private bool updateOrder(Order order, IExecutionReportMessage er)
{
// stupid protocol...but this is what the API sends...
if (er.ExecType == ExecTypeEnum.etPartiallyFilled ||
er.ExecType == ExecTypeEnum.etFilled)
{
order.avgPx = (order.avgPx * order.cumQty + er.OrderQty * er.Price) / (order.cumQty + er.OrderQty);
order.cumQty += er.OrderQty;
}
else if (er.ExecType == ExecTypeEnum.etReplaced)
{
if (!PriceUtils.isZero(er.OrderQty))
{
order.quantity = er.OrderQty;
}
if (!PriceUtils.isZero(er.Price))
{
order.price = er.Price;
}
}
ExecType? execType = FieldConverter.convert(er.ExecType, order);
OrdStatus?ordStatus = FieldConverter.convert(er.OrderStatus, order);
if (null != execType && null != ordStatus)
{
order.exchangeOrderId = er.OrderID;
order.ordStatus = ordStatus ?? order.ordStatus;
order.execType = execType ?? order.execType;
order.lastMsg = er.Text;
return(true);
}
return(false);
}
public void amendOrder(String exchangeOrderId, double price, double qty)
{
logger.Info("Amend Order: " + "exchangeOrderId=" + exchangeOrderId + "; price=" + price + "; qty=" + qty);
Order order;
if (!orders.TryGetValue(exchangeOrderId, out order))
{
throw new DownStreamException("Amend order not found: " + exchangeOrderId);
}
if (PriceUtils.EqualGreaterThan(qty, order.quantity))
{
throw new DownStreamException("Can't amend quantity up: " + exchangeOrderId);
}
if (PriceUtils.EqualLessThan(qty, order.cumQty))
{
throw new DownStreamException("Can't amend quantity to equal or less than filled quantity: " + exchangeOrderId);
}
if (!PriceUtils.isZero(price) && !PriceUtils.Equal(price, order.price) &&
!PriceUtils.isZero(qty) && !PriceUtils.Equal(qty, order.quantity))
{
throw new DownStreamException("Can't amend both price and quantity: " + exchangeOrderId);
}
if (price == order.price && qty == order.quantity)
{
throw new DownStreamException("Can't amend price and qty to same value: " + exchangeOrderId);
}
OrderMessage.ReplaceOrderMessage replaceOrderMessage = new OrderMessage.ReplaceOrderMessage();
replaceOrderMessage.AE = user;
replaceOrderMessage.Account = account;
replaceOrderMessage.BrokerID = brokerID;
replaceOrderMessage.Symbol = order.symbol;
replaceOrderMessage.OrderID = order.exchangeOrderId;
replaceOrderMessage.Side = FieldConverter.convert(order.orderSide);
if (!PriceUtils.isZero(price) && !PriceUtils.Equal(price, order.price))
{
replaceOrderMessage.Price = price;
}
if (!PriceUtils.isZero(qty) && !PriceUtils.Equal(qty, order.quantity))
{
replaceOrderMessage.OrderQty = (int)qty;
}
replaceOrderMessage.Data = formatData(replaceOrderMessage.OrderQty, order.account);
replaceOrderMessage.NID = exchangeConnection.GenerateUniqueID(this.market, OrderMessage.MessageTypeEnum.mtReplace);
exchangeConnection.ReplaceOrder(replaceOrderMessage);
}
public void newOrder(Order order)
{
logger.Info("New Order: " + order.ToString());
if (!placeOrderCount.check(order.symbol))
{
string msg = "Max new order count reached: " + this.maxOrderCount;
logger.Error(msg);
throw new Exception(msg);
}
if (order.orderId == null)
{
throw new DownStreamException("Order id can't be null");
}
OrderMessage.NewOrderMessage newOrderMsg = new OrderMessage.NewOrderMessage();
newOrderMsg.AE = user;
newOrderMsg.Account = account;
newOrderMsg.BrokerID = brokerID;
newOrderMsg.Symbol = order.symbol;
