public OrderProcessor(OrderAgent agent, Order order, Logger logger)
{
_agent = agent;
_order = order;
_position = agent.GetPosition(order);
_record = new OrderRecord(order);
_info = OrderExtensions.GetOrderInfo(order);
_logger = logger;
listNode = agent.AddProcessor(this);
InitRules();
}
public DualPosition GetPosition(Instrument instrument)
{
var record = _positions[instrument.Id];
if (record == null)
{
record = new DualPosition();
record.Instrument = instrument;
_positions[instrument.Id] = record;
}
return(record);
}
public void InitPosition(Portfolio portfolio)
{
foreach (var position in portfolio.Positions)
{
var dualPosition = new DualPosition {
Instrument = position.Instrument,
Long = { Qty = position.LongPositionQty },
Short = { Qty = position.ShortPositionQty }
};
foreach (var fill in position.Fills)
{
if (FillInToday(fill.DateTime))
{
if (fill.Side == OrderSide.Buy)
{
switch (fill.SubSide)
{
case SubSide.BuyCover:
dualPosition.Short.QtyToday -= fill.Qty;
break;
case SubSide.SellShort:
case SubSide.Undefined:
dualPosition.Long.QtyToday += fill.Qty;
break;
}
}
else
{
switch (fill.SubSide)
{
case SubSide.BuyCover:
case SubSide.Undefined:
dualPosition.Long.QtyToday -= fill.Qty;
break;
case SubSide.SellShort:
dualPosition.Short.QtyToday += fill.Qty;
break;
}
}
}
}
_positions[position.InstrumentId] = dualPosition;
}
}