNow, security1.Symbol, 100, 100));
security2.SetMarketPrice(new Tick(DateTime.UtcNow, security2.Symbol, 100, 100));

var firstBuyingPowerModel = new Mock<IBuyingPowerModel>();
firstBuyingPowerModel
.Setup(model => model.HasSufficientBuyingPowerForOrder(It.IsAny<HasSufficientBuyingPowerForOrderParameters>()))
.Returns(new HasSufficientBuyingPowerForOrderResult(true));
security1.SetBuyingPowerModel(firstBuyingPowerModel.Object);

var secondBuyingPowerModel = new Mock<IBuyingPowerModel>();
secondBuyingPowerModel
.Setup(model => model.HasSufficientBuyingPowerForOrder(It.IsAny<HasSufficientBuyingPowerForOrderParameters>()))
.Returns(new HasSufficientBuyingPowerForOrderResult(true));
security2.SetBuyingPowerModel(secondBuyingPowerModel.Object);

var groupOrderManager = new GroupOrderManager(1, 2, 1);
var firstOrder = new ComboMarketOrder(security1.Symbol, 1, DateTime.UtcNow, groupOrderManager);
var secondOrder = new ComboMarketOrder(security2.Symbol, 1, DateTime.UtcNow, groupOrderManager);
_transactionHandler.AddOpenOrder(firstOrder, _algorithm);
_transactionHandler.AddOpenOrder(secondOrder, _algorithm);

var updateRequest = new UpdateOrderRequest(DateTime.UtcNow, firstOrder.Id, new UpdateOrderFields { Quantity = 2 });
_transactionHandler.Process(updateRequest);
_transactionHandler.HandleOrderRequest(updateRequest);

Assert.IsTrue(updateRequest.Response.IsSuccess);
Assert.AreEqual(2, groupOrderManager.Quantity);
Assert.AreEqual(2, firstOrder.Quantity);
Assert.AreEqual(2, secondOrder.Quantity);
secondBuyingPowerModel.Verify(model => model.HasSufficientBuyingPowerForOrder(
It.Is<HasSufficientBuyingPowerForOrderParameters>(parameters => parameters.Order.Quantity == 2)), Times.Once);
Assert.That(brokerage.UpdatedOrders, Has.Count.EqualTo(1));
Assert.AreEqual(firstOrder.Id, brokerage.UpdatedOrders[0].Id);
Assert.AreEqual(2, brokerage.UpdatedOrders[0].Quantity);
}

[Test]
public void UpdatePartiallyFilledOrderRequestShouldWork()
{
Expand Down Expand Up @@ -3039,6 +3129,8 @@ internal class NoSubmitTestBrokerage : Brokerage
{
private BacktestingBrokerage _underlyingBrokerage;

public List<Order> UpdatedOrders { get; } = new();

public override bool IsConnected => _underlyingBrokerage.IsConnected;

public NoSubmitTestBrokerage(IAlgorithm algorithm) : base("NoSubmitTestBrokerage")
Expand All @@ -3051,6 +3143,7 @@ public override bool PlaceOrder(Order order)
}
public override bool UpdateOrder(Order order)
{
UpdatedOrders.Add(order);
return true;
}
public void PublishOrderEvent(OrderEvent orderEvent)
Expand Down