protected void OnStopOrderTriggered(StopOrderEventArgs e)
{
if (StopOrderTriggered != null)
{
StopOrderTriggered(this, e);
}
}
public void TryGetCurrentWorkingFlagQtyPrice(double[] marketPrices, out bool[] flags, out int[] qtys, out double[] prices)
{
m_BidPrice = marketPrices[0];
m_AskPrice = marketPrices[1];
m_MidPrice = marketPrices[2];
flags = new bool[2];
qtys = new int[2];
prices = new double[2];
prices[OrderSide.BuySide] = double.NaN;
prices[OrderSide.SellSide] = double.NaN;
m_CurrentBuyNodes.Clear();
m_CurrentSellNodes.Clear();
StopOrderEventType stopOrderEventType;
TradeSide tradeSide;
int stopQty;
double stopPrice = double.NaN;
if (TryDetectStopOrderTriggers(out stopOrderEventType, out tradeSide, out stopQty, out stopPrice))
{
StopOrderEventArgs stopOrderEventArgs = new StopOrderEventArgs();
stopOrderEventArgs.StopOrderEventType = stopOrderEventType;
stopOrderEventArgs.TradeSide = tradeSide;
stopOrderEventArgs.StopQty = stopQty;
stopOrderEventArgs.StopPrice = stopPrice;
OnStopOrderTriggered(stopOrderEventArgs);
switch (tradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
flags[OrderSide.SellSide] = true;
qtys[OrderSide.SellSide] = stopQty;
prices[OrderSide.SellSide] = stopPrice;
break;
case TradeSide.Sell:
flags[OrderSide.BuySide] = true;
qtys[OrderSide.BuySide] = stopQty;
prices[OrderSide.BuySide] = stopPrice;
break;
}
if (prices[OrderSide.SellSide] <= m_BidPrice)
{
prices[OrderSide.SellSide] = m_AskPrice;
}
if (prices[OrderSide.BuySide] >= m_AskPrice)
{
prices[OrderSide.BuySide] = m_BidPrice;
}
Log.NewEntry(LogLevel.Major, "Stop Orders Triggered for {0} on {1} side with {2} @ {3}:", stopOrderEventType, tradeSide, stopQty, stopPrice);
Log.NewEntry(LogLevel.Major, DumpCurrentNodesInfo());
}
else
{
double maxBuyPrice = double.NaN;
int buyQty;
if (TryGetValidBuys(out maxBuyPrice, out buyQty))
{
flags[OrderSide.BuySide] = true;
qtys[OrderSide.BuySide] = buyQty;
prices[OrderSide.BuySide] = maxBuyPrice;
}
double minSellPrice = double.NaN;
int sellQty;
if (TryGetValidSells(out minSellPrice, out sellQty))
{
flags[OrderSide.SellSide] = true;
qtys[OrderSide.SellSide] = sellQty;
prices[OrderSide.SellSide] = minSellPrice;
}
}
}