/// <summary>
/// Will return the <see cref="SecurityCache"/> instance to use for a give Symbol.
/// If the provided Symbol is a custom type which has an underlying we will try to use the
/// underlying SecurityCache type cache, if the underlying is not present we will keep track
/// of the custom Symbol in case it is added later.
/// </summary>
/// <returns>The cache instance to use</returns>
public SecurityCache GetSecurityCache(Symbol symbol)
{
var securityCache = new SecurityCache();
if (symbol.SecurityType == SecurityType.Base && symbol.HasUnderlying)
{
var underlyingSecurity = _securityProvider.GetSecurity(symbol.Underlying);
if (underlyingSecurity != null)
{
// we found the underlying, lets use its data type cache
SecurityCache.ShareTypeCacheInstance(underlyingSecurity.Cache, securityCache);
}
else
{
// we didn't find the underlying, lets keep track of the underlying symbol which might get added in the future.
// else when it is added, we would have to go through existing Securities and find any which use it as underlying
_relatedSymbols.AddOrUpdate(symbol.Underlying,
id => new ConcurrentBag <Symbol> {
symbol
},
(id, bag) => { bag.Add(symbol); return(bag); }
);
}
}
else
{
ConcurrentBag <Symbol> customSymbols;
if (_relatedSymbols.TryRemove(symbol, out customSymbols))
{
// if we are here it means we added a symbol which is an underlying of some existing custom symbols
foreach (var customSymbol in customSymbols)
{
var customSecurity = _securityProvider.GetSecurity(customSymbol);
if (customSecurity != null)
{
// we make each existing custom security cache, use the new instance data type cache
// note that if any data already existed in the custom cache it will be passed
SecurityCache.ShareTypeCacheInstance(securityCache, customSecurity.Cache);
}
}
}
}
return(securityCache);
}
private decimal GetTickerPrice(Order order)
{
var security = _securityProvider.GetSecurity(order.Symbol);
var tickerPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
if (tickerPrice == 0)
{
var brokerageSymbol = _symbolMapper.GetBrokerageSymbol(order.Symbol);
var tickers = GetTickers();
var ticker = tickers.FirstOrDefault(t => t.Symbol == brokerageSymbol);
if (ticker == null)
{
throw new KeyNotFoundException($"BinanceBrokerage: Unable to resolve currency conversion pair: {order.Symbol}");
}
tickerPrice = ticker.Price;
}
return(tickerPrice);
}
/// <summary>
/// Places a new order and assigns a new broker ID to the order
/// </summary>
/// <param name="order">The order to be placed</param>
/// <returns>True if the request for a new order has been placed, false otherwise</returns>
public override bool PlaceOrder(Order order)
{
var requestParams = new Dictionary <string, string>
{
{ "instrument", _symbolMapper.GetBrokerageSymbol(order.Symbol) },
{ "units", Convert.ToInt32(order.AbsoluteQuantity).ToString() }
};
PopulateOrderRequestParameters(order, requestParams);
var postOrderResponse = PostOrderAsync(requestParams);
if (postOrderResponse == null)
{
return(false);
}
// if market order, find fill quantity and price
var marketOrderFillPrice = 0m;
if (order.Type == OrderType.Market)
{
marketOrderFillPrice = Convert.ToDecimal(postOrderResponse.price);
}
var marketOrderFillQuantity = 0;
if (postOrderResponse.tradeOpened != null && postOrderResponse.tradeOpened.id > 0)
{
if (order.Type == OrderType.Market)
{
marketOrderFillQuantity = postOrderResponse.tradeOpened.units;
}
else
{
order.BrokerId.Add(postOrderResponse.tradeOpened.id.ToString());
}
}
if (postOrderResponse.tradeReduced != null && postOrderResponse.tradeReduced.id > 0)
{
if (order.Type == OrderType.Market)
{
marketOrderFillQuantity = postOrderResponse.tradeReduced.units;
}
else
{
order.BrokerId.Add(postOrderResponse.tradeReduced.id.ToString());
}
}
if (postOrderResponse.orderOpened != null && postOrderResponse.orderOpened.id > 0)
{
if (order.Type != OrderType.Market)
{
order.BrokerId.Add(postOrderResponse.orderOpened.id.ToString());
}
}
if (postOrderResponse.tradesClosed != null && postOrderResponse.tradesClosed.Count > 0)
{
marketOrderFillQuantity += postOrderResponse.tradesClosed
.Where(trade => order.Type == OrderType.Market)
.Sum(trade => trade.units);
}
// send Submitted order event
const int orderFee = 0;
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee)
{
Status = OrderStatus.Submitted
});
if (order.Type == OrderType.Market)
{
// if market order, also send Filled order event
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee)
{
Status = OrderStatus.Filled,
FillPrice = marketOrderFillPrice,
FillQuantity = marketOrderFillQuantity * Math.Sign(order.Quantity)
});
}
return(true);
}
public static decimal GetHoldingsQuantity(this ISecurityProvider provider, Symbol symbol)
{
var security = provider.GetSecurity(symbol);
return(security == null ? 0 : security.Holdings.Quantity);
}