/// <summary>
/// Immediate fill logic, fill the order
/// can be reused on other fill models for filling and checking
/// </summary>
/// <param name="broker"></param>
/// <param name="datapoint"></param>
/// <param name="pendingorder"></param>
/// <param name="highliquidfill"></param>
/// <returns></returns>
protected Fill ImmediateFill(BrokerModel broker, DataPoint datapoint, PendingOrder pendingorder, bool highliquidfill)
{
//Get order
Order order = pendingorder.Order;
Security security = pendingorder.Security;
//Check market conditions
if (order.State == OrderState.Cancelled || order.State == OrderState.Error)
{
return(Fill.Cancelled(order.InternalId)); //Order has already been cancelled or has an error
}
else if (order.State == OrderState.Invalid)
{
return(Fill.Invalid(order.InternalId, "Invalid Order received")); //Order has already been made invalid
}
else if (order.State != OrderState.Submitted)
{
return(Fill.Error(order.InternalId, $"Unexpected order state {order.State}")); //Something else has gone wrong
}
else if (!IsExchangeOpen(pendingorder.Security, datapoint))
{
return(Fill.NoFill()); //Exchange is not opened for trading
}
else if (IsOrderExpired(order, datapoint))
{
return(Fill.Cancelled(order.InternalId, "Order expired")); //Check if order has been expired
}
//Check latency for processing this order
try
{
if (pendingorder.CreatedUtc.Add(broker.GetLatencyModel(security).GetLatency(order)) > datapoint.Occured)
{
return(Fill.NoFill()); //We are not suppose to see this order yet, due to added latency
}
}
catch (Exception exc)
{
_log.Error(exc, $"Could not execute broker latency model function for get latency.");
throw;
}
//Check possible fill price
var prices = datapoint.OrderPrice(order.Security, order.Direction);
decimal fillprice = prices.Current;
//Check order type and logic
if (order is LimitOrder limitorder)
{
//Check if limit order price is triggered
if (!limitorder.IsTriggered(prices, out fillprice))
{
return(Fill.NoFill());
}
}
else if (order is StopLimitOrder stoplimitorder)
{
//Check if stop limit order price is triggered
if (!stoplimitorder.IsTriggered(prices, out fillprice))
{
return(Fill.NoFill());
}
}
else if (order is StopMarketOrder stopmarketorder)
{
//Check if stop order price is triggered
if (!stopmarketorder.IsTriggered(prices, out fillprice))
{
return(Fill.NoFill());
}
}
else if (order is MarketOnCloseOrder marketoncloseorder)
{
//Check if market on close order is triggered
if (!marketoncloseorder.IsTriggered())
{
return(Fill.NoFill());
}
}
else if (order is MarketOnOpenOrder marketonopenorder)
{
//Check if market on open order is triggered
if (!marketonopenorder.IsTriggered())
{
return(Fill.NoFill());
}
}
//Check slippage model
try
{
fillprice += broker.GetSlippageModel(security).GetSlippage(order);
}
catch (Exception exc)
{
_log.Error(exc, $"Could not execute broker slippage model function for get slippage.");
throw;
}
//Check additional spread
try
{
fillprice += broker.GetSpreadModel(security).GetAdditionalSpread(order);
}
catch (Exception exc)
{
_log.Error(exc, $"Could not execute broker spread model function for get additional spread.");
throw;
}
//Check fill amount (based on liquidity)
if (!highliquidfill)
{
//Check fill size possible, according to tick
var filled = datapoint.OrderSize(order.Direction);
//Needed to fill (in case we partially already filled some of the order)
decimal neededfill = order.UnsignedQuantity - pendingorder.OrderFilledQuantity;
//Check for partial fills (will not include fees)
if (filled < neededfill)
{
return(Fill.PartialFill(order, pendingorder.Security.Exchange.Name, fillprice, 0m, filled));
}
else
{
//Process needed fill (will include fees)
try
{
return(Fill.FullFill(order, pendingorder.Security.Exchange.Name, fillprice, Math.Abs(broker.GetFeeModel(pendingorder.Security).GetCommissionAndFees(pendingorder)), neededfill));
}
catch (Exception exc)
{
_log.Error(exc, $"Could not process full fill, due to broker feemodel implementation.");
throw;
}
}
}
else
{
//Process full fill (will include fees)
try
{
return(Fill.FullFill(order, pendingorder.Security.Exchange.Name, fillprice, Math.Abs(broker.GetFeeModel(pendingorder.Security).GetCommissionAndFees(pendingorder)), order.UnsignedQuantity));
}
catch (Exception exc)
{
_log.Error(exc, $"Could not process full fill, due to broker feemodel implementation.");
throw;
}
}
}
