public void ProcessFill(SymbolInfo symbol, LogicalFillBinary fill)
{
SymbolReceiver symbolReceiver;
if (!symbolsRequested.TryGetValue(symbol.BinaryIdentifier, out symbolReceiver))
{
throw new InvalidOperationException("Can't find symbol request for " + symbol);
}
var symbolAlgorithm = GetAlgorithm(symbol.BinaryIdentifier);
if (!symbolAlgorithm.OrderAlgorithm.IsBrokerOnline)
{
if (debug)
{
log.Debug("Broker offline but sending fill anyway for " + symbol + " to receiver: " + fill);
}
}
if (debug)
{
log.Debug("Sending fill event for " + symbol + " to receiver: " + fill);
}
var item = new EventItem(symbol, EventType.LogicalFill, fill);
symbolReceiver.Agent.SendEvent(item);
}
private void client_ExecDetails(object sender, ExecDetailsEventArgs e)
{
log.InfoFormat("Execution: {0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11}",
e.Contract.Symbol, e.Execution.AccountNumber, e.Execution.ClientId, e.Execution.Exchange, e.Execution.ExecutionId,
e.Execution.Liquidation, e.Execution.OrderId, e.Execution.PermId, e.Execution.Price, e.Execution.Shares, e.Execution.Side, e.Execution.Time);
SymbolInfo symbol = Factory.Symbol.LookupSymbol(e.Contract.Symbol);
SymbolHandler symbolHandler = symbolHandlers[symbol.BinaryIdentifier];
TimeStamp executionTime = new TimeStamp(e.Execution.Time);
int logicalOrderId = GetLogicalOrderId(e.Execution.OrderId);
double change = e.Execution.Side == ExecutionSide.Bought ? e.Execution.Shares : -e.Execution.Shares;
double positionBefore = symbolHandler.Position;
symbolHandler.AddPosition(change);
if (trace)
{
log.Trace("Changed symbol position: " + positionBefore + " + " + change + " = " + symbolHandler.Position);
}
LogicalFillBinary binary = new LogicalFillBinary(symbolHandler.Position, e.Execution.Price, executionTime, logicalOrderId);
if (debug)
{
log.Debug("Sending logical fill: " + binary);
}
receiver.OnEvent(symbol, (int)EventType.LogicalFill, binary);
}
public bool OnLogicalFill(SymbolInfo symbol, LogicalFillBinary fill)
{
log.Info("Got Logical Fill of " + symbol + " at " + fill.Price + " for " + fill.Position);
actualPositions[symbol.BinaryIdentifier] = fill.Position;
if (SyncTicks.Enabled)
{
tickSync.RemovePhysicalFill(fill);
}
return(true);
}
public void ProcessFill(SymbolInfo symbol, LogicalFillBinary fill)
{
lock ( openOrdersLocker) {
if (debug)
{
log.Debug("Sending fill event for " + symbol + " to receiver: " + fill);
}
while (!receiver.OnEvent(symbol, (int)EventType.LogicalFill, fill))
{
Factory.Parallel.Yield();
}
}
}
public bool OnProcessFill(LogicalFill fill)
{
if (debug)
{
log.Debug(model + ": OnProcessFill: " + fill);
}
if (fill.IsSimulated)
{
if (debug)
{
log.Debug("Ignoring fill since it's a simulated fill meaning that the strategy already exited via a money management exit like stop loss or target profit, etc.");
}
return(true);
}
if (model is Portfolio)
{
var portfolio = (Portfolio)model;
var portfolioPosition = portfolio.Result.Position;
fill = new LogicalFillBinary(portfolioPosition.Current, portfolioPosition.Price, fill.Time, fill.UtcTime, fill.OrderId, fill.OrderSerialNumber, fill.OrderPosition, false);
if (debug)
{
log.Debug("For portfolio, converted to fill: " + fill);
}
}
if (transactionDebug && !model.QuietMode && !(model is PortfolioInterface))
{
transactionLog.Debug(model.Name + "," + model.Data.SymbolInfo + "," + fill);
}
if (fill.Position != position.Current)
{
if (position.IsFlat)
{
EnterComboTrade(fill);
}
else if (fill.Position == 0)
{
if (model is Strategy)
{
var strategy = model as Strategy;
LogicalOrder filledOrder;
strategy.TryGetOrderById(fill.OrderId, out filledOrder);
if (filledOrder.TradeDirection != TradeDirection.Change)
{
ExitComboTrade(fill);
}
}
else
{
ExitComboTrade(fill);
}
}
else if ((fill.Position > 0 && position.IsShort) || (fill.Position < 0 && position.IsLong))
{
// The signal must be opposite. Either -1 / 1 or 1 / -1
if (model is Strategy)
{
var strategy = model as Strategy;
LogicalOrder filledOrder;
strategy.TryGetOrderById(fill.OrderId, out filledOrder);
if (filledOrder.TradeDirection == TradeDirection.Change)
{
ChangeComboSize(fill);
}
else
{
ExitComboTrade(fill);
EnterComboTrade(fill);
}
}
else
{
ExitComboTrade(fill);
EnterComboTrade(fill);
}
}
else
{
// Instead it has increased or decreased position size.
