private IEnumerable <Order> GetPendingOrdersToBeExecuted(InstrumentBidAskPair quote)
{
var pendingOrders = _ordersCache.Active.GetOrdersByInstrument(quote.Instrument);
foreach (var order in pendingOrders)
{
var price = quote.GetPriceForOrderDirection(order.Direction);
if (order.IsSuitablePriceForPendingOrder(price) &&
_validateOrderService.CheckIfPendingOrderExecutionPossible(order.AssetPairId, order.OrderType,
ShouldOpenNewPosition(order)))
{
if (quote.GetVolumeForOrderDirection(order.Direction) >= Math.Abs(order.Volume))
{
_ordersCache.Active.Remove(order);
yield return(order);
}
else //let's validate one more time, considering orderbook depth
{
var me = _meRouter.GetMatchingEngineForExecution(order);
var executionPriceInfo = me.GetBestPriceForOpen(order.AssetPairId, order.Volume);
if (executionPriceInfo.price.HasValue && order.IsSuitablePriceForPendingOrder(executionPriceInfo.price.Value))
{
_ordersCache.Active.Remove(order);
yield return(order);
}
}
}
}
}
private List <MarginTradingAccount> UpdateClosePriceAndDetectStopout(InstrumentBidAskPair quote)
{
var positionsByAccounts = _ordersCache.Positions.GetPositionsByInstrument(quote.Instrument)
.GroupBy(x => x.AccountId).ToDictionary(x => x.Key, x => x.ToArray());
var accountsWithStopout = new List <MarginTradingAccount>();
foreach (var accountPositions in positionsByAccounts)
{
var account = _accountsCacheService.Get(accountPositions.Key);
var oldAccountLevel = account.GetAccountLevel();
foreach (var position in accountPositions.Value)
{
var closeOrderDirection = position.Volume.GetClosePositionOrderDirection();
var closePrice = quote.GetPriceForOrderDirection(closeOrderDirection);
if (quote.GetVolumeForOrderDirection(closeOrderDirection) < Math.Abs(position.Volume))
{
var defaultMatchingEngine = _meRouter.GetMatchingEngineForClose(position.OpenMatchingEngineId);
var orderbookPrice = defaultMatchingEngine.GetPriceForClose(position.AssetPairId, position.Volume,
position.ExternalProviderId);
if (orderbookPrice.HasValue)
{
closePrice = orderbookPrice.Value;
}
}
if (closePrice != 0)
{
position.UpdateClosePriceWithoutAccountUpdate(closePrice);
UpdateTrailingStops(position);
}
}
account.CacheNeedsToBeUpdated();
var newAccountLevel = account.GetAccountLevel();
if (newAccountLevel == AccountLevel.StopOut)
{
accountsWithStopout.Add(account);
}
if (oldAccountLevel != newAccountLevel)
{
_marginCallEventChannel.SendEvent(this, new MarginCallEventArgs(account, newAccountLevel));
}
}
return(accountsWithStopout);
}