Enable transactions concurrency (#191)

* Enable transactions concurrency

* Fix sequential requests id when placing orders concurrently

* Minor change

Author: jhonabreul

QuantConnect.InteractiveBrokersBrokerage/InteractiveBrokersBrokerage.cs

@@ -290,6 +290,11 @@ public sealed class InteractiveBrokersBrokerage : Brokerage, IDataQueueHandler,
         /// </summary>
         public bool IsFinancialAdvisor => IsMasterAccount(_account);
 
+        /// <summary>
+        /// Enables concurrent order requests processing
+        /// </summary>
+        public override bool ConcurrencyEnabled => true;
+
         /// <summary>
         /// Returns true if the account is a financial advisor master account
         /// </summary>
@@ -714,6 +719,9 @@ public override List<Holding> GetAccountHoldings()
                 }
             }
 
+            // Prevent holdings calculation every time we receive portfolio updates from IB
+            _loadExistingHoldings = false;
+
             return holdings;
         }
 
@@ -1514,54 +1522,65 @@ private void IBPlaceOrder(Order order, bool needsNewId, string exchange = null)
                 }
             }
 
+            CheckRateLimiting();
+
             int ibOrderId;
-            if (needsNewId)
+            ManualResetEventSlim orderSubmittedEvent = null;
+
+            // Let's lock here so that getting request id and placing the order is atomic.
+            // If there are multiple threads placing orders at the same time, two threads could
+            // get ids but the one with the higher id could place the order first, making the other
+            // order request to fail, since IB will assume the previous request ID was already used.
+            lock (_nextValidIdLocker)
             {
-                // the order ids are generated for us by the SecurityTransactionManaer
-                var id = GetNextId();
-                foreach (var newOrder in orders)
+                if (needsNewId)
                 {
-                    newOrder.BrokerId.Add(id.ToStringInvariant());
+                    // the order ids are generated for us by the SecurityTransactionManaer
+                    var id = GetNextId();
+                    foreach (var newOrder in orders)
+                    {
+                        newOrder.BrokerId.Add(id.ToStringInvariant());
+                    }
+                    ibOrderId = id;
+                }
+                else if (order.BrokerId.Any())
+                {
+                    // this is *not* perfect code
+                    ibOrderId = Parse.Int(order.BrokerId[0]);
+                }
+                else
+                {
+                    throw new ArgumentException("Expected order with populated BrokerId for updating orders.");
                 }
-                ibOrderId = id;
-            }
-            else if (order.BrokerId.Any())
-            {
-                // this is *not* perfect code
-                ibOrderId = Parse.Int(order.BrokerId[0]);
-            }
-            else
-            {
-                throw new ArgumentException("Expected order with populated BrokerId for updating orders.");
-            }
-
-            Log.Trace($"InteractiveBrokersBrokerage.PlaceOrder(): Symbol: {order.Symbol.Value} Quantity: {order.Quantity}. Id: {order.Id}. BrokerId: {ibOrderId}");
 
-            _requestInformation[ibOrderId] = new RequestInformation
-            {
-                RequestId = ibOrderId,
-                RequestType = RequestType.PlaceOrder,
-                AssociatedSymbol = order.Symbol,
-                Message = $"[Id={ibOrderId}] IBPlaceOrder: {order.Symbol.Value} ({GetContractDescription(contract)} )"
-            };
+                Log.Trace($"InteractiveBrokersBrokerage.PlaceOrder(): Symbol: {order.Symbol.Value} Quantity: {order.Quantity}. Id: {order.Id}. BrokerId: {ibOrderId}");
 
-            CheckRateLimiting();
+                _requestInformation[ibOrderId] = new RequestInformation
+                {
+                    RequestId = ibOrderId,
+                    RequestType = RequestType.PlaceOrder,
+                    AssociatedSymbol = order.Symbol,
+                    Message = $"[Id={ibOrderId}] IBPlaceOrder: {order.Symbol.Value} ({GetContractDescription(contract)} )"
+                };
 
-            if (order.Type == OrderType.OptionExercise)
-            {
-                // IB API requires exerciseQuantity to be positive
-                _client.ClientSocket.exerciseOptions(ibOrderId, contract, 1, decimal.ToInt32(order.AbsoluteQuantity), _account, 0,
-                    string.Empty, string.Empty, false);
+                if (order.Type == OrderType.OptionExercise)
+                {
+                    // IB API requires exerciseQuantity to be positive
+                    _client.ClientSocket.exerciseOptions(ibOrderId, contract, 1, decimal.ToInt32(order.AbsoluteQuantity), _account, 0,
+                        string.Empty, string.Empty, false);
+                }
+                else
+                {
+                    _pendingOrderResponse[ibOrderId] = orderSubmittedEvent = new ManualResetEventSlim(false);
+                    var ibOrder = ConvertOrder(orders, contract, ibOrderId);
+                    _client.ClientSocket.placeOrder(ibOrder.OrderId, contract, ibOrder);
+                }
             }
-            else
-            {
-                ManualResetEventSlim eventSlim = _pendingOrderResponse[ibOrderId] = eventSlim = new ManualResetEventSlim(false);
-
-                var ibOrder = ConvertOrder(orders, contract, ibOrderId);
-                _client.ClientSocket.placeOrder(ibOrder.OrderId, contract, ibOrder);
 
+            if (order.Type != OrderType.OptionExercise)
+            {
                 var noSubmissionOrderTypes = _noSubmissionOrderTypes.Contains(order.Type);
-                if (!eventSlim.Wait(noSubmissionOrderTypes ? _noSubmissionOrdersResponseTimeout : _responseTimeout))
+                if (!orderSubmittedEvent.Wait(noSubmissionOrderTypes ? _noSubmissionOrdersResponseTimeout : _responseTimeout))
                 {
                     if (noSubmissionOrderTypes)
                     {
@@ -1575,7 +1594,7 @@ private void IBPlaceOrder(Order order, bool needsNewId, string exchange = null)
 
                         if (_pendingOrderResponse.TryRemove(ibOrderId, out var _))
                         {
-                            eventSlim.DisposeSafely();
+                            orderSubmittedEvent.DisposeSafely();
 
                             var orderEvents = orders.Where(order => order != null).Select(order => new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero)
                             {
@@ -1592,7 +1611,7 @@ private void IBPlaceOrder(Order order, bool needsNewId, string exchange = null)
                 }
                 else
                 {
-                    eventSlim.DisposeSafely();
+                    orderSubmittedEvent.DisposeSafely();
                 }
             }
         }