public List <Deal> Split(Order order)
{
if (order == null)
{
throw new ArgumentNullException("order");
}
CheckOrderAmount(order);
// This is the simplest-stupid split logic for 2 brokers
// Traverse all possible deal combinations and select the one with minimum total cost
decimal broker1Amount;
decimal broker2Amount;
var deals = new List <Deal>();
// Start from putting the maximum possible amount to broker1
if (order.Amount > _broker1.MaxAmount)
{
broker1Amount = _broker1.MaxAmount;
broker2Amount = order.Amount - _broker1.MaxAmount;
deals.Add(_broker1.Estimate(broker1Amount));
deals.Add(_broker2.Estimate(broker2Amount));
}
else
{
broker1Amount = order.Amount;
broker2Amount = 0;
deals.Add(_broker1.Estimate(broker1Amount));
}
var minCost = deals.Sum(q => q.TotalCost);
// Now, while broker1 has what to substract, and broker2 has capacity for addition, check all possible combinations
while (broker1Amount > 0 && broker2Amount < _broker2.MaxAmount)
{
broker1Amount -= AmountDelta;
broker2Amount += AmountDelta;
var currentDeals = new List <Deal>();
if (broker1Amount > 0)
{
currentDeals.Add(_broker1.Estimate(broker1Amount));
}
if (broker2Amount > 0)
{
currentDeals.Add(_broker2.Estimate(broker2Amount));
}
var totalCost = currentDeals.Sum(d => d.TotalCost);
if (totalCost < minCost)
{
minCost = totalCost;
deals = currentDeals;
}
}
// Initialize Order property in all deals
foreach (var deal in deals)
{
deal.Order = order;
}
return(deals);
}
