public virtual double GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(string symbol, Direction direction
, out OrderSpreadSide oss, bool forceCrossMarket)
{
double priceLastQuote = this.LastQuoteGetPriceForMarketOrder(symbol);
if (priceLastQuote == 0)
{
string msg = "QuickCheck ZERO priceLastQuote=" + priceLastQuote + " for Symbol=[" + symbol + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double currentBid = this.BestBidGetForMarketOrder(symbol);
double currentAsk = this.BestAskGetForMarketOrder(symbol);
if (currentBid == 0)
{
string msg = "ZERO currentBid=" + currentBid + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
;
Assembler.PopupException(msg);
//throw new Exception(msg);
}
if (currentAsk == 0)
{
string msg = "ZERO currentAsk=" + currentAsk + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double price = 0;
oss = OrderSpreadSide.ERROR;
SymbolInfo symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfo(symbol);
MarketOrderAs spreadSide;
if (forceCrossMarket)
{
spreadSide = MarketOrderAs.LimitCrossMarket;
}
else
{
spreadSide = (symbolInfo == null) ? MarketOrderAs.LimitCrossMarket : symbolInfo.MarketOrderAs;
}
if (spreadSide == MarketOrderAs.ERROR || spreadSide == MarketOrderAs.Unknown)
{
string msg = "Set Symbol[" + symbol + "].SymbolInfo.LimitCrossMarket; should not be spreadSide[" + spreadSide + "]";
Assembler.PopupException(msg);
throw new Exception(msg);
//return;
}
switch (direction)
{
case Direction.Buy:
case Direction.Cover:
switch (spreadSide)
{
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.AskTidal;
price = currentAsk;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.BidCrossed;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MaxPrice;
price = currentAsk;
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentAsk; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
case Direction.Short:
case Direction.Sell:
switch (spreadSide)
{
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.BidTidal;
price = currentBid;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.AskCrossed;
price = currentAsk; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MinPrice;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentBid; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
default:
string msg = "no handler for direction[" + direction + "]";
throw new Exception(msg);
}
if (double.IsNaN(price))
{
Debugger.Break();
}
symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfoOrNew(symbol);
price = symbolInfo.AlignOrderPriceToPriceLevel(price, direction, MarketLimitStop.Market);
return(price);
}