private void OrderFilledHandler(OrderFilledData data)
{
TraderInfo traderInfo = TraderStatistic.Find(x => x.Symbol.Equals(data.Symbol));
if (traderInfo != null)
{
traderInfo.Update(data);
TraderInfoChanged?.Invoke(traderInfo);
}
// Code below is usefull?
List <Trade> updatedPositions = new List <Trade>();
List <Trade> allTrades = new List <Trade>();
foreach (Trade trade in data.Trades)
{
trade.Symbol = data.Symbol;
updatedPositions.Add(trade);
}
foreach (Trade trade in data.RawTrades)
{
trade.Symbol = data.Symbol;
allTrades.Add(trade);
}
NewTrades?.Invoke(updatedPositions, allTrades);
_receiver.OrderFilledHandle(data);
}
public void NotifyOrderLegMatched(OrderLeg orderLegRecord, OrderFilledData orderFilledDataRecord)
{
orderFilledDataRecord.TransactionId = orderFilledCount++;
OrderData orderData;
ClientFilledOrder clientFilledOrderRecord;
ClientOrder clientOrderRecord;
Console.WriteLine("Order Matched: Order Id {0} , Client {1} Transaction Id {2} Token Pair {3}-{4} type {5} Amount filled {6} at Price {7}",
orderLegRecord.OrderLegId, orderLegRecord.Order.ClientId, orderFilledDataRecord.TransactionId,
orderLegRecord.Token1Id, orderLegRecord.Token2Id, orderLegRecord.OrderLegType.ToString(),
orderFilledDataRecord.Token1Amount, orderFilledDataRecord.PriceFilled);
// Update Position
addFilledOrderToPosition(orderLegRecord, orderFilledDataRecord);
lock (ClientOrderLock)
{
// This should always be true
if (ClientOrders.TryGetValue(orderLegRecord.Order.ClientId, out clientOrderRecord) == true)
{
if (clientOrderRecord.ClientOrders.TryGetValue(orderLegRecord.OrderLegId, out orderData) == true)
{
orderData.OrderFillStatus = OrderLegFillStatusEnum.Partial;
orderData.Token1AmountFilled += orderFilledDataRecord.Token1Amount;
UpdateBlockChain(orderLegRecord, orderFilledDataRecord);
lock (ClientFilledOrderLock)
{
if (ClientFilledOrders.TryGetValue(orderLegRecord.Order.ClientId, out clientFilledOrderRecord) == false)
{
clientFilledOrderRecord = new ClientFilledOrder(orderLegRecord.Order.ClientId);
clientFilledOrderRecord.ClientTransactions.TryAdd(orderFilledDataRecord.TransactionId, orderFilledDataRecord);
ClientFilledOrders.TryAdd(orderLegRecord.Order.ClientId, clientFilledOrderRecord);
}
else
{
clientFilledOrderRecord.ClientTransactions.TryAdd(orderFilledDataRecord.TransactionId, orderFilledDataRecord);
}
}
}
else
{
throw new Exception(String.Format("Error: Unable to locate client order {0} in NotifyOrderLegMatched", orderLegRecord.OrderLegId));
}
}
else
{
throw new Exception(String.Format("Error: Unable to locate client orders for clientId {0}", orderLegRecord.Order.ClientId));
}
}
}
internal void Update(OrderFilledData data)
{
Update(data as CommonFields);
LastTradePrice = data.LastTradePrice;
LastTradeQuantity = data.LastTradeQuantity;
PositionContracts = data.PositionContracts;
PositionLiquidationVolume = data.PositionLiquidationVolume;
PositionType = data.PositionType;
PositionVolume = data.PositionVolume;
TraderBalance2 = data.TraderBalance2;
}
public void SaveFilledOrders(WatchOrder buyOrder, WatchOrder sellOrder, decimal AmountOffset, decimal OrderPrice)
{
OrderFilledData orderFilledDataRecord = new OrderFilledData();
orderFilledDataRecord.OrderLegId = buyOrder.orderLegRecord.OrderLegId;
orderFilledDataRecord.Token1Amount = AmountOffset;
orderFilledDataRecord.Token1Id = buyOrder.orderLegRecord.Token1Id;
orderFilledDataRecord.Token2Id = buyOrder.orderLegRecord.Token2Id;
orderFilledDataRecord.Token2Amount = AmountOffset * (buyOrder.orderLegRecord.OrderPriceTerms == OrderPriceTermsEnum.Token2PerToken1 ?
