Support multi-leg orders for complex option strategies

Merge pull request #783 from the `alpacahq/feature/order-multi-legs` branch
alpacahq · Jan 29, 2025 · 3b62263 · 3b62263
2 parents 3db54f8 + 384ef85
commit 3b62263
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Showing 18 changed files with 801 additions and 35 deletions.
diff --git a/Alpaca.Markets.Extensions/Alpaca.Markets.Extensions.csproj b/Alpaca.Markets.Extensions/Alpaca.Markets.Extensions.csproj
@@ -12,9 +12,9 @@
   </PropertyGroup>
 
   <PropertyGroup>
-    <AssemblyVersion>8.0.0.0</AssemblyVersion>
-    <FileVersion>8.0.0.0</FileVersion>
-    <Version>8.0.0-alpha1</Version>
+    <AssemblyVersion>8.0.0.1</AssemblyVersion>
+    <FileVersion>8.0.0.1</FileVersion>
+    <Version>8.0.0-beta1</Version>
   </PropertyGroup>
 
   <PropertyGroup>

diff --git a/Alpaca.Markets.Tests/OrderTypeTest.cs b/Alpaca.Markets.Tests/OrderTypeTest.cs
@@ -125,6 +125,48 @@ public void BracketOrderCreationWorks()
                 .StopLoss(stopLossStopPrice, stopLossLimitPrice));
     }
 
+    [Fact]
+    public void MultiLegOrderCreationWorks()
+    {
+        const Decimal limitPrice = 100M;
+        const Decimal ratioQuantity = 0.25M;
+
+        var lfi = getOrderLegCreationInfo()
+            .Select(info => info.Intent.Leg(Stock, ratioQuantity, info.Side))
+            .ToList();
+        var lfs = getOrderLegCreationInfo()
+            .Select(info => info.Side.Leg(Stock, ratioQuantity, info.Intent))
+            .ToList();
+
+        assertOrdersAreEqual(
+            MultiLegOrder.Market(Quantity, lfi[0], lfi[1]),
+            MultiLegOrder.Market(Quantity, lfs[0], lfs[1]));
+        assertOrdersAreEqual(
+            MultiLegOrder.Market(Quantity, lfi[0], lfi[1], lfi[2]),
+            MultiLegOrder.Market(Quantity, lfs[0], lfs[1], lfs[2]));
+        assertOrdersAreEqual(
+            MultiLegOrder.Market(Quantity, lfi[0], lfi[1], lfi[2], lfi[3]),
+            MultiLegOrder.Market(Quantity, lfs[0], lfs[1], lfs[2], lfs[3]));
+
+        assertOrdersAreEqual(
+            MultiLegOrder.Limit(Quantity, limitPrice, lfi[0], lfi[1]),
+            MultiLegOrder.Limit(Quantity, limitPrice, lfs[0], lfs[1]));
+        assertOrdersAreEqual(
+            MultiLegOrder.Limit(Quantity, limitPrice, lfi[0], lfi[1], lfi[2]),
+            MultiLegOrder.Limit(Quantity, limitPrice, lfs[0], lfs[1], lfs[2]));
+        assertOrdersAreEqual(
+            MultiLegOrder.Limit(Quantity, limitPrice, lfi[0], lfi[1], lfi[2], lfi[3]),
+            MultiLegOrder.Limit(Quantity, limitPrice, lfs[0], lfs[1], lfs[2], lfs[3]));
+    }
+
+    private static IEnumerable<(PositionIntent Intent, OrderSide Side)> getOrderLegCreationInfo()
+    {
+        yield return (PositionIntent.BuyToClose, OrderSide.Buy);
+        yield return (PositionIntent.SellToClose, OrderSide.Sell);
+        yield return (PositionIntent.BuyToOpen, OrderSide.Buy);
+        yield return (PositionIntent.SellToOpen, OrderSide.Sell);
+    }
+
     private static void assertOrdersAreEqual(
         OrderBase lhs,
         OrderBase rhs)
@@ -227,6 +269,14 @@ private static void assertOrderBasePropertiesAreEqual(
         Assert.Equal(lhs.Type, rhs.Type);
     }
 
+    private static void assertOrdersAreEqual(
+        MultiLegOrder lhs,
+        MultiLegOrder rhs)
+    {
+        assertOrderBasePropertiesAreEqual(lhs, rhs);
+        assertJsonSerializedOrdersAreEqual(lhs, rhs);
+    }
+
     private static void assertJsonSerializedOrdersAreEqual(
         OrderBase lhs,
         OrderBase rhs) =>

diff --git a/Alpaca.Markets/Alpaca.Markets.csproj b/Alpaca.Markets/Alpaca.Markets.csproj
@@ -12,14 +12,15 @@
   </PropertyGroup>
 
   <PropertyGroup>
-    <AssemblyVersion>8.0.0.0</AssemblyVersion>
-    <FileVersion>8.0.0.0</FileVersion>
-    <Version>8.0.0-alpha1</Version>
+    <AssemblyVersion>8.0.0.1</AssemblyVersion>
+    <FileVersion>8.0.0.1</FileVersion>
+    <Version>8.0.0-beta1</Version>
   </PropertyGroup>
 
