public bool TryExecute(IOrderBookBestBidAsk bestBidAsk)
{
if (TriggerAction == null)
throw new InvalidOperationException("BestPriceTrigger cannot execute as action is null.");
if (TriggerHasFired)
return false;
switch (Way)
{
case WayEnum.Buy:
if ((bestBidAsk.BestBidPrice.HasValue && bestBidAsk.BestBidPrice.Value >= TriggerPrice) ||
(bestBidAsk.BestAskPrice.HasValue && bestBidAsk.BestAskPrice.Value >= TriggerPrice))
{
Execute();
return true;
}
break;
case WayEnum.Sell:
if ((bestBidAsk.BestAskPrice.HasValue && bestBidAsk.BestAskPrice.Value <= TriggerPrice) ||
(bestBidAsk.BestBidPrice.HasValue && bestBidAsk.BestBidPrice.Value <= TriggerPrice))
{
Execute();
return true;
}
break;
}
return false;
}
public void EnqueueLevel1Update(IOrderBookBestBidAsk orderBookBestBidAsk)
{
serverToClientMessage.Reset();
serverToClientMessage.MessageType = ServerToClientMessageTypeEnum.Level1;
serverToClientMessage.ReceiverClientId = 0;
serverToClientMessage.Level1.Update(orderBookBestBidAsk.ToDto());
Enqueue();
}
public OrderBook(string symbol, ILimitOrderMatchingAlgorithm limitOrderMatchingAlgorithm, IMarketOrderMatchingAlgorithm marketOrderMatchingAlgorithm, IOrderBookBestBidAsk orderBookBestBidAsk)
{
this.limitOrderMatchingAlgorithm = limitOrderMatchingAlgorithm;
this.marketOrderMatchingAlgorithm = marketOrderMatchingAlgorithm;
this.orderBookBestBidAsk = orderBookBestBidAsk;
Symbol = symbol;
PriceSlots = new Dictionary<double, IPriceSlot>();
BuySideStopLimitOrders = new List<IStopLimitOrder>();
SellSideStopLimitOrders = new List<IStopLimitOrder>();
}
public OrderBook(string symbol, ILimitOrderMatchingAlgorithm limitOrderMatchingAlgorithm, IMarketOrderMatchingAlgorithm marketOrderMatchingAlgorithm, IOrderBookBestBidAsk orderBookBestBidAsk)
{
this.limitOrderMatchingAlgorithm = limitOrderMatchingAlgorithm;
this.marketOrderMatchingAlgorithm = marketOrderMatchingAlgorithm;
this.orderBookBestBidAsk = orderBookBestBidAsk;
Symbol = symbol;
PriceSlots = new Dictionary <double, IPriceSlot>();
BuySideStopLimitOrders = new List <IStopLimitOrder>();
SellSideStopLimitOrders = new List <IStopLimitOrder>();
}
public bool TryExecute(IOrderBookBestBidAsk bestBidAsk)
{
if (TriggerAction == null)
{
throw new InvalidOperationException("BestPriceTrigger cannot execute as action is null.");
}
if (TriggerHasFired)
{
return(false);
}
switch (Way)
{
case WayEnum.Buy:
if ((bestBidAsk.BestBidPrice.HasValue && bestBidAsk.BestBidPrice.Value >= TriggerPrice) ||
(bestBidAsk.BestAskPrice.HasValue && bestBidAsk.BestAskPrice.Value >= TriggerPrice))
{
Execute();
return(true);
}
break;
case WayEnum.Sell:
if ((bestBidAsk.BestAskPrice.HasValue && bestBidAsk.BestAskPrice.Value <= TriggerPrice) ||
(bestBidAsk.BestBidPrice.HasValue && bestBidAsk.BestBidPrice.Value <= TriggerPrice))
{
Execute();
return(true);
}
break;
}
return(false);
}
public void EnqueueLevel1Update(IOrderBookBestBidAsk orderBookBestBidAsk)
{
serverToClientMessage.Reset();
serverToClientMessage.MessageType = ServerToClientMessageTypeEnum.Level1;
serverToClientMessage.ReceiverClientId = 0;
serverToClientMessage.Level1.Update(orderBookBestBidAsk.ToDto());
Enqueue();
}