OrderPrice : 1.0M / OrderPrice);
orderFilledDataRecord.OrderPriceTerms = buyOrder.orderLegRecord.OrderPriceTerms;
orderFilledDataRecord.FilledDateTime = System.DateTime.Now;
_exchangeBook.NotifyOrderLegMatched(buyOrder.orderLegRecord, orderFilledDataRecord);
_exchangeBook.NotifyOrderLegMatched(sellOrder.orderLegRecord, orderFilledDataRecord);
//Console.WriteLine("Updating Order Book for Order {0}/{1} offset amount {2} at price {3}", buyOrder.orderLegRecord.OrderId, sellOrder.orderLegRecord.OrderId, AmountOffset, OrderPrice);
}
private void UpdateBlockChain(OrderLeg orderLegRecord, OrderFilledData orderFilledData)
{
BlockChainData blockChainRecord = new BlockChainData();
KeyPairData KeyPair = new KeyPairData();
//Console.WriteLine("Writing Order Flows to blockchain");
lock (BlockChainTransactionsLock)
{
if (orderLegRecord.BuySellType == OrderLegBuySellEnum.Buy)
{
blockChainRecord = new BlockChainData();
blockChainRecord.clientId = orderLegRecord.Order.ClientId;
blockChainRecord.Date = orderFilledData.FilledDateTime.ToShortDateString();
blockChainRecord.BlockNumber = blockCount++;
blockChainRecord.OrderId = orderLegRecord.OrderId;
blockChainRecord.PayReceive = "Receive";
blockChainRecord.TokenAmount = orderFilledData.Token1Amount;
blockChainRecord.TokenId = orderFilledData.Token1Id;
if (KeyPairs.TryGetValue(1, out KeyPair) == true)
{
blockChainRecord.Address = KeyPair.publicKey;
}
else
{
//blockChainRecord.Address = GenerateNewClientKey(orderLegRecord.Order.ClientId);
}
blockChainRecord.TransactionHash = HashOrder(blockChainRecord);
BlockChainTransactions.TryAdd(blockChainRecord.BlockNumber, blockChainRecord);
blockChainRecord = new BlockChainData();
blockChainRecord.clientId = orderLegRecord.Order.ClientId;
blockChainRecord.Date = DateTime.Now.ToShortDateString();
blockChainRecord.BlockNumber = blockCount++;
blockChainRecord.OrderId = orderFilledData.OrderLegId;
blockChainRecord.PayReceive = "Pay";
blockChainRecord.TokenAmount = orderFilledData.Token2Amount;
blockChainRecord.TokenId = orderFilledData.Token2Id;
if (KeyPairs.TryGetValue(0, out KeyPair) == true)
{
blockChainRecord.Address = KeyPair.publicKey;
}
else
{
//blockChainRecord.Address = GenerateNewClientKey(orderLegRecord.Order.ClientId);
}
blockChainRecord.TransactionHash = HashOrder(blockChainRecord);
BlockChainTransactions.TryAdd(blockChainRecord.BlockNumber, blockChainRecord);
}
else
{
blockChainRecord = new BlockChainData();
blockChainRecord.Date = DateTime.Now.ToShortDateString();
blockChainRecord.clientId = orderLegRecord.Order.ClientId;
blockChainRecord.BlockNumber = blockCount++;
blockChainRecord.OrderId = orderLegRecord.OrderId;
blockChainRecord.PayReceive = "Pay";
blockChainRecord.TokenAmount = orderFilledData.Token1Amount;
blockChainRecord.TokenId = orderFilledData.Token1Id;
if (KeyPairs.TryGetValue(0, out KeyPair) == true)
{
blockChainRecord.Address = KeyPair.publicKey;
}
else
{
}
blockChainRecord.TransactionHash = HashOrder(blockChainRecord);
BlockChainTransactions.TryAdd(blockChainRecord.BlockNumber, blockChainRecord);
blockChainRecord = new BlockChainData();
