public PartiallyClosedOrdersAdjuster(List <IOrderInfo> live, List <IOrderInfo> history)
{
_live = live;
_history = history;
_toResolve = new List <IOrderInfo>();
_history.Sort((o1, o2) =>
{
try
{
var cmp = o1.GetCloseTime().CompareTo(o2.GetCloseTime());
if (cmp == 0)
{
cmp = string.Compare(o1.GetSymbol(), o2.GetSymbol(), StringComparison.Ordinal);
if (cmp == 0)
{
cmp = o1.GetTradeOperation() - o2.GetTradeOperation();
if (cmp == 0)
{
var d = o1.GetOpenPrice() - o2.GetOpenPrice();
cmp = d == 0 ? 0 : (d > 0 ? 1 