/// <summary>
/// Handles a change to a filled state.
/// </summary>
/// <param name="workingOrderRow">The parent working order.</param>
static void OnFilledAction(DataModel.WorkingOrderRow workingOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will lock the WorkingOrderRow while we examine it.
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
if (workingOrderRow.RowState == DataRowState.Detached)
{
return;
}
// This will mark the working order as filled when the quantity executed is the same as the quantity ordered. The only exception to this is when ng
// the workiorder is in an error state.
if (workingOrderRow.StatusCode != StatusCode.Error)
{
Decimal quantityOrdered = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
Decimal quantityExecuted = WorkingOrderService.GetExecutionQuantity(dataModelTransaction, workingOrderRow);
if (quantityOrdered == quantityExecuted)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.Filled);
}
}
}
/// <summary>
/// Handles a change to a cancelled state.
/// </summary>
/// <param name="workingOrderRow">The parent working order.</param>
static void OnCanceledAction(DataModel.WorkingOrderRow workingOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will lock the WorkingOrderRow while we examine it.
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
if (workingOrderRow.RowState == DataRowState.Detached)
{
return;
}
// When a destination order is canceled we will return the order to its previous state (as determined by aggregating the executed and destination
// quantities). The only exception to this is when the working order is in the error state.
if (workingOrderRow.StatusCode != StatusCode.Error)
{
Decimal quantityExecuted = WorkingOrderService.GetExecutionQuantity(dataModelTransaction, workingOrderRow);
Decimal quantityOrdered = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
if (quantityExecuted == 0.0M && workingOrderRow.StatusCode != StatusCode.New)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.New);
}
if (0.0M < quantityExecuted && quantityExecuted < quantityOrdered && workingOrderRow.StatusCode != StatusCode.PartiallyFilled)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.PartiallyFilled);
}
}
}
/// <summary>
/// Validates the source order row when it is deleted.
/// </summary>
/// <param name="sourceOrderRow">The source order row that was deleted.</param>
static void OnSourceOrderDelete(DataModel.SourceOrderRow sourceOrderRow)
{
// We'll need to add several rows to the transaction as we validate the source order deletion.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// There is no implicit locking mechanism for deleted rows, so we need to lock the record manually as we access the parent working order of the deleted
// source order.
DataModel.WorkingOrderRow workingOrderRow = null;
try
{
DataModel.DataLock.EnterReadLock();
workingOrderRow = ((DataModel.WorkingOrderRow)(sourceOrderRow.GetParentRow(DataModel.SourceOrder.WorkingOrderSourceOrderRelation, DataRowVersion.Original)));
}
finally
{
DataModel.DataLock.ExitReadLock();
}
workingOrderRow.AcquireReaderLock(dataModelTransaction);
// This will insure that the quantity ordered doesn't fall below the quantity placed with brokers and exchanges.
Decimal sourceOrderQuantity = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
Decimal destinationOrderQuantity = WorkingOrderService.GetDestinationOrderQuantity(dataModelTransaction, workingOrderRow);
if (sourceOrderQuantity < destinationOrderQuantity)
{
throw new FaultException <DestinationQuantityFault>(
new DestinationQuantityFault(workingOrderRow.WorkingOrderId, sourceOrderQuantity, destinationOrderQuantity));
}
}
/// <summary>
/// Validates the source order row when it changes.
/// </summary>
/// <param name="sourceOrderRow">The source order row that was changed.</param>
static void OnSourceOrderChange(DataModel.SourceOrderRow sourceOrderRow)
{
// We can't allow the quantity of source order shares to drop below the quantity of destination order shares. We only need to check for this condition
// when the quantity of the source order record has changed.
Decimal originalQuantity = (Decimal)sourceOrderRow[DataModel.SourceOrder.OrderedQuantityColumn, DataRowVersion.Original];
Decimal currentQuantity = (Decimal)sourceOrderRow[DataModel.SourceOrder.OrderedQuantityColumn, DataRowVersion.Current];
if (originalQuantity < currentQuantity)
{
// We'll need to lock several records in order to check source order and destination order totals.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// Get the working order associated with this source order and lock it.
DataModel.WorkingOrderRow workingOrderRow = sourceOrderRow.WorkingOrderRow;
workingOrderRow.AcquireReaderLock(dataModelTransaction);
// Now aggregate the source order quantities and the destination order quantities. Throw an exception if the source orders are less than the
// destination orders (we can't have less quantity ordered than we've placed with brokers and exchanges).
