WIP: Updating StopOrders should fail if it causes insufficient margin

Algorithm.CSharp/UpdateStopOrdersRegressionAlgorithm.cs

@@ -0,0 +1,144 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Tests updating stop market orders while exceeding margin requirements, causing the order to become invalid.
+    /// </summary>
+    public class UpdateStopOrdersRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private OrderTicket _ticket;
+
+        public override void Initialize()
+        {
+            SetStartDate(2018, 4, 3);
+            SetEndDate(2018, 4, 4);
+
+            AddForex("EURUSD", Resolution.Minute);
+        }
+
+        public override void OnData(Slice data)
+        {
+            if (!Portfolio.Invested)
+            {
+                var qty = CalculateOrderQuantity("EURUSD", 50m);
+
+                MarketOrder("EURUSD", qty);
+
+                _ticket = StopMarketOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
+
+                Log($"Before TotalMarginUsed: {Portfolio.TotalMarginUsed}");
+
+                // Update the stop order with a new quantity and stop price
+                var updateSettings = new UpdateOrderFields
+                {
+                    // Attempt to increase the order quantity significantly
+                    Quantity = -qty * 10,
+                    StopPrice = Securities["EURUSD"].Price - 0.003m
+                };
+                var response = _ticket.Update(updateSettings);
+
+                if (response.IsSuccess)
+                {
+                    Log($"After TotalMarginUsed: {Portfolio.TotalMarginUsed}");
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            // If the stop market order is filled, clear the ticket
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+            if (order.Type == OrderType.StopMarket && orderEvent.Status == OrderStatus.Filled)
+            {
+                _ticket = null;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // If the order is not invalid (due to margin issues), raise an exception for the regression test
+            var order = Transactions.GetOrderById(_ticket.OrderId);
+            if (order.Status != OrderStatus.Invalid)
+            {
+                throw new RegressionTestException("Expected order to be invalid due to insufficient margin after update!");
+            }
+        }
+        /// <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", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "91982.00"},
+            {"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", "$250000.00"},
+            {"Lowest Capacity Asset", "EURUSD 8G"},
+            {"Portfolio Turnover", "3074.60%"},
+            {"OrderListHash", "373a8b2323b0fa4c15c80cd1abd25dd3"}
+        };
+    }
+}

Engine/TransactionHandlers/BrokerageTransactionHandler.cs

@@ -967,6 +967,16 @@ private OrderResponse HandleUpdateOrderRequest(UpdateOrderRequest request)
 
             ticket.SetOrder(order);
 
+            var hasSufficientBuyingPowerResult = _algorithm.Portfolio.HasSufficientBuyingPowerForOrder([order]);
+
+            if (!hasSufficientBuyingPowerResult.IsSufficient)
+            {
+                var errorMessage = $@"Order Error: id: [{order.Id}], Insufficient buying power to complete order, Reason: {hasSufficientBuyingPowerResult.Reason}.";
+                _algorithm.Error(errorMessage);
+                InvalidateOrders([order], errorMessage);
+                return OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, errorMessage);
+            }
+
             bool orderUpdated;
             if (isClosedOrderUpdate)
             {