/// <summary>
/// Called when order execution is receievd
/// </summary>
/// <param name="execution">Contains execution details</param>
private void OnExecutionArrived(Execution execution)
{
OrderExecutionProvider provider;
// Get Order Execution Provider
if (_providersMap.TryGetValue(execution.OrderExecutionProvider, out provider))
{
OrderDetails orderDetails = null;
// Find 'Order Details' object
foreach (OrderDetails tempOrderDetails in provider.OrdersCollection)
{
if (tempOrderDetails.ID.Equals(execution.Order.OrderID))
{
orderDetails = tempOrderDetails;
break;
}
}
// Update order parameters
if (orderDetails != null)
{
orderDetails.Status = execution.Order.OrderStatus;
// Create fill information
var fillDetail = new FillDetail();
fillDetail.FillId = execution.Fill.ExecutionId;
fillDetail.FillPrice = execution.Fill.ExecutionPrice;
fillDetail.FillQuantity = execution.Fill.ExecutionSize;
fillDetail.FillDatetime = execution.Fill.ExecutionDateTime;
fillDetail.FillType = execution.Fill.ExecutionType;
// Add to order details object
provider.AddFill(orderDetails, fillDetail);
// Use incoming information to update position statistics
provider.UpdatePosition(orderDetails);
}
}
}
private FillDetail[] GetOrderFills(
OrderType type,
OrderDirection direction,
Stock stock,
int quantity,
decimal?price = null)
{
var totalFilled = 0;
var filledOrders = new List <FillDetail>();
var orders = type == OrderType.Market
? GetMarketOrders(direction, stock)
: GetLimitOrders(direction, stock, price.Value);
foreach (var o in orders)
{
var fill = new FillDetail
{
OrderId = o.OrderId,
Owner = o.Owner,
Stock = o.Stock,
Quantity = 0,
Price = o.Price ?? _sharesProvider.GetLastPrice(stock)
};
filledOrders.Add(fill);
for (int i = 0; i < o.Quantity; i++)
{
if (totalFilled >= quantity)
{
return(filledOrders.ToArray());
}
fill.Quantity++;
totalFilled++;
}
}
return(filledOrders.ToArray());
}
