Updating Orders should fail if it causes insufficient margin (#8553)

* Initial solution * Update regression test * Update assertions * Resolve PR comments * Add more order types to regression test * Update regression algorithm name * Update old regression algorithm * Refactor validation to check buying power only for non-ComboLeg update orders * Update ValidateSufficientBuyingPowerForOrders * Update regression algorithm * Resolve review comments * Use try out pattern
QuantConnect · Jan 31, 2025 · 077b6e4 · 077b6e4
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diff --git a/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs b/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs
@@ -0,0 +1,198 @@
+/*
+ * 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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm tests order updates with margin constraints to ensure that orders become invalid when exceeding margin requirements.
+    /// </summary>
+    public class InsufficientMarginOrderUpdateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private OrderTicket _stopOrderTicket;
+        private OrderTicket _limitOrderTicket;
+        private OrderTicket _trailingStopOrderTicket;
+        private bool _updatesReady;
+        private bool _updatesInProgress;
+        private int _updateEventsCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2018, 4, 3);
+            SetEndDate(2018, 4, 4);
+            AddForex("EURUSD", Resolution.Minute);
+            _updatesInProgress = true;
+            _updateEventsCount = 0;
+        }
+
+        public override void OnData(Slice data)
+        {
+
+            if (!Portfolio.Invested)
+            {
+                var qty = CalculateOrderQuantity("EURUSD", 50m);
+
+                MarketOrder("EURUSD", qty);
+
+                // Place stop market, limit, and trailing stop orders with half the quantity
+                _stopOrderTicket = StopMarketOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
+                _limitOrderTicket = LimitOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
+                _trailingStopOrderTicket = TrailingStopOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m, 0.01m, true);
+
+                // Update the stop order 
+                var updateStopOrderSettings = new UpdateOrderFields
+                {
+                    // Attempt to increase the order quantity significantly
+                    Quantity = -qty * 100,
+                    StopPrice = Securities["EURUSD"].Price - 0.003m
+                };
+                _stopOrderTicket.Update(updateStopOrderSettings);
+
+                // Update limit order
+                var updateLimitOrderSettings = new UpdateOrderFields
+                {
+                    // Attempt to increase the order quantity significantly
+                    Quantity = -qty * 100,
+                    LimitPrice = Securities["EURUSD"].Price - 0.003m
+                };
+                _limitOrderTicket.Update(updateLimitOrderSettings);
+
+                // Update trailing stop order
+                var updateTrailingStopOrderSettings = new UpdateOrderFields
+                {
+                    // Attempt to increase the order quantity significantly
+                    Quantity = -qty * 100,
+                    StopPrice = Securities["EURUSD"].Price - 0.003m,
+                    TrailingAmount = 0.01m,
+                };
+                _trailingStopOrderTicket.Update(updateTrailingStopOrderSettings);
+                _updatesReady = true;
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (_updatesReady && _updatesInProgress)
+            {
+                if (orderEvent.Status != OrderStatus.Submitted)
+                {
+                    throw new RegressionTestException($"Unexpected order event status {orderEvent.Status} received. Expected Submitted.");
+                }
+                // All updates have been enqueued and should be rejected one by one
+                if (orderEvent.OrderId == _stopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
+                {
+                    throw new RegressionTestException($"The stop order update should have been rejected due to insufficient margin");
+                }
+
+                if (orderEvent.Id == _limitOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
+                {
+                    throw new RegressionTestException($"The limit order update should have been rejected due to insufficient margin");
+                }
+
+                if (orderEvent.Id == _trailingStopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
+                {
+                    throw new RegressionTestException($"The trailing stop order update should have been rejected due to insufficient margin");
+                }
+                _updateEventsCount++;
+            }
+            if (_updateEventsCount >= 3)
+            {
+                _updatesInProgress = false;
+            }
+
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Updates were rejected, so all orders should be in Filled status
+            var orders = Transactions.GetOrders().ToList();
+            foreach (var order in orders)
+            {
+                if (order.Status != OrderStatus.Filled)
+                {
+                    throw new RegressionTestException($"Order {order.Id} with symbol {order.Symbol} should have been filled, but its current status is {order.Status}.");
+                }
+            }
+            if (!_updatesReady)
+            {
+                throw new RegressionTestException("Update Orders should be ready!");
+            }
+        }
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 2893;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 60;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "90809.64"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$99000.00"},
+            {"Lowest Capacity Asset", "EURUSD 8G"},
+            {"Portfolio Turnover", "6777.62%"},
+            {"OrderListHash", "505feaf1ae70ead2d7ab78ea257d7342"}
+        };
+    }
+}
diff --git a/Engine/TransactionHandlers/BrokerageTransactionHandler.cs b/Engine/TransactionHandlers/BrokerageTransactionHandler.cs
@@ -844,29 +844,9 @@ private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
             }
 
