private bool ProcessLimitOrder(Order order, MarketDataPoint currentMarketDataPoint)
{
Log.Debug($"Processing limit order {order}");
var orderProcessed = false;
switch (order.Side)
{
case OrderSide.Buy:
if (order.Price >= currentMarketDataPoint.Price)
{
if (Portfolio.UnfreezeSecurity(order.BaseCurrency, order.Volume * order.Price * (1 + _TradeFee)) &&
Portfolio.RemoveSecurity(order.BaseCurrency, order.Volume * currentMarketDataPoint.Price * (1 + _TradeFee)))
{
Portfolio.AddSecurity(order.Security, order.Volume);
orderProcessed = true;
}
}
break;
case OrderSide.Sell:
if (order.Price <= currentMarketDataPoint.Price)
{
if (Portfolio.UnfreezeSecurity(order.Security, order.Volume) && Portfolio.RemoveSecurity(order.Security, order.Volume))
{
var transactionAmount = order.Volume * currentMarketDataPoint.Price * (1 - _TradeFee);
Portfolio.AddSecurity(order.BaseCurrency, transactionAmount);
orderProcessed = true;
}
}
break;
}
if (orderProcessed)
{
Log.Debug($"Limit order processed");
_PendingOrders.Remove(order);
OnTradeExecuted(new Trade()
{
Timestamp = currentMarketDataPoint.Timestamp,
Order = order,
ExecutionPrice = currentMarketDataPoint.Price,
ExecutionVolume = order.Volume
});
}
else
{
Log.Warn($"Cannot place order: {order.ToFormattedString()}");
}
return(orderProcessed);
}
private Order ProcessMarketOrder(Order order, MarketDataPoint currentMarketDataPoint)
{
Log.Debug($"Processed market order {order}");
var orderProcessed = false;
switch (order.Side)
{
case OrderSide.Buy:
if (Portfolio.RemoveSecurity(order.BaseCurrency, order.Volume * currentMarketDataPoint.Price * (1 + _TradeFee)))
{
Portfolio.AddSecurity(order.Security, order.Volume);
orderProcessed = true;
}
break;
case OrderSide.Sell:
if (Portfolio.RemoveSecurity(order.Security, order.Volume))
{
Portfolio.AddSecurity(order.BaseCurrency, order.Volume * currentMarketDataPoint.Price * (1 - _TradeFee));
orderProcessed = true;
}
break;
}
if (orderProcessed)
{
Log.Debug($"Market order processed");
OnTradeExecuted(new Trade()
{
Timestamp = currentMarketDataPoint.Timestamp,
Order = order,
ExecutionPrice = currentMarketDataPoint.Price,
ExecutionVolume = order.Volume
});
return(order);
}
else
{
Log.Warn($"Unable to place order: {order.ToFormattedString()}");
return(null);
}
}
public void OpenOrder_LimitOrder()
{
var startingPortfolio = new Portfolio();
startingPortfolio.AddSecurity("USD", 1000m);
var market = new HistoricalMarket(TimeSpan.FromHours(1), startingPortfolio, 0);
GenerateConstantDataCsv("test.csv", 100, 100, TimeSpan.FromHours(1));
market.LoadDataFromCsv("test.csv", "SPX", "USD");
market.Tick();
market.OpenOrder(new Order()
{
BaseCurrency = "USD",
Price = 100,
Security = "SPX",
Side = OrderSide.Buy,
Type = OrderType.LimitOrder,
Volume = 1
});
}
