Refactor: Cross Zero Order event (#8110)

* refactor: reuse OrderEvent test:refactor: CrossZeroOrder proccess Status update * clean: extra paddings
QuantConnect · Jun 26, 2024 · 8a34d4a · 8a34d4a
1 parent 57f8962
commit 8a34d4a
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Showing 2 changed files with 8 additions and 32 deletions.
diff --git a/Brokerages/Brokerage.cs b/Brokerages/Brokerage.cs
@@ -758,7 +758,8 @@ protected bool TryHandleRemainingCrossZeroOrder(Order leanOrder, OrderEvent orde
             {
                 // if we have a contingent that needs to be submitted then we can't respect the 'Filled' state from the order
                 // because the Lean order hasn't been technically filled yet, so mark it as 'PartiallyFilled'
-                OnOrderEvent(new OrderEvent(leanOrder, DateTime.UtcNow, OrderFee.Zero) { Status = OrderStatus.PartiallyFilled, FillQuantity = orderEvent.FillQuantity });
+                orderEvent.Status = OrderStatus.PartiallyFilled;
+                OnOrderEvent(orderEvent);
 
                 Task.Run(() =>
                 {

diff --git a/Tests/Brokerages/OrderCrossingBrokerageTests.cs b/Tests/Brokerages/OrderCrossingBrokerageTests.cs
@@ -70,18 +70,10 @@ public void PlaceCrossOrder(Order leanOrder, OrderStatus[] expectedOrderStatusCh
 
             using var brokerage = InitializeBrokerage((leanOrder?.Symbol.Value, 180m, 10));
 
-            var skipFirstFilledEvent = default(bool);
             brokerage.OrdersStatusChanged += (_, orderEvents) =>
             {
                 var orderEventStatus = orderEvents[0].Status;
 
-                // Skip processing the first occurrence of the Filled event, The First Part of CrossZeroOrder was filled.
-                if (!skipFirstFilledEvent && orderEventStatus == OrderStatus.Filled)
-                {
-                    skipFirstFilledEvent = true;
-                    return;
-                }
-
                 actualCrossZeroOrderStatusOrdering.Enqueue(orderEventStatus);
 
                 Log.Trace($"{nameof(PlaceCrossOrder)}.OrdersStatusChangedEvent.Status: {orderEventStatus}");
@@ -146,18 +138,10 @@ public void PlaceCrossOrderAndUpdate(Order leanOrder, OrderStatus[] expectedOrde
 
             using var brokerage = InitializeBrokerage((leanOrder?.Symbol.Value, 180m, 10));
 
-            var skipFirstFilledEvent = default(bool);
             brokerage.OrdersStatusChanged += (_, orderEvents) =>
             {
                 var orderEventStatus = orderEvents[0].Status;
 
-                // Skip processing the first occurrence of the Filled event, The First Part of CrossZeroOrder was filled.
-                if (!skipFirstFilledEvent && orderEventStatus == OrderStatus.Filled)
-                {
-                    skipFirstFilledEvent = true;
-                    return;
-                }
-
                 actualCrossZeroOrderStatusOrdering.Enqueue(orderEventStatus);
 
                 Log.Trace($"{nameof(PlaceCrossOrder)}.OrdersStatusChangedEvent.Status: {orderEventStatus}");
@@ -358,13 +342,6 @@ private class PhonyBrokerage : Brokerage
             /// <inheritdoc cref="CancellationTokenSource"/>
             private readonly CancellationTokenSource _cancellationTokenSource = new();
 
-            /// <summary>
-            /// Indicates whether the first occurrence of the Filled event has been skipped.
-            /// Used to ensure the first Filled event is processed appropriately for setting the
-            /// order state to PartiallyFilled.
-            /// </summary>
-            private bool _isSkipFirstFilled;
-
             /// <summary>
             /// Temporarily stores the IDs of brokerage orders for testing purposes.
             /// </summary>
@@ -409,13 +386,7 @@ private void OrdersStatusChangedEventHandler(object _, List<OrderEvent> orderEve
                     leanOrder = _orderProvider.GetOrderById(orderEvent.OrderId);
                 }
 
-                // Process the first occurrence of the Filled event to simulate the leanOrder as PartiallyFilled.
-                if (!_isSkipFirstFilled && orderEvent.Status == OrderStatus.Filled)
-                {
-                    _isSkipFirstFilled = true;
-                    TryHandleRemainingCrossZeroOrder(leanOrder, orderEvent);
-                }
-                else
+                if (!TryHandleRemainingCrossZeroOrder(leanOrder, orderEvent))
                 {
                     _orderProvider.UpdateOrderStatusById(orderEvent.OrderId, orderEvent.Status);
                 }
@@ -592,7 +563,11 @@ private void ImitationBrokerageOrderUpdates()
                         {
                             if (order.Status == OrderStatus.Submitted || order.Status == OrderStatus.PartiallyFilled || order.Status == OrderStatus.UpdateSubmitted)
                             {
-                                OnOrderEvent(new OrderEvent(order, new DateTime(2024, 6, 10), OrderFee.Zero) { Status = OrderStatus.Filled });
+                                var orderEvent = new OrderEvent(order, new DateTime(2024, 6, 10), OrderFee.Zero) { Status = OrderStatus.Filled };
+                                if (!TryHandleRemainingCrossZeroOrder(order, orderEvent))
+                                {
+                                    OnOrderEvent(orderEvent);
+                                }
                             }
                         }
                     }