             // check to see if we have enough money to place the order
-            HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
-            try
+            if (!HasSufficientBuyingPowerForOrders(order, request, out var validationResult, orders, securities))
             {
-                hasSufficientBuyingPowerResult = _algorithm.Portfolio.HasSufficientBuyingPowerForOrder(orders);
-            }
-            catch (Exception err)
-            {
-                Log.Error(err);
-                _algorithm.Error($"Order Error: id: {order.Id.ToStringInvariant()}, Error executing margin models: {err.Message}");
-                HandleOrderEvent(new OrderEvent(order,
-                    _algorithm.UtcTime,
-                    OrderFee.Zero,
-                    "Error executing margin models"));
-                return OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder");
-            }
-
-            if (!hasSufficientBuyingPowerResult.IsSufficient)
-            {
-                var errorMessage = securities.GetErrorMessage(hasSufficientBuyingPowerResult);
-                _algorithm.Error(errorMessage);
-
-                InvalidateOrders(orders, errorMessage);
-                return OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
+                return validationResult;
             }
 
             // verify that our current brokerage can actually take the order
@@ -959,6 +939,17 @@ 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)
+            {
+                var updatedOrder = order.Clone();
+                updatedOrder.ApplyUpdateOrderRequest(request);
+                if (!HasSufficientBuyingPowerForOrders(updatedOrder, request, out var validationResult))
+                {
+                    return validationResult;
+                }
+            }
+
             // modify the values of the order object
             order.ApplyUpdateOrderRequest(request);
 
@@ -1057,6 +1048,53 @@ private OrderResponse HandleCancelOrderRequest(CancelOrderRequest request)
             return OrderResponse.Success(request);
         }
 
+        /// <summary>
+        /// Validates if there is sufficient buying power for the given order(s).
+        /// Returns an error response if validation fails or an exception occurs.
+        /// Returns null if validation passes.
+        /// </summary>
+        private bool HasSufficientBuyingPowerForOrders(Order order, OrderRequest request, out OrderResponse response, List<Order> orders = null, Dictionary<Order, Security> securities = null)
+        {
+            response = null;
+            HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
+            try
+            {
+                hasSufficientBuyingPowerResult = _algorithm.Portfolio.HasSufficientBuyingPowerForOrder(orders ?? [order]);
+            }
+            catch (Exception err)
+            {
+                Log.Error(err);
+                _algorithm.Error($"Order Error: id: {order.Id.ToStringInvariant()}, Error executing margin models: {err.Message}");
+                HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, OrderFee.Zero, "Error executing margin models"));
+
+                response = OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "An error occurred while checking sufficient buying power for the orders.");
+                return false;
+            }
+
+            if (!hasSufficientBuyingPowerResult.IsSufficient)
+            {
+                var errorMessage = securities != null
+                    ? securities.GetErrorMessage(hasSufficientBuyingPowerResult)
+                    : $"Brokerage failed to update order with id: {order.Id.ToStringInvariant()}, Symbol: {order.Symbol.Value}, Insufficient buying power to complete order, Reason: {hasSufficientBuyingPowerResult.Reason}.";
+
+                _algorithm.Error(errorMessage);
+
+                if (request is UpdateOrderRequest)
+                {
+                    HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, OrderFee.Zero, errorMessage));
+                    response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToUpdateOrder, errorMessage);
+                }
+                else
+                {
+                    InvalidateOrders(orders, errorMessage);
+                    response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
+                }
+                return false;
+            }
+
+            return true;
+        }
+
         private void HandleOrderEvents(List<OrderEvent> orderEvents)
         {
             lock (_lockHandleOrderEvent)