public bool TryAddTradingNode(TradingNode tradingNode)
{
bool isSuccess = false;
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
if (m_WorkingBuyNodes.ContainsKey(tradingNode.TradeLevel))
{
m_WorkingBuyNodes[tradingNode.TradeLevel] = tradingNode;
}
else
{
m_WorkingBuyNodes.Add(tradingNode.TradeLevel, tradingNode);
}
isSuccess = true;
break;
case TradeSide.Sell:
if (m_WorkingSellNodes.ContainsKey(tradingNode.TradeLevel))
{
m_WorkingSellNodes[tradingNode.TradeLevel] = tradingNode;
}
else
{
m_WorkingSellNodes.Add(tradingNode.TradeLevel, tradingNode);
}
isSuccess = true;
break;
}
return(isSuccess);
}
public virtual void AddSubElement(IStringifiable subElement)
{
Type elementType = subElement.GetType();
if (elementType == typeof(TradingNode))
{
TradingNode tradingNode = (TradingNode)subElement;
this.TryAddTradingNode(tradingNode);
}
}
protected bool TryGetValidSells(out double minPrice, out int sellQty)
{
sellQty = 0;
minPrice = double.NaN;
TradingNode node = null;
int buyLevel = m_WorkingBuyNodes.Count - 1;
int sellLevel = 0;
while (buyLevel >= 0 && double.IsNaN(minPrice))
{
node = m_WorkingBuyNodes[buyLevel];
if (node.WorkingExitQty > 0)
{
minPrice = node.WorkingStopProfitPrice;
sellQty = node.WorkingExitQty;
m_CurrentSellNodes.Add(node);
}
buyLevel--;
}
if (double.IsNaN(minPrice))
{
while (sellLevel < m_WorkingSellNodes.Count && double.IsNaN(minPrice))
{
node = m_WorkingSellNodes[sellLevel];
if (node.IsEnterEnable && node.WorkingEnterQty > 0)
{
minPrice = node.WorkingEnterPrice;
sellQty = node.WorkingEnterQty;
m_CurrentSellNodes.Add(node);
}
sellLevel++;
}
while (sellLevel < m_WorkingSellNodes.Count)
{
node = m_WorkingSellNodes[sellLevel];
if (node.IsEnterEnable && node.WorkingEnterQty > 0 && node.WorkingEnterPrice < minPrice)
{
m_CurrentSellNodes.Clear();
minPrice = node.WorkingEnterPrice;
sellQty = node.WorkingEnterQty;
m_CurrentSellNodes.Add(node);
}
else if (node.IsEnterEnable && node.WorkingEnterQty > 0 && node.WorkingEnterPrice == minPrice)
{
sellQty += node.WorkingEnterQty;
m_CurrentSellNodes.Add(node);
}
sellLevel++;
}
}
else
{
while (buyLevel >= 0)
{
node = m_WorkingBuyNodes[buyLevel];
if (node.WorkingExitQty > 0 && node.WorkingStopProfitPrice < minPrice)
{
m_CurrentSellNodes.Clear();
minPrice = node.WorkingStopProfitPrice;
sellQty = node.WorkingExitQty;
m_CurrentSellNodes.Add(node);
}
else if (node.WorkingExitQty > 0 && node.WorkingStopProfitPrice == minPrice)
{
sellQty += node.WorkingExitQty;
m_CurrentSellNodes.Add(node);
}
buyLevel--;
}
while (sellLevel < m_WorkingSellNodes.Count)
{
node = m_WorkingSellNodes[sellLevel];
if (node.IsEnterEnable && node.WorkingEnterQty > 0 && node.WorkingEnterPrice < minPrice)
{
m_CurrentSellNodes.Clear();
minPrice = node.WorkingEnterPrice;
sellQty = node.WorkingEnterQty;
m_CurrentSellNodes.Add(node);
}
else if (node.IsEnterEnable && node.WorkingEnterQty > 0 && node.WorkingEnterPrice == minPrice)
{
sellQty += node.WorkingEnterQty;
m_CurrentSellNodes.Add(node);
}
sellLevel++;
}
}
return(!double.IsNaN(minPrice) && sellQty > 0);
}
public void TryProcessFills(UV.Lib.Fills.Fill fill)
{
int filledQty = fill.Qty;
m_NetPosition += filledQty;
Log.NewEntry(LogLevel.Minor, "****Filled {0} @ {1} at {2}. Start Level:{3} / {4} Net Position:{5}****", filledQty, fill.Price, fill.LocalTime, m_CurrentBuyNodes.Count, m_CurrentSellNodes.Count, m_NetPosition);
Log.NewEntry(LogLevel.Minor, "Start : {0}", DumpCurrentNodesInfo());
TradeSide tradeSide = (filledQty > 0) ? TradeSide.Buy : TradeSide.Sell;
int absFilledQty = Math.Abs(filledQty);
TradingNode tradingNode = null;
if (filledQty > 0)
{
int buyLevel = m_CurrentBuyNodes.Count - 1;
while (absFilledQty > 0 && buyLevel >= 0)
{
tradingNode = m_CurrentBuyNodes[buyLevel];
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
if (tradingNode.WorkingEnterQty >= absFilledQty)
{
tradingNode.WorkingExitQty += absFilledQty;
tradingNode.WorkingEnterQty -= absFilledQty;
absFilledQty = 0;
}
else
{
tradingNode.WorkingExitQty += tradingNode.WorkingEnterQty;
absFilledQty -= tradingNode.WorkingEnterQty;
tradingNode.WorkingEnterQty = 0;
}
break;
case TradeSide.Sell:
if (tradingNode.WorkingExitQty >= absFilledQty)
{
tradingNode.WorkingEnterQty += absFilledQty;
tradingNode.WorkingExitQty -= absFilledQty;
absFilledQty = 0;
}
else
{
absFilledQty -= tradingNode.WorkingExitQty;
tradingNode.WorkingEnterQty += tradingNode.WorkingExitQty;
tradingNode.WorkingExitQty = 0;
}
break;
}
buyLevel--;
}
}
else
{
int sellLevel = m_CurrentSellNodes.Count - 1;
while (absFilledQty > 0 && sellLevel >= 0)
{
tradingNode = m_CurrentSellNodes[sellLevel];
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
if (tradingNode.WorkingExitQty >= absFilledQty)
{
tradingNode.WorkingEnterQty += absFilledQty;
tradingNode.WorkingExitQty -= absFilledQty;
absFilledQty = 0;
}
else
{
absFilledQty -= tradingNode.WorkingExitQty;
tradingNode.WorkingEnterQty += tradingNode.WorkingExitQty;
tradingNode.WorkingExitQty = 0;
}
break;
case TradeSide.Sell:
if (tradingNode.WorkingEnterQty >= absFilledQty)
{
tradingNode.WorkingExitQty += absFilledQty;
tradingNode.WorkingEnterQty -= absFilledQty;
absFilledQty = 0;
}
else
{
tradingNode.WorkingExitQty += tradingNode.WorkingEnterQty;
absFilledQty -= tradingNode.WorkingEnterQty;
tradingNode.WorkingEnterQty = 0;
}
break;
}
sellLevel--;
}
}
if (absFilledQty > 0)
{
Log.NewEntry(LogLevel.Minor, "There is overfill at {0} @ {1}", absFilledQty, tradeSide);
switch (tradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
break;
case TradeSide.Sell:
break;
}
}
Log.NewEntry(LogLevel.Minor, "End : {0}", DumpCurrentNodesInfo());
}