Decimal sourceOrderQuantity = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
Decimal destinationOrderQuantity = WorkingOrderService.GetDestinationOrderQuantity(dataModelTransaction, workingOrderRow);
if (sourceOrderQuantity < destinationOrderQuantity)
{
throw new FaultException <DestinationQuantityFault>(
new DestinationQuantityFault(workingOrderRow.WorkingOrderId, sourceOrderQuantity, destinationOrderQuantity));
}
}
}
/// <summary>
/// Handler for validating Destination Order records.
/// </summary>
/// <param name="sender">The object that originated the event.</param>
/// <param name="e">The event arguments.</param>
static void OnDestinationOrderAdd(DataModel.DestinationOrderRow destinationOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
DataModel.WorkingOrderRow workingOrderRow = destinationOrderRow.WorkingOrderRow;
workingOrderRow.AcquireReaderLock(dataModelTransaction);
Decimal sourceOrderQuantity = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
Decimal destinationOrderQuantity = WorkingOrderService.GetDestinationOrderQuantity(dataModelTransaction, workingOrderRow);
if (sourceOrderQuantity < destinationOrderQuantity)
{
throw new FaultException <DestinationQuantityFault>(
new DestinationQuantityFault(workingOrderRow.WorkingOrderId, sourceOrderQuantity, destinationOrderQuantity));
}
}
/// <summary>
/// Handles a change to a error state.
/// </summary>
/// <param name="workingOrderRow">The parent working order.</param>
static void OnClearErrorAction(DataModel.WorkingOrderRow workingOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will lock the WorkingOrderRow while we examine it.
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
if (workingOrderRow.RowState == DataRowState.Detached)
{
return;
}
// The error status is cleared only when none of the sibling destination orders has an error.
Boolean isErrorStatus = false;
foreach (DataModel.DestinationOrderRow siblingOrderRow in workingOrderRow.GetDestinationOrderRows())
{
siblingOrderRow.AcquireReaderLock(dataModelTransaction);
if (siblingOrderRow.StatusCode == StatusCode.Error)
{
isErrorStatus = true;
break;
}
}
// If none of the siblings has an error, the we're going to set the working order's status to what it was before the error occurred.
if (!isErrorStatus)
{
Decimal quantityExecuted = WorkingOrderService.GetExecutionQuantity(dataModelTransaction, workingOrderRow);
Decimal quantityOrdered = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
if (quantityExecuted == 0.0M && workingOrderRow.StatusCode != StatusCode.New)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.New);
}
if (0.0M < quantityExecuted && quantityExecuted < quantityOrdered && workingOrderRow.StatusCode != StatusCode.PartiallyFilled)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.PartiallyFilled);
}
if (quantityExecuted == quantityOrdered && workingOrderRow.StatusCode != StatusCode.Filled)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.Filled);
}
}
}
/// <summary>
/// Handles a change to a error state.
/// </summary>
/// <param name="workingOrderRow">The parent working order.</param>
static void OnSetErrorAction(DataModel.WorkingOrderRow workingOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will lock the WorkingOrderRow while we examine it.
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
if (workingOrderRow.RowState == DataRowState.Detached)
{
return;
}
// This logic is simple enough, set to an error state if we're not already there.
if (workingOrderRow.StatusCode != StatusCode.Error)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.Error);
}
}
/// <summary>
/// Handles a change to a partially executed state.
/// </summary>
/// <param name="workingOrderRow">The parent working order.</param>
static void OnPartialAction(DataModel.WorkingOrderRow workingOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will lock the WorkingOrderRow while we examine it.
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
if (workingOrderRow.RowState == DataRowState.Detached)
{
return;
}
// The working order is considered partially filled if any of its destination orders are partially filled. The only exception to this is when the
// working order is in an error state.
if (workingOrderRow.StatusCode != StatusCode.Error && workingOrderRow.StatusCode != StatusCode.PartiallyFilled)
{
WorkingOrderService.UpdateWorkingOrderStatus(workingOrderRow, StatusCode.PartiallyFilled);
}
}
/// <summary>
/// Handler for validating Destination Order records.
/// </summary>
/// <param name="sender">The object that originated the event.</param>
/// <param name="e">The event arguments.</param>
static void OnDestinationOrderChange(DataModel.DestinationOrderRow destinationOrderRow)
{
// A transaction is needed to handle the change.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// If the quantity has changed then we need to make sure that the quantity sent to a destination (broker, exchange, etc.) is not less than the amount
// ordered. That is, we can't accept a change that leaves us overcommited with a destination.
Decimal originalQuantity = (Decimal)destinationOrderRow[DataModel.DestinationOrder.OrderedQuantityColumn, DataRowVersion.Original];
Decimal currentQuantity = (Decimal)destinationOrderRow[DataModel.DestinationOrder.OrderedQuantityColumn, DataRowVersion.Current];
if (originalQuantity < currentQuantity)
{
// We need to aggregate at the working order, so we need to lock the working order while we do our sums.