   <PropertyGroup>
     <PackageReleaseNotes>
 - Obsolete members cleanup - remove fully obsolete and convert warnings into errors.
+- Initial support for the options multi-legs orders were added in experimental mode.
     </PackageReleaseNotes>
     <Description>C# SDK for Alpaca Trade API https://docs.alpaca.markets/</Description>
     <RepositoryUrl>https://github.com/alpacahq/alpaca-trade-api-csharp</RepositoryUrl>

diff --git a/Alpaca.Markets/CompatibilitySuppressions.xml b/Alpaca.Markets/CompatibilitySuppressions.xml
@@ -554,6 +554,27 @@
     <Right>lib/net462/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetClass</Target>
+    <Left>lib/net462/Alpaca.Markets.dll</Left>
+    <Right>lib/net462/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetId</Target>
+    <Left>lib/net462/Alpaca.Markets.dll</Left>
+    <Right>lib/net462/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_OrderSide</Target>
+    <Left>lib/net462/Alpaca.Markets.dll</Left>
+    <Right>lib/net462/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.LatestDataListRequest.#ctor(System.Collections.Generic.IEnumerable{System.String},Alpaca.Markets.CryptoExchange)</Target>
@@ -568,6 +589,13 @@
     <Right>lib/net462/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.NewOrderRequest.get_Side</Target>
+    <Left>lib/net462/Alpaca.Markets.dll</Left>
+    <Right>lib/net462/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.PortfolioHistoryRequest.get_TimeInterval</Target>
@@ -848,6 +876,27 @@
     <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetClass</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetId</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_OrderSide</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.LatestDataListRequest.#ctor(System.Collections.Generic.IEnumerable{System.String},Alpaca.Markets.CryptoExchange)</Target>
@@ -862,6 +911,13 @@
     <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.NewOrderRequest.get_Side</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.PortfolioHistoryRequest.get_TimeInterval</Target>
@@ -1142,6 +1198,27 @@
     <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetClass</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetId</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_OrderSide</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.LatestDataListRequest.#ctor(System.Collections.Generic.IEnumerable{System.String},Alpaca.Markets.CryptoExchange)</Target>
@@ -1156,6 +1233,13 @@
     <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.NewOrderRequest.get_Side</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.PortfolioHistoryRequest.get_TimeInterval</Target>
@@ -1436,6 +1520,27 @@
     <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetClass</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_AssetId</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.IOrder.get_OrderSide</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.LatestDataListRequest.#ctor(System.Collections.Generic.IEnumerable{System.String},Alpaca.Markets.CryptoExchange)</Target>
@@ -1450,13 +1555,83 @@
     <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0002</DiagnosticId>
+    <Target>M:Alpaca.Markets.NewOrderRequest.get_Side</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0002</DiagnosticId>
     <Target>M:Alpaca.Markets.PortfolioHistoryRequest.get_TimeInterval</Target>
     <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
     <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
     <IsBaselineSuppression>true</IsBaselineSuppression>
   </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetClass</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetId</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.OrderSide</Target>
+    <Left>lib/net6.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetClass</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetId</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.OrderSide</Target>
+    <Left>lib/netstandard2.0/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.0/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetClass</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.AssetId</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
+  <Suppression>
+    <DiagnosticId>CP0006</DiagnosticId>
+    <Target>P:Alpaca.Markets.IOrder.OrderSide</Target>
+    <Left>lib/netstandard2.1/Alpaca.Markets.dll</Left>
+    <Right>lib/netstandard2.1/Alpaca.Markets.dll</Right>
+    <IsBaselineSuppression>true</IsBaselineSuppression>
+  </Suppression>
   <Suppression>
     <DiagnosticId>CP0008</DiagnosticId>
     <Target>T:Alpaca.Markets.AccountActivityType</Target>

diff --git a/Alpaca.Markets/Enums/OrderClass.cs b/Alpaca.Markets/Enums/OrderClass.cs
@@ -4,6 +4,7 @@ namespace Alpaca.Markets;
 /// Order class for advanced orders in the Alpaca REST API.
 /// </summary>
 [JsonConverter(typeof(StringEnumConverter))]
+[SuppressMessage("ReSharper", "StringLiteralTypo")]
 public enum OrderClass
 {
     /// <summary>
@@ -29,5 +30,11 @@ public enum OrderClass
     /// One Triggers Other order
     /// </summary>
     [EnumMember(Value = "oto")]
-    OneTriggersOther
+    OneTriggersOther,
+
+    /// <summary>
+    /// Multi-leg options order
+    /// </summary>
+    [EnumMember(Value = "mleg")]
+    MultiLegOptions
 }
diff --git a/Alpaca.Markets/Helpers/JsonNewOrderExtensions.cs b/Alpaca.Markets/Helpers/JsonNewOrderExtensions.cs
@@ -9,6 +9,20 @@ public static JsonNewOrder WithoutLimitPrice(
         return order;
     }
 
+    public static JsonNewOrder WithoutOrderSide(
+        this JsonNewOrder order)
+    {
+        order.OrderSide = null;
+        return order;
+    }
+
+    public static JsonNewOrder WithoutSymbol(
+        this JsonNewOrder order)
+    {
+        order.Symbol = null;
+        return order;
+    }
+
     public static JsonNewOrder WithStopPrice(
         this JsonNewOrder order,
         Decimal stopPrice)
@@ -70,4 +84,12 @@ public static JsonNewOrder WithStopLoss(
         };
         return order;
     }
+
+    public static JsonNewOrder WithOrderLegs(
+        this JsonNewOrder order,
+        IEnumerable<JsonOrderLeg> legs)
+    {
+        (order.Legs ??= []).AddRange(legs);
+        return order;
+    }
 }
diff --git a/Alpaca.Markets/Helpers/Validation.cs b/Alpaca.Markets/Helpers/Validation.cs
@@ -53,6 +53,10 @@ public static TRequest Validate<TRequest>(
         return request;
     }
 
+    public static IEnumerable<RequestValidationException?> GetExceptions<T>(
+        this IEnumerable<T> items) =>
+        items.OfType<IRequest>().SelectMany(request => request.GetExceptions());
+
     public static RequestValidationException? TryValidateSymbolName(
         this String symbolName,
         [CallerArgumentExpression(nameof(symbolName))] String propertyName = "") =>