internal BfxPosition(BfxPositions positions, BfxPositionsElement pos, BfChildOrderEvent?ev = default)
{
Positions = positions;
Open = pos.Open;
Close = ev?.EventDate;
Side = pos.OpenSize > 0m ? BfTradeSide.Buy : BfTradeSide.Sell;
OpenPrice = pos.Price;
ClosePrice = ev?.Price;
Size = Math.Abs(pos.CurrentSize);
Commission = pos.Commission;
SwapForDifference = pos.SwapForDifference;
SwapPointAccumulate = pos.SwapPointAccumulate;
}
internal BfxPositionsElement Split(decimal splitSize)
{
var newPos = new BfxPositionsElement
{
Open = this.Open,
Price = this.Price,
OpenSize = this.OpenSize,
CurrentSize = -splitSize,
_commission = this._commission,
_sfd = this._sfd,
};
CurrentSize += splitSize;
return(newPos);
}
public BfxPosition[] Update(BfChildOrderEvent ev)
{
var executedSize = ev.Side == BfTradeSide.Buy ? ev.Size : -ev.Size;
if (_q.Count == 0 || Math.Sign(_q.Peek().OpenSize) == Math.Sign(executedSize))
{
var pos = new BfxPositionsElement(ev);
_q.Enqueue(pos);
return(new BfxPosition[] { new BfxPosition(this, pos) });
}
// Process to another side
var closeSize = executedSize;
var closedPos = new List <BfxPositionsElement>();
while (Math.Abs(closeSize) > 0m && _q.Count > 0)
{
var pos = _q.Peek();
if (Math.Abs(closeSize) >= Math.Abs(pos.CurrentSize))
{
closeSize += pos.CurrentSize;
closedPos.Add(_q.Dequeue());
continue;
}
if (Math.Abs(closeSize) < Math.Abs(pos.CurrentSize))
{
closedPos.Add(pos.Split(closeSize));
closeSize = 0;
break;
}
}
var result = new List <BfxPosition>();
closedPos.ForEach(e => result.Add(new BfxPosition(this, e, ev)));
if (closeSize > 0m)
{
var pos = new BfxPositionsElement(ev, Math.Abs(closeSize));
_q.Enqueue(pos);
result.Add(new BfxPosition(this, pos));
}
return(result.ToArray());
}