private void ProcessOrder(OEC.API.Order order, long trasactionId)
{
if (order == null)
{
throw new ArgumentNullException(nameof(order));
}
if (trasactionId == 0)
{
throw new ArgumentOutOfRangeException(nameof(trasactionId));
}
var execMsg = new ExecutionMessage
{
OriginalTransactionId = trasactionId,
OrderId = order.ID,
Side = order.Side.ToStockSharp(),
ExecutionType = ExecutionTypes.Order,
ServerTime = order.States.Current.Timestamp.ApplyTimeZone(TimeHelper.Est),
OrderType = order.Type.ToStockSharp(),
Volume = order.Quantity,
PortfolioName = order.Account.Name,
SecurityId = new SecurityId
{
SecurityCode = order.Contract.Symbol,
BoardCode = order.Route == null ? order.Contract.Exchange.Name : order.Route.Name,
},
Comment = order.Comments,
OrderPrice = order.Contract.Cast(order.Price) ?? 0,
};
var currVersion = order.Versions.Current;
switch (currVersion.Flags)
{
case OrderFlags.FOK:
execMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case OrderFlags.IOC:
execMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case OrderFlags.GTC:
execMsg.TimeInForce = TimeInForce.PutInQueue;
//execMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
}
if (currVersion.End != OEC.API.Version.MaximumEnd)
{
execMsg.ExpiryDate = currVersion.End.ApplyTimeZone(TimeHelper.Est);
}
if (execMsg.OrderType == OrderTypes.Conditional)
{
var condition = new OpenECryOrderCondition();
execMsg.Condition = condition;
switch (order.Type)
{
case OrderType.StopLimit:
condition.StopType = OpenECryStopType.StopLimit;
condition.StopPrice = order.Contract.Cast(order.Price);
execMsg.OrderPrice = order.Contract.Cast(order.Price2) ?? 0;
break;
case OrderType.Stop:
condition.StopType = OpenECryStopType.StopMarket;
condition.StopPrice = order.Contract.Cast(order.Price);
//execMsg.Price = 0;
break;
case OrderType.TrailingStopLoss:
case OrderType.TrailingStopLimit:
//execMsg.Price = 0;
var stopType = order.Type == OrderType.TrailingStopLimit ? OpenECryStopType.TrailingStopLimit : OpenECryStopType.TrailingStopMarket;
var eqtsData = currVersion.ExtData as EquityTrailingStopData;
if (eqtsData != null)
{
condition.StopType = stopType;
condition.Delta = eqtsData.Amount.ToDecimal();
condition.IsPercentDelta = eqtsData.IsPercentAmount;
condition.TriggerType = eqtsData.TriggerType.ToStockSharp();
condition.StopPrice = order.Contract.Cast(order.Price);
}
else
{
var tsData = currVersion.ExtData as OEC.API.TrailingStopData;
if (tsData != null)
{
condition.StopType = stopType;
condition.Delta = tsData.Delta.ToDecimal();
condition.ReferencePrice = tsData.ReferencePrice.ToDecimal();
condition.StopPrice = order.Contract.Cast(order.Price);
}
}
break;
default:
throw new ArgumentOutOfRangeException(LocalizedStrings.Str1849Params.Put(order.Type));
}
}
switch (order.CurrentState)
{
case OrderState.Accepted:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.Accepted;
break;
}
case OrderState.Held:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.ReceiveByServer;
break;
}
case OrderState.Sent:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.SentToServer;
break;
}
case OrderState.Suspended:
{
break;
}
case OrderState.Rejected:
{
execMsg.OrderState = OrderStates.Failed;
execMsg.OrderStatus = OrderStatus.RejectedBySystem;
execMsg.Error = new InvalidOperationException(order.States.Current.Comments);
break;
}
case OrderState.Working:
{
//execMsg.ExtensionInfo[_keyExchangeOrderId] = order.Versions.Current.Command.ExchangeOrderID;
execMsg.OrderState = OrderStates.Active;
execMsg.OrderStatus = OrderStatus.Accepted;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.Completed:
{
execMsg.OrderState = OrderStates.Done;
if (order.IsFilled)
{
execMsg.Balance = 0;
}
else
{
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
}
break;
}
case OrderState.Cancelled:
{
execMsg.OrderState = OrderStates.Done;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.None:
{
break;
}
case OrderState.Unknown:
{
break;
}
default:
throw new OpenECryException(LocalizedStrings.Str2557Params.Put(order.CurrentState));
}
SendOutMessage(execMsg);