DataModel.WorkingOrderRow workingOrderRow = destinationOrderRow.WorkingOrderRow;
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
// This will aggregate the source and destination orders and throw an exception if this transaction would leave us overcommitted with the
// destination.
Decimal sourceOrderQuantity = WorkingOrderService.GetSourceOrderQuantity(dataModelTransaction, workingOrderRow);
Decimal destinationOrderQuantity = WorkingOrderService.GetDestinationOrderQuantity(dataModelTransaction, workingOrderRow);
if (sourceOrderQuantity < destinationOrderQuantity)
{
throw new FaultException <DestinationQuantityFault>(
new DestinationQuantityFault(workingOrderRow.WorkingOrderId, sourceOrderQuantity, destinationOrderQuantity));
}
}
// If the StatusCode of the destination order has changed then find the right handler for the state change and go execute the business logic for this
// change. The 'statusChangeMap' is a two dimensional Dictionary (hash table) using the previous and current states to find the right handler.
StatusCode previousStatusCode = (StatusCode)destinationOrderRow[DataModel.DestinationOrder.StatusCodeColumn, DataRowVersion.Original];
StatusCode currentStatusCode = destinationOrderRow.StatusCode;
if (previousStatusCode != currentStatusCode)
{
statusChangeMap[previousStatusCode][currentStatusCode](destinationOrderRow.WorkingOrderRow);
}
}
/// <summary>
/// Creates orders in the simulated order book.
/// </summary>
private static void OrderHandler()
{
// This thread will create orders in the simulated order book from destination orders placed in the queue. This thread
// is necessary due to the locking architecture that prevents accessing the data model during a commit operation (which
// is where the event indicating a new or changed destination order originates).
while (MarketSimulator.IsBrokerSimulatorThreadRunning)
{
// This thread will wait here until a destination order is available in the queue.
DataModel.DestinationOrderRow destinationOrderRow = MarketSimulator.orderQueue.Dequeue();
// The code that adds an order to the simulated book must have exclusive access to the simulated data model.
lock (MarketSimulator.syncRoot)
{
// The primary data model needs to be accessed also for ancillary data associated with the new order.
using (TransactionScope transactionScope = new TransactionScope())
{
try
{
// This context is used to keep track of the locks aquired for the ancillary data.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// Lock the destination order.
destinationOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(destinationOrderRow);
// Lock the Security.
DataModel.SecurityRow securityRow = destinationOrderRow.SecurityRowByFK_Security_DestinationOrder_SecurityId;
securityRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(securityRow);
// The working order row must be locked to examine the flags
DataModel.WorkingOrderRow workingOrderRow = destinationOrderRow.WorkingOrderRow;
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
// Lock the Entity.
DataModel.EntityRow entityRow = securityRow.EntityRow;
entityRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(entityRow);
// Calculate the quantity executed on this order (some orders are created with executions, such as crossed orders.)
Decimal quantityExecuted = 0.0M;
foreach (DataModel.ExecutionRow executionRow in destinationOrderRow.GetExecutionRows())
{
executionRow.AcquireReaderLock(dataModelTransaction);
dataModelTransaction.AddLock(executionRow);
quantityExecuted += executionRow.ExecutionQuantity;
}
// The simulated order is added to the book. This collects all the information required to simulate the execution of this order.
DataSetMarket.OrderRow orderRow = MarketSimulator.dataSetMarket.Order.NewOrderRow();
orderRow.BlotterId = destinationOrderRow.BlotterId;
orderRow.DestinationOrderId = destinationOrderRow.DestinationOrderId;
orderRow.OrderTypeCode = OrderTypeMap.FromId(destinationOrderRow.OrderTypeId);
orderRow.QuantityOrdered = destinationOrderRow.OrderedQuantity;
orderRow.QuantityExecuted = quantityExecuted;
orderRow.SideCode = SideMap.FromId(destinationOrderRow.SideId);
orderRow.Symbol = securityRow.Symbol;
orderRow.TimeInForceCode = TimeInForceMap.FromId(destinationOrderRow.TimeInForceId);
MarketSimulator.dataSetMarket.Order.AddOrderRow(orderRow);
// Adding the first order to the simulated order book will enable the simulation thread to begin processing the orders. The order
// simulation thread will continue until the book is filled.
if (MarketSimulator.dataSetMarket.Order.Count == 1)
{
MarketSimulator.orderEvent.Set();
}
}
catch { }
// The locks are no longer required.
transactionScope.Complete();
}
}
}
}
