public void addAnClientOrder(SavedClientOrder order_)
{
orderCount++;
sliceCount += order_.getSliceCount();
turnover += order_.getTurnover();
slipage += order_.getSlipage() * order_.getTurnover();
//string symbol = order_.getSymbol();
//if (StoredProcMgr.MANAGER.isRepo(symbol))
//{
// int multiplier = StoredProcMgr.MANAGER.getMultiplier(symbol);
// turnover += multiplier * order_.getCumQty();
//}
//else
//{
// turnover += order_.getCumQty() * order_.getAvgPrice();
//}
//slipage += order_.getSlipage() * order_.getCumQty() * order_.getAvgPrice();
}
/// <summary>
/// Build lines and merge orders. Same orders are merged first.
/// Since reporting merged orders is not supported anymore, this line is to be deleted.
/// </summary>
/// <param name="orders_"></param>
/// <param name="client_"></param>
/// <returns>Lines to add to the tab.</returns>
/// This method is not used anymore. All orders are listed seperatedly.
private List <LineContent> buildExcelLinesMergeOrder(List <SavedClientOrder> orders_, Client client_)
{
Dictionary <SavedClientOrder, List <SavedClientOrder> > orderMap = this.getGroupedOrders(orders_);
List <LineContent> lines = new List <LineContent>();
decimal avgPrice = 0;
decimal vwSlipage = 0;
decimal volume = 0;
decimal turnover = 0;
foreach (var order in orderMap)
{
SavedClientOrder orderKey = order.Key;
List <SavedClientOrder> orderList = order.Value;
decimal tmpAvgPrice = 0;
decimal tmpAvgSlipage = 0;
decimal tmpVWSlipage = 0;
decimal tmpVolume = 0;
decimal tmpTurnover = 0;
foreach (SavedClientOrder tmpOrder in orderList)
{
tmpAvgSlipage += tmpOrder.getSlipage();
tmpVWSlipage += tmpOrder.getSlipage() * tmpOrder.getCumQty();
tmpAvgPrice += tmpOrder.getAvgPrice() * tmpOrder.getCumQty();
tmpVolume += tmpOrder.getCumQty();
tmpTurnover += tmpOrder.getTurnover();
}
avgPrice = tmpAvgPrice / tmpVolume;
vwSlipage = tmpVWSlipage / tmpVolume;
volume = tmpVolume;
turnover = tmpTurnover;
lines.Add(
new LineContent(client_.getAccountId(), orderKey.getSymbol(), orderKey.getStockName(), orderKey.getSide().ToString(),
orderKey.getMarginType().ToString(),
avgPrice, volume, vwSlipage, orderKey.getParticipation(),
orderKey.getTradingDay(), turnover));
}
return(lines);
}
public override void parseQueryResult(Client client_, SqlDataReader reader_)
{
while (reader_.Read())
{
string acct = reader_["accountId"].ToString();
string orderId = reader_["orderId"].ToString();
string symbol = reader_["symbol"].ToString();
string stockName = reader_["stockName"].ToString();
MarginType marginType = (MarginType)Int32.Parse(reader_["marginType"].ToString());
decimal participation = MathUtil.round((decimal)reader_["participationRate"]);
OrderAlgo algo = (OrderAlgo)Int32.Parse(reader_["algo"].ToString());
OrderSide side = (OrderSide)Int32.Parse(reader_["side"].ToString());
decimal avgPrice = MathUtil.round((decimal)reader_["avgPrice"]);
decimal slipageInBps = MathUtil.round((decimal)reader_["slipageInBps"]);
decimal cumQty = (decimal)reader_["cumQty"];
string tradingDay = reader_["tradingDay"].ToString();
string effectiveTime = reader_["effectiveTime"].ToString();
string expireTime = reader_["expireTime"].ToString();
int sliceCount = Int32.Parse(reader_["SliceCount"].ToString());
int cancelCount = Int32.Parse(reader_["cancelCount"].ToString());
int sentQty = Int32.Parse(reader_["totalSentQty"].ToString());
int filledQty = Int32.Parse(reader_["totalFilledQty"].ToString());
int filledCount = Int32.Parse(reader_["filledCount"].ToString());
SecurityType securityType = (SecurityType)Int32.Parse(reader_["securityType"].ToString());
SavedClientOrder order = new SavedClientOrder(acct, orderId, symbol, stockName, marginType, participation,
algo, side, avgPrice, slipageInBps, cumQty, tradingDay, effectiveTime, expireTime,
sliceCount, cancelCount, filledCount, sentQty, filledQty, securityType);
// If configed to include orders with zero cumQty
if (ConfigParser.CONFIG.getRunTimeConfig().reportZeroQtyOrders())
{
client_.addClientOrder(order);
}
else if (order.getCumQty() > 0)
{
// Only include orders with positive cumQty
client_.addClientOrder(order);
}
}
}
public void addClientOrder(SavedClientOrder order_)
{
this.trades.Add(order_);
}
