public override IEnumerable <Order> SplitOrder(Order order)
{
var totalWeight = InnerPortfolios.Sum(p => p.Value);
var orders = InnerPortfolios
.Select(p =>
{
var newOrder = order.ReRegisterClone(newVolume: order.Balance);
newOrder.Portfolio = p.Key;
newOrder.Volume = order.Volume * p.Value / totalWeight;
return(newOrder);
})
.ToArray();
return(orders);
}
public override IEnumerable <Order> SplitOrder(Order order)
{
var orders = InnerPortfolios
.Select(p =>
{
var newOrder = order.ReRegisterClone(newVolume: order.Balance);
var price = order.Security.GetCurrentPrice(_strategy, Sides.Buy, MarketPriceTypes.Middle);
if (price == null)
{
return(null);
}
newOrder.Portfolio = p.Key;
newOrder.Volume = p.Key.CurrentValue * p.Value / (decimal)price;
return(newOrder);
})
.Where(o => o != null)
.ToArray();
return(orders);
}
