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Fixes issue when parsing LiveResult JSON with string OrderType values
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,111 @@ | ||
| /* | ||
| * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. | ||
| * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. | ||
| * | ||
| * Licensed under the Apache License, Version 2.0 (the "License"); | ||
| * you may not use this file except in compliance with the License. | ||
| * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, | ||
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| * See the License for the specific language governing permissions and | ||
| * limitations under the License. | ||
| */ | ||
|
|
||
| using System; | ||
| using System.Globalization; | ||
| using Newtonsoft.Json; | ||
| using Newtonsoft.Json.Linq; | ||
| using QuantConnect.Orders; | ||
|
|
||
| namespace QuantConnect.Report | ||
| { | ||
| /// <summary> | ||
| /// Normalizes the "Type" field to a value that will allow for | ||
| /// successful deserialization in the <see cref="OrderJsonConverter"/> class. | ||
| /// </summary> | ||
| /// <example> | ||
| /// All of these values should result in the same object: | ||
| /// <code> | ||
| /// [ | ||
| /// { "Type": "marketOnOpen", ... }, | ||
| /// { "Type": "MarketOnOpen", ... }, | ||
| /// { "Type": 4, ... }, | ||
| /// ] | ||
| /// </code> | ||
| /// </example> | ||
| /// <typeparam name="T">Result type to deserialize into</typeparam> | ||
| public class OrderTypeNormalizingJsonConverter : JsonConverter | ||
| { | ||
| private readonly JsonConverter _converter; | ||
|
|
||
| /// <summary> | ||
| /// Creates an instance of the class | ||
| /// </summary> | ||
| public OrderTypeNormalizingJsonConverter() | ||
| { | ||
| _converter = new OrderJsonConverter(); | ||
| } | ||
|
|
||
| public override bool CanConvert(Type objectType) | ||
| { | ||
| return typeof(Order).IsAssignableFrom(objectType); | ||
| } | ||
|
|
||
| public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer) | ||
| { | ||
| var token = JToken.ReadFrom(reader); | ||
| // Takes the Type field and selects the correct OrderType instance | ||
| var orderTypeValue = token["Type"].Value<string>(); | ||
| int orderTypeNumber; | ||
| var orderType = Parse.TryParse(orderTypeValue, NumberStyles.Any, out orderTypeNumber) ? | ||
| (OrderType)orderTypeNumber : | ||
| (OrderType)Enum.Parse(typeof(OrderType), orderTypeValue.ToPascalCase()); | ||
|
|
||
| var typeOfOrder = TypeFromOrderTypeEnum(orderType); | ||
| token["Type"] = (int)orderType; | ||
| return JsonConvert.DeserializeObject(token.ToString(), typeOfOrder, _converter); | ||
| } | ||
|
|
||
| public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer) | ||
| { | ||
| throw new NotImplementedException(); | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// Returns the object type belonging to the provided OrderType | ||
| /// </summary> | ||
| /// <param name="orderType">Order type</param> | ||
| /// <returns>Class type that supports the given OrderType</returns> | ||
| public static Type TypeFromOrderTypeEnum(OrderType orderType) | ||
| { | ||
| switch (orderType) | ||
| { | ||
| case OrderType.Market: | ||
| return typeof(MarketOrder); | ||
|
|
||
| case OrderType.Limit: | ||
| return typeof(LimitOrder); | ||
|
|
||
| case OrderType.StopMarket: | ||
| return typeof(StopMarketOrder); | ||
|
|
||
| case OrderType.StopLimit: | ||
| return typeof(StopLimitOrder); | ||
|
|
||
| case OrderType.MarketOnOpen: | ||
| return typeof(MarketOnOpenOrder); | ||
|
|
||
| case OrderType.MarketOnClose: | ||
| return typeof(MarketOnCloseOrder); | ||
|
|
||
| case OrderType.OptionExercise: | ||
| return typeof(OptionExerciseOrder); | ||
|
|
||
| default: | ||
| throw new ArgumentOutOfRangeException(); | ||
| } | ||
| } | ||
| } | ||
| } |
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