private void MatchBuyLogic(OrderEventArgs e)
{
foreach (Order curOrder in e.SellBook)
{
if (e.Order.OrderType == "MARKET" && e.Order.Quantity > 0)
{
Console.WriteLine("Match found..Generate Market Order Trade..");
int quantity = Math.Min(e.Order.Quantity, curOrder.Quantity); //need to check this
curOrder.Quantity = curOrder.Quantity - quantity;
e.Order.Quantity = e.Order.Quantity - quantity;
Console.WriteLine(quantity.ToString() + " " + curOrder.Instrument.ToString() + " at " + curOrder.LimitPrice.ToString() + " order ID's " + curOrder.OrderID.ToString() + " & " + e.Order.OrderID.ToString());
// write executed orders to xml file
//records trade info and sends executed order info back to client
FuturesOrder executedOrder1 = (FuturesOrder)curOrder.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder1.executionPrice = curOrder.LimitPrice;
executedOrder1.ExecutionTimeStamp = DateTime.Now;
FuturesOrder executedOrder2 = (FuturesOrder)e.Order.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder2.executionPrice = curOrder.LimitPrice;
executedOrder2.ExecutionTimeStamp = DateTime.Now;
//send executed order back to client
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder1); //used to update margin with actual execution price
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder2); //used to update margin with actual execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder1));
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder2));
}
else if (curOrder.LimitPrice <= e.Order.LimitPrice && e.Order.Quantity > 0)
{
Console.WriteLine("Match found..Generate Trade..");
int quantity = Math.Min(e.Order.Quantity, curOrder.Quantity);
curOrder.Quantity = curOrder.Quantity - e.Order.Quantity;
e.Order.Quantity = e.Order.Quantity - quantity;
Console.WriteLine(quantity.ToString() + " " + curOrder.Instrument.ToString() + " at " + curOrder.LimitPrice.ToString() + " order ID's " + curOrder.OrderID.ToString() + " & " + e.Order.OrderID.ToString());
//records trade info and sends executed order info back to client
FuturesOrder executedOrder1 = (FuturesOrder)curOrder.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder1.executionPrice = curOrder.LimitPrice;
executedOrder1.ExecutionTimeStamp = DateTime.Now;
FuturesOrder executedOrder2 = (FuturesOrder)e.Order.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder2.executionPrice = curOrder.LimitPrice;
executedOrder2.ExecutionTimeStamp = DateTime.Now;
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder1); //used to update margin with actual execution price
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder2); //used to update margin with actual execution price
//send executed order back to client
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder1));
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder2));
}
else
{
break;
}
}
}
// Jason validates incoming orders
private bool ValidateOrder(Order order)
{
bool marginCheck;
//marginCheck = true; // ClearingHouse.checkTraderMargin(order); // turned off for now
if (!oprocItems.Contains(order.Instrument))
{
order.Message = order.Instrument + " is not a valid instrument";
return(false);
}
if (order.BuySell != "B" && order.BuySell != "S")
{
order.Message = "Have not stated whether order is to buy or sell";
return(false);
}
if (order.OrderType != "STOP" && order.OrderType != "LIMIT" && order.OrderType != "MARKET")
{
order.Message = "Not a valid order type, only allowed orders are 'Market', 'Limit', 'Stop'";
return(false);
}
if (order.LimitPrice < 1.00 && order.OrderType == "LIMIT" || order.StopPrice < 1.00 && order.OrderType == "STOP")
{
order.Message = "price too low";
return(false);
}
if (order.Active == false)
{
order.Message = "Order has been canceled";
return(false);
}
//locked for testing
lock (this) { marginCheck = ClearingHouseTest.CheckMarginAmount(order); }
if (!marginCheck)
{
order.Message = "Does not meet margin requirement";
return(false);
}
return(true);
}
private void processMatchedLimitOrders(ArrayList limitOrders, double openPrice, ArrayList marketOrders = null)
{
FuturesOrder processOrder;
while (limitOrders.Count > 0)
{
processOrder = (limitOrders[0] as FuturesOrder);
limitOrders.RemoveAt(0);
if (processOrder.Quantity != 0)
{
Console.WriteLine("0");
}
processOrder.executionPrice = openPrice;
processOrder.ExecutionTimeStamp = DateTime.Now;
ClearingHouseTest.UpdateMarginForExucutedOrder(processOrder); //to update margin account with execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(processOrder));
//send back to client
}
if (marketOrders != null)
{
while (marketOrders.Count > 0)
{
processOrder = (marketOrders[0] as FuturesOrder);
marketOrders.RemoveAt(0);
if (processOrder.Quantity != 0)
{
Console.WriteLine("0");
}
processOrder.executionPrice = openPrice;
processOrder.ExecutionTimeStamp = DateTime.Now;
//send back to client
ClearingHouseTest.UpdateMarginForExucutedOrder(processOrder);//used to update margin with actual execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(processOrder));
}
}
}
private bool DeleteOrder(string procName, Order delOrder)
{
bool deleted;
if (orderBook.ordersInProcess.ContainsKey(delOrder.OrderID.ToString()) == true)
{
Order removeOrder = orderBook.ordersInProcess[delOrder.OrderID.ToString()] as FuturesOrder;
removeOrder.Active = false;
delOrder.OrderAction = "DELETED";
delOrder.Quantity = 0;
orderBook.ordersInProcess.Remove(removeOrder.OrderID.ToString());
deleted = true;
}
else
{
deleted = orderBook.Delete(delOrder);
}
if (deleted == true) //also send sucessfully deleted confirmation back to client
{
ClearingHouseTest.UpdateMarginForDeletedOrder(delOrder); //used to update margin with actual execution price
Console.WriteLine("Order Deleted");
}
return(deleted);
}
