/// <summary>
///
/// </summary>
protected override bool OnExecuteMarketBalanced(ISourceOrderExecution provider, int volumeModification, decimal?desiredPrice,
decimal?slippage, TimeSpan timeOut, out PositionExecutionInfo executionInfo, out string operationResultMessage)
{
if (_manipulateExistingOrders == false)
{
return(base.OnExecuteMarketBalanced(provider, volumeModification, desiredPrice, slippage, timeOut, out executionInfo, out operationResultMessage));
}
OrderTypeEnum orderType = OrderTypeEnum.BUY_MARKET;
if (volumeModification < 0)
{
orderType = OrderTypeEnum.SELL_MARKET;
volumeModification = Math.Abs(volumeModification);
}
executionInfo = PositionExecutionInfo.Empty;
int originalVolumeModification = volumeModification;
List <KeyValuePair <double, decimal> > closePrices = new List <KeyValuePair <double, decimal> >();
bool suitableOrdersAvailable;
ActiveOrder orderSelected = ObtainManipulationOrder(provider, GetReverseOrderType(orderType), Math.Abs(originalVolumeModification),
out suitableOrdersAvailable);
if (orderSelected != null && volumeModification > 0)
{
if (volumeModification >= orderSelected.CurrentVolume)
{
int orderVolume = orderSelected.CurrentVolume;
if (orderSelected.Close(slippage, null))
{
volumeModification -= orderVolume;
if (orderSelected.ClosePrice.HasValue)
{
closePrices.Add(new KeyValuePair <double, decimal>(orderVolume, orderSelected.ClosePrice.Value));
}
else
{
SystemMonitor.Error("Order [{" + orderSelected.Id + "}] closed but close price not assigned.");
}
}
else
{
ReleaseManipulationOrder(orderSelected);
operationResultMessage = "Failed to close corresponding reverse active order.";
return(false);
}
}
else
{
if (orderSelected.DecreaseVolume(volumeModification, slippage, null))
{
volumeModification = 0;
}
}
ReleaseManipulationOrder(orderSelected);
orderSelected = null;
}
if (suitableOrdersAvailable && volumeModification > 0 &&
originalVolumeModification == volumeModification)
{// Complete failure to close anything, and there are some suitable.
executionInfo = PositionExecutionInfo.Empty;
operationResultMessage = "Suitable reverse market orders are available, but currently manipulated, so hedging rules forbid reverse orders placement at this moment.";
return(false);
}
if (volumeModification > 0)
{// We need to execute one more in the reverse direction.
PositionExecutionInfo marketExecutionInfo;
string tmp;
string executionResult = ExecuteMarket(orderType, volumeModification, null, slippage, null, null,
timeOut, out marketExecutionInfo, out tmp);
if (string.IsNullOrEmpty(executionResult) == false)
{// Success.
volumeModification -= (int)marketExecutionInfo.VolumeExecuted;
if (marketExecutionInfo.ExecutedPrice.HasValue)
{
closePrices.Add(new KeyValuePair <double, decimal>(marketExecutionInfo.VolumeExecuted, marketExecutionInfo.ExecutedPrice.Value));
}
else
{
SystemMonitor.Error("MarketExecutionInfo for a valid execution [{" + executionResult + "}] does not have ExecutedPrice assigned.");
}
}
else
{
operationResultMessage = tmp;
return(false);
}
}
// Calculate the close price, combination from the operations.
decimal closePrice = 0;
double totalVolume = 0;
if (FinancialHelper.CalculateAveragePrice(closePrices, out closePrice, out totalVolume) == false)
{
SystemMonitor.Error("Failed to calculate average price for market balanced execution.");
closePrice = 0;
}
if (volumeModification > 0)
{ // Failure.
if (originalVolumeModification == volumeModification)
{ // Complete failure.
executionInfo = PositionExecutionInfo.Empty;
operationResultMessage = "Failed to execute market operation.";
return(false);
}
else
{// Partial execution success.
executionInfo = new PositionExecutionInfo(Guid.NewGuid().ToString(), _dataDelivery.SourceId, provider.SourceId, Symbol, orderType,
closePrice, originalVolumeModification, originalVolumeModification - volumeModification, DateTime.Now, PositionExecutionInfo.ExecutionResultEnum.PartialSuccess);
}
}
else
{// Success.
executionInfo = new PositionExecutionInfo(Guid.NewGuid().ToString(), _dataDelivery.SourceId, provider.SourceId, Symbol, orderType,
closePrice, originalVolumeModification, originalVolumeModification, DateTime.Now, PositionExecutionInfo.ExecutionResultEnum.Success);
}
operationResultMessage = string.Empty;
return(true);
}