blockChainRecord.Date = DateTime.Now.ToShortDateString();
blockChainRecord.clientId = orderLegRecord.Order.ClientId;
blockChainRecord.BlockNumber = blockCount++;
blockChainRecord.OrderId = orderLegRecord.OrderId;
blockChainRecord.PayReceive = "Receive";
blockChainRecord.TokenAmount = orderFilledData.Token2Amount;
blockChainRecord.TokenId = orderFilledData.Token2Id;
if (KeyPairs.TryGetValue(1, out KeyPair) == true)
{
blockChainRecord.Address = KeyPair.publicKey;
}
else
{
}
blockChainRecord.TransactionHash = HashOrder(blockChainRecord);
BlockChainTransactions.TryAdd(blockChainRecord.BlockNumber, blockChainRecord);
}
}
}
private void addFilledOrderToPosition(OrderLeg orderLegRecord, OrderFilledData orderFilledDataRecord)
{
ClientPosition clientPositionRecord;
ClientPositionData ClientPosition = new ClientPositionData();
TokenRateData TokenRate = new TokenRateData();
int clientId = orderLegRecord.Order.ClientId;
if (ClientPositions.TryGetValue(clientId, out clientPositionRecord) == false)
{
clientPositionRecord = new ClientPosition(clientId);
ClientPositions.TryAdd(clientId, clientPositionRecord);
}
if (clientPositionRecord == null)
{
throw new Exception("Unable to find/generate client position record");
}
if (orderLegRecord.BuySellType == OrderLegBuySellEnum.Buy)
{
if (clientPositionRecord.ClientPositions.TryGetValue(orderFilledDataRecord.Token1Id, out ClientPosition) == true)
{
ClientPosition.TokenAmount += orderFilledDataRecord.Token1Amount;
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
}
else
{
ClientPosition = new ClientPositionData();
ClientPosition.TokenId = orderFilledDataRecord.Token1Id;
ClientPosition.TokenAmount = orderFilledDataRecord.Token1Amount;
ClientPosition.TokenRate = 0.0m;
ClientPosition.TokenRateIn = "USD";
if (TokenRates.TryGetValue(ClientPosition.TokenId, out TokenRate) == true)
{
ClientPosition.TokenRate = (decimal)TokenRate.AskRate;
ClientPosition.TokenRateIn = TokenRate.PriceCurrency;
}
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
clientPositionRecord.ClientPositions.TryAdd(ClientPosition.TokenId, ClientPosition);
}
if (clientPositionRecord.ClientPositions.TryGetValue(orderFilledDataRecord.Token2Id, out ClientPosition) == true)
{
ClientPosition.TokenAmount -= orderFilledDataRecord.Token2Amount;
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
}
else
{
ClientPosition = new ClientPositionData();
ClientPosition.TokenId = orderFilledDataRecord.Token2Id;
ClientPosition.TokenAmount -= orderFilledDataRecord.Token2Amount;
ClientPosition.TokenRate = 0.0m;
ClientPosition.TokenRateIn = "USD";
if (TokenRates.TryGetValue(ClientPosition.TokenId, out TokenRate) == true)
{
ClientPosition.TokenRate = (decimal)TokenRate.AskRate;
ClientPosition.TokenRateIn = TokenRate.PriceCurrency;
}
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
clientPositionRecord.ClientPositions.TryAdd(ClientPosition.TokenId, ClientPosition);
}
}
else
{
if (clientPositionRecord.ClientPositions.TryGetValue(orderFilledDataRecord.Token2Id, out ClientPosition) == true)
{
ClientPosition.TokenAmount += orderFilledDataRecord.Token2Amount;