newOrderMsg.OrderType = FieldConverter.convert(order.orderType);
newOrderMsg.Side = FieldConverter.convert(order.orderSide);
newOrderMsg.Price = order.price;
newOrderMsg.OrderQty = (int)order.quantity;
newOrderMsg.Market = this.market;
//TO DO
if (order.orderType == OrderType.Market)
{
newOrderMsg.TimeInForce = OrderMessage.TimeInForceEnum.tifIOC;
}
else
{
newOrderMsg.TimeInForce = OrderMessage.TimeInForceEnum.tifROD;
}
newOrderMsg.Data = formatData(newOrderMsg.OrderQty, order.account);
newOrderMsg.TradingSessionID = 0;
newOrderMsg.PositionEffect = OrderMessage.PositionEffectEnum.peClose;
//DateTime dt = new DateTime();
//newOrderMsg.ClOrdID = dt.ToString("yyyy-MM-dd hh:mm:ss.fff");
//System.Diagnostics.Debug.WriteLine("ClOrderID: " + newOrderMsg.ClOrdID);
newOrderMsg.NID = exchangeConnection.GenerateUniqueID(newOrderMsg.Market, OrderMessage.MessageTypeEnum.mtNew);
pendings[newOrderMsg.NID] = order;
exchangeConnection.NewOrder(newOrderMsg);
}
public void cancelOrder(string exchangeOrderId)
{
logger.Info("Cancel Order: " + "exchangeOrderId=" + exchangeOrderId);
Order order;
if (!orders.TryGetValue(exchangeOrderId, out order))
{
throw new DownStreamException("Cancel order not found: " + exchangeOrderId);
}
OrderMessage.CancelOrderMessage cancelOrderMessage = new OrderMessage.CancelOrderMessage();
cancelOrderMessage.AE = user;
cancelOrderMessage.Account = account;
cancelOrderMessage.BrokerID = brokerID;
cancelOrderMessage.Symbol = order.symbol;
cancelOrderMessage.OrderID = order.exchangeOrderId;
cancelOrderMessage.Side = FieldConverter.convert(order.orderSide);
cancelOrderMessage.Data = formatData((int)order.quantity, order.account);
cancelOrderMessage.NID = exchangeConnection.GenerateUniqueID(this.market, OrderMessage.MessageTypeEnum.mtCancel);
exchangeConnection.CancelOrder(cancelOrderMessage);
}
void onExecutionReport(OrderMessage.IExecutionReportMessage msg, OrderConnection.ExecDupEnum possDup)
{
Utils.printExecutionReport(msg, possDup);
Order existingOrder;
if (null != msg.OrderID && msg.OrderID != "")
{
if (this.recovering) // during recovery there won't be an order in the cache
{
recoveryCount++;
Order order = new Order(this.id, msg.Symbol, "unknown", msg.Price, msg.OrderQty,
FieldConverter.convert(msg.Side), FieldConverter.convert(msg.OrderType), "recovered");
if (updateOrder(order, msg))
{
orders[order.exchangeOrderId] = order;
PersistItem item = persistence.getItem(order.exchangeOrderId);
if (null == item) // log error here !!!
{
logger.Error("Error: Cant find order in peristence: " + order.exchangeOrderId);
return;
}
// This is the only reason we need persistence!
order.symbol = item.symbol;
order.orderId = item.orderId;
order.account = item.account;
logger.Info("Recovery add order: " + order);
}
}
else
{
if (orders.TryGetValue(msg.OrderID, out existingOrder))
{
if (updateOrder(existingOrder, msg))
{
persistence.save(existingOrder);
this.onOrder(existingOrder);
}
}
else if (msg.NID != 0 && pendings.TryGetValue(msg.NID, out existingOrder))
{
if (updateOrder(existingOrder, msg))
{
pendings.TryRemove(msg.NID, out existingOrder);
orders[msg.OrderID] = existingOrder;
persistence.save(existingOrder);
this.onOrder(existingOrder);
}
}
else
{
logger.Info("Cant find corresponding order in cache");
}
}
}
else
{
logger.Info("ExecutionReport OrderId is null or empty");
}
}