ChangeComboSize(fill);
}
}
position.Change(model.Data.SymbolInfo, fill);
if (model is Strategy)
{
Strategy strategy = (Strategy)model;
if (debug)
{
log.Debug("Changing strategy result position to " + position.Current);
}
strategy.Result.Position.Copy(position);
}
// if( model is Portfolio) {
// Portfolio portfolio = (Portfolio) model;
// double tempNetPortfolioEquity = 0;
// tempNetPortfolioEquity += portfolio.Performance.Equity.ClosedEquity;
// tempNetPortfolioEquity -= portfolio.Performance.Equity.StartingEquity;
// }
return(true);
}
private void ProcessFill(LogicalFillBinary fill, bool isCompletePhysicalFill)
{
if (debug)
{
log.Debug("ProcessFill() logical: " + fill);
}
int orderId = fill.OrderId;
if (orderId == 0)
{
// This is an adjust-to-position market order.
// Position gets set via SetPosition instead.
return;
}
var filledOrder = FindLogicalOrder(orderId);
if (debug)
{
log.Debug("Matched fill with order: " + filledOrder);
}
var isCompleteLogicalFill = filledOrder.Position == Math.Abs(fill.Position);
if (filledOrder.TradeDirection == TradeDirection.Change)
{
var strategyPosition = filledOrder.StrategyPosition;
var orderPosition =
filledOrder.Type == OrderType.BuyLimit ||
filledOrder.Type == OrderType.BuyMarket ||
filledOrder.Type == OrderType.BuyStop ?
filledOrder.Position : -filledOrder.Position;
if (debug)
{
log.Debug("Change order fill = " + orderPosition + ", strategy = " + strategyPosition + ", fill = " + fill.Position);
}
isCompleteLogicalFill = orderPosition + strategyPosition == fill.Position;
if (!isCompleteLogicalFill)
{
var change = fill.Position - filledOrder.StrategyPosition;
filledOrder.Position = Math.Abs(orderPosition - change);
if (debug)
{
log.Debug("Changing order to position: " + filledOrder.Position);
}
}
}
if (isCompleteLogicalFill)
{
try {
if (debug)
{
log.Debug("Marking order id " + filledOrder.Id + " as completely filled.");
}
filledOrders.Add(filledOrder.SerialNumber, TimeStamp.UtcNow.Internal);
originalLogicals.Remove(filledOrder);
CleanupAfterFill(filledOrder);
} catch (ApplicationException) {
}
}
UpdateOrderCache(filledOrder, fill);
if (onProcessFill != null)
{
if (debug)
{
log.Debug("Sending logical fill for " + symbol + ": " + fill);
}
onProcessFill(symbol, fill);
}
if (isCompletePhysicalFill && !isCompleteLogicalFill)
{
if (debug)
{
log.Debug("Found complete physical fill but incomplete logical fill.");
}
ProcessMissingPhysical(filledOrder);
}
if (isCompleteLogicalFill)
{
if (debug)
{
log.Debug("Performing extra compare.");
}
lock ( performCompareLocker) {
PerformCompareInternal();
}
}
}
public void ProcessFill(PhysicalFill physical, int totalSize, int cumulativeSize, int remainingSize)
{
if (debug)
{
log.Debug("ProcessFill() physical: " + physical);
}
// log.Warn( "ProcessFill() physical: " + physical);
physicalOrders.Remove(physical.Order);
var isCompletePhysicalFill = physical.Order.Size == 0;
if (isCompletePhysicalFill)
{
if (debug)
{
log.Debug("Physical order completely filled: " + physical.Order);
}
physicalOrders.Remove(physical.Order);
}
else
{
if (debug)
{
log.Debug("Physical order partially filled: " + physical.Order);
}
}
LogicalFillBinary fill;
try {
var logical = FindLogicalOrder(physical.Order.LogicalOrderId);
desiredPosition += physical.Size;
if (debug)
{
log.Debug("Adjusting symbol position to desired " + desiredPosition + ", physical fill was " + physical.Size);
}
var position = logical.StrategyPosition + physical.Size;
if (debug)
{
log.Debug("Creating logical fill with position " + position + " from strategy position " + logical.StrategyPosition);
}
fill = new LogicalFillBinary(
position, physical.Price, physical.Time, physical.UtcTime, physical.Order.LogicalOrderId, physical.Order.LogicalSerialNumber, logical.Position, physical.IsSimulated);
} catch (ApplicationException) {
if (debug)
{
log.Debug("Leaving symbol position at desired " + desiredPosition + ", since this was an adjustment market order.");
}
if (debug)
{
log.Debug("Skipping logical fill for an adjustment market order.");
}
if (debug)
{
log.Debug("Performing extra compare.");
}
lock ( performCompareLocker) {
PerformCompareInternal();
}
TryRemovePhysicalFill(physical);
return;
}
if (debug)
{
log.Debug("Fill price: " + fill);
}
ProcessFill(fill, isCompletePhysicalFill);
}
public bool OnPositionChange(LogicalFillBinary fill)
{
throw new NotImplementedException();
}
public void OnPositionChange(SymbolInfo symbol, LogicalFillBinary fill)
{
}