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
}
else
{
ClientPosition = new ClientPositionData();
ClientPosition.TokenId = orderFilledDataRecord.Token2Id;
ClientPosition.TokenAmount = orderFilledDataRecord.Token2Amount;
ClientPosition.TokenRate = 0.0m;
ClientPosition.TokenRateIn = "USD";
if (TokenRates.TryGetValue(ClientPosition.TokenId, out TokenRate) == true)
{
ClientPosition.TokenRate = (decimal)TokenRate.AskRate;
ClientPosition.TokenRateIn = TokenRate.PriceCurrency;
}
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
clientPositionRecord.ClientPositions.TryAdd(ClientPosition.TokenId, ClientPosition);
}
if (clientPositionRecord.ClientPositions.TryGetValue(orderFilledDataRecord.Token1Id, out ClientPosition) == true)
{
ClientPosition.TokenAmount -= orderFilledDataRecord.Token1Amount;
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
}
else
{
ClientPosition = new ClientPositionData();
ClientPosition.TokenId = orderFilledDataRecord.Token1Id;
ClientPosition.TokenAmount -= orderFilledDataRecord.Token1Amount;
ClientPosition.TokenRate = 0.0m;
ClientPosition.TokenRateIn = "USD";
if (TokenRates.TryGetValue(ClientPosition.TokenId, out TokenRate) == true)
{
ClientPosition.TokenRate = (decimal)TokenRate.AskRate;
ClientPosition.TokenRateIn = TokenRate.PriceCurrency;
}
ClientPosition.TokenValue = ClientPosition.TokenAmount * ClientPosition.TokenRate;
clientPositionRecord.ClientPositions.TryAdd(ClientPosition.TokenId, ClientPosition);
}
}
}
internal void OrderFilledHandle(OrderFilledData data)
{
Guid guid = data.OrigClientId;
_ordersLock.EnterUpgradeableReadLock();
try
{
if (_orders.ContainsKey(guid) && data.Status == OrderStatus.Partial)
{
//_orders[data.ClientId].FilledQuantity += data.Quantity;
//Guid newClientId = data.NewClientId;
////_orders[newClientId] = _orders[data.ClientId];
//_orders.Add(newClientId, _orders[data.ClientId]);
_orders[guid].PaidPrice = data.PaidPrice;
_orders[guid].Type = data.OrderType;
_orders[guid].Side = data.Side;
_orders[guid].Leverage = data.Leverage;
_orders[guid].Duration = data.Duration;
_orders[guid].Price = data.Price;
_orders[guid].Quantity = data.Quantity;
//OrderBase tmpOrder = _orders[data.ClientId];
//tmpOrder.Status = OrderStatus.Accepted;
//_orders[newClientId].ClientId = newClientId;
//_orders[newClientId].OrigClientId = data.OrigClientId;
_orders[guid].OrigQuantity = data.OrigQuantity;
_orders[guid].OpenTime = data.OpenTime;
foreach (var trade in data.RawTrades)
{
_orders[guid].Trades.Add(trade);
}
_orders[guid].Status = data.Status;
_orders[guid].OrderChanged();
//_ordersLock.EnterWriteLock();
//try
//{
// _orders.Remove(data.ClientId);
//}
//finally
//{ _ordersLock.ExitWriteLock(); }
}
else if (_orders.ContainsKey(guid) && data.Status == OrderStatus.Filled)
{
foreach (var trade in data.RawTrades)
{
_orders[guid].Trades.Add(trade);
}
_orders[guid].Status = data.Status;
_orders[guid].OrderChanged();
_ordersLock.EnterWriteLock();
try
{
_orders[guid].Dispose();
_orders.Remove(guid);
}
finally
{ _ordersLock.ExitWriteLock(); }
}
}
finally
{ _ordersLock.ExitUpgradeableReadLock(); }
}