private void OpenNewPosition(Order order, decimal volume)
{
if (order.ExecutionPrice == null)
{
_log.WriteWarning(nameof(OpenNewPosition), order.ToJson(),
"Execution price is null. Position was not opened");
return;
}
var position = new Position(order.Id, order.Code, order.AssetPairId, volume, order.AccountId,
order.TradingConditionId, order.AccountAssetId, order.Price, order.MatchingEngineId,
order.Executed.Value, order.Id, order.OrderType, order.Volume, order.ExecutionPrice.Value, order.FxRate,
order.EquivalentAsset, order.EquivalentRate, order.RelatedOrders, order.LegalEntity, order.Originator,
order.ExternalProviderId, order.FxAssetPairId, order.FxToAssetPairDirection, order.AdditionalInfo, order.ForceOpen);
var defaultMatchingEngine = _meRouter.GetMatchingEngineForClose(position.OpenMatchingEngineId);
var closePrice = defaultMatchingEngine.GetPriceForClose(position.AssetPairId, position.Volume,
position.ExternalProviderId);
position.UpdateClosePrice(closePrice ?? order.ExecutionPrice.Value);
var isPositionAlreadyExist = _ordersCache.Positions.GetPositionsByInstrumentAndAccount(
position.AssetPairId,
position.AccountId).Any(p => p.Direction == position.Direction);
_ordersCache.Positions.Add(position);
var metadata = new PositionOpenMetadata {
ExistingPositionIncreased = isPositionAlreadyExist
};
SendPositionHistoryEvent(position, PositionHistoryTypeContract.Open, 0,
order.AdditionalInfo, metadata: metadata);
ActivateRelatedOrders(position);
}
private void SendPositionHistoryEvent(Position position, PositionHistoryTypeContract historyType,
decimal chargedPnl, string orderAdditionalInfo, Order dealOrder = null, decimal?dealVolume = null,
PositionOpenMetadata metadata = null)
{
DealContract deal = null;
if (dealOrder != null && dealVolume != null)
{
var sign = position.Volume > 0 ? 1 : -1;
var accountBaseAssetAccuracy = AssetsConstants.DefaultAssetAccuracy;
var fpl = Math.Round((dealOrder.ExecutionPrice.Value - position.OpenPrice) *
dealOrder.FxRate * dealVolume.Value * sign, accountBaseAssetAccuracy);
var balanceDelta = fpl - Math.Round(chargedPnl, accountBaseAssetAccuracy);
var dealId = historyType == PositionHistoryTypeContract.Close
? position.Id
: _identityGenerator.GenerateAlphanumericId();
deal = new DealContract
{
DealId = dealId,
PositionId = position.Id,
Volume = dealVolume.Value,
Created = dealOrder.Executed.Value,
OpenTradeId = position.OpenTradeId,
OpenOrderType = position.OpenOrderType.ToType <OrderTypeContract>(),
OpenOrderVolume = position.OpenOrderVolume,
OpenOrderExpectedPrice = position.ExpectedOpenPrice,
CloseTradeId = dealOrder.Id,
CloseOrderType = dealOrder.OrderType.ToType <OrderTypeContract>(),
CloseOrderVolume = dealOrder.Volume,
CloseOrderExpectedPrice = dealOrder.Price,
OpenPrice = position.OpenPrice,
OpenFxPrice = position.OpenFxPrice,
ClosePrice = dealOrder.ExecutionPrice.Value,
CloseFxPrice = dealOrder.FxRate,
Fpl = fpl,
PnlOfTheLastDay = balanceDelta,
AdditionalInfo = dealOrder.AdditionalInfo,
Originator = dealOrder.Originator.ToType <OriginatorTypeContract>()
};
var account = _accountsCacheService.Get(position.AccountId);
_cqrsSender.PublishEvent(new PositionClosedEvent(account.Id, account.ClientId,
deal.DealId, position.AssetPairId, balanceDelta));
_accountUpdateService.FreezeUnconfirmedMargin(position.AccountId, deal.DealId, balanceDelta)
.GetAwaiter().GetResult(); //todo consider making this async or pass to broker
}
var positionContract = _convertService.Convert <Position, PositionContract>(position,
o => o.ConfigureMap(MemberList.Destination).ForMember(x => x.TotalPnL, c => c.Ignore()));
positionContract.TotalPnL = position.GetFpl();
var historyEvent = new PositionHistoryEvent
{
PositionSnapshot = positionContract,
Deal = deal,
EventType = historyType,
Timestamp = _dateService.Now(),
ActivitiesMetadata = metadata?.ToJson(),
OrderAdditionalInfo = orderAdditionalInfo,
};
_rabbitMqNotifyService.PositionHistory(historyEvent);
}