}
private void ProcessOrder(OEC.API.Order order, long trasactionId)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
if (trasactionId == 0)
throw new ArgumentOutOfRangeException(nameof(trasactionId));
var execMsg = new ExecutionMessage
{
OriginalTransactionId = trasactionId,
OrderId = order.ID,
Side = order.Side.ToStockSharp(),
ExecutionType = ExecutionTypes.Transaction,
ServerTime = order.States.Current.Timestamp.ApplyTimeZone(TimeHelper.Est),
OrderType = order.Type.ToStockSharp(),
OrderVolume = order.Quantity,
PortfolioName = order.Account.Name,
SecurityId = new SecurityId
{
SecurityCode = order.Contract.Symbol,
BoardCode = order.Route == null ? order.Contract.Exchange.Name : order.Route.Name,
},
Comment = order.Comments,
OrderPrice = order.Contract.Cast(order.Price) ?? 0,
};
var currVersion = order.Versions.Current;
switch (currVersion.Flags)
{
case OrderFlags.FOK:
execMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case OrderFlags.IOC:
execMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case OrderFlags.GTC:
execMsg.TimeInForce = TimeInForce.PutInQueue;
//execMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
}
if (currVersion.End != OEC.API.Version.MaximumEnd)
execMsg.ExpiryDate = currVersion.End.ApplyTimeZone(TimeHelper.Est);
if (execMsg.OrderType == OrderTypes.Conditional)
{
var condition = new OpenECryOrderCondition();
execMsg.Condition = condition;
switch (order.Type)
{
case OrderType.StopLimit:
condition.StopType = OpenECryStopType.StopLimit;
condition.StopPrice = order.Contract.Cast(order.Price);
execMsg.OrderPrice = order.Contract.Cast(order.Price2) ?? 0;
break;
case OrderType.Stop:
condition.StopType = OpenECryStopType.StopMarket;
condition.StopPrice = order.Contract.Cast(order.Price);
//execMsg.Price = 0;
break;
case OrderType.TrailingStopLoss:
case OrderType.TrailingStopLimit:
//execMsg.Price = 0;
var stopType = order.Type == OrderType.TrailingStopLimit ? OpenECryStopType.TrailingStopLimit : OpenECryStopType.TrailingStopMarket;
var eqtsData = currVersion.ExtData as EquityTrailingStopData;
if (eqtsData != null)
{
condition.StopType = stopType;
condition.Delta = eqtsData.Amount.ToDecimal();
condition.IsPercentDelta = eqtsData.IsPercentAmount;
condition.TriggerType = eqtsData.TriggerType.ToStockSharp();
condition.StopPrice = order.Contract.Cast(order.Price);
}
else
{
var tsData = currVersion.ExtData as OEC.API.TrailingStopData;
if (tsData != null)
{
condition.StopType = stopType;
condition.Delta = tsData.Delta.ToDecimal();
condition.ReferencePrice = tsData.ReferencePrice.ToDecimal();
condition.StopPrice = order.Contract.Cast(order.Price);
}
}
break;
default:
throw new ArgumentOutOfRangeException(LocalizedStrings.Str1849Params.Put(order.Type));
}
}
switch (order.CurrentState)
{
case OrderState.Accepted:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.Accepted;
break;
}
case OrderState.Held:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.ReceiveByServer;
break;
}
case OrderState.Sent:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.SentToServer;
break;
}
case OrderState.Suspended:
{
break;
}
case OrderState.Rejected:
{
execMsg.OrderState = OrderStates.Failed;
execMsg.OrderStatus = OrderStatus.RejectedBySystem;
execMsg.Error = new InvalidOperationException(order.States.Current.Comments);
break;
}
case OrderState.Working:
{
//execMsg.ExtensionInfo[_keyExchangeOrderId] = order.Versions.Current.Command.ExchangeOrderID;
execMsg.OrderState = OrderStates.Active;
execMsg.OrderStatus = OrderStatus.Accepted;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.Completed:
{
execMsg.OrderState = OrderStates.Done;
if (order.IsFilled)
{
execMsg.Balance = 0;
}
else
{
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
}
break;
}
case OrderState.Cancelled:
{
execMsg.OrderState = OrderStates.Done;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.None:
{
break;
}
case OrderState.Unknown:
{
break;
}
default:
throw new OpenECryException(LocalizedStrings.Str2557Params.Put(order.CurrentState));
}
SendOutMessage(execMsg);
}