public double GetTradeExecutionPrice(DateTime fromDate,
DateTime toDate,
InstrumentType instrumentType,
string orderRefString)
{
double executionPrice = -1;
BrokerErrorCode errorCode = BrokerErrorCode.Success;
if (instrumentType.Equals(InstrumentType.Share))
{
errorCode = RefreshEquityTradeBook(this, fromDate, toDate, false);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(executionPrice);
}
lock (lockObjectEquity)
{
if (mEquityTradeBook.ContainsKey(orderRefString))
{
executionPrice = mEquityTradeBook[orderRefString].Price;
}
}
}
return(executionPrice);
}
public void Build()
{
foreach (var methodTranList in MethodTrans)
{
Console.Error.WriteLine("MESSAGE: Exporting method {0}", Path.GetFileName(methodTranList.FinalMethod));
if (string.IsNullOrEmpty(methodTranList.TransitionList))
{
throw new IOException(string.Format("Failure creating method file {0}. The mass list is empty.", methodTranList.FinalMethod));
}
string outMeth = EnsureExtension(methodTranList.OutputMethod, ".meth"); // Thermo needs the extension to be .meth
if (!Equals(outMeth, methodTranList.OutputMethod) && File.Exists(methodTranList.OutputMethod))
{
File.Move(methodTranList.OutputMethod, outMeth);
}
try
{
using (IMethodXMLContext mxc = MethodXMLFactory.CreateContext(InstrumentType, InstrumentVersion))
using (IMethodXML mx = mxc.Create())
{
mx.Open(TemplateMethod);
mx.EnableValidation(true);
ListItem[] listItems = ParseList(methodTranList.TransitionList).ToArray();
if (!listItems.Any())
{
throw new IOException("Empty mass list found.");
}
if (InstrumentType.Equals(InstrumentFusion))
{
mx.ApplyMethodModificationsFromXML(GetFusionModificationXml(listItems, outMeth));
}
else
{
mx.ImportMassListFromXML(GetTsqMassListXml(listItems, outMeth));
}
mx.SaveAs(outMeth);
}
if (!File.Exists(outMeth))
{
throw new IOException(string.Format("Failure creating method file {0}.", methodTranList.FinalMethod));
}
}
finally
{
if (!Equals(outMeth, methodTranList.OutputMethod))
{
File.Move(outMeth, methodTranList.OutputMethod);
}
}
}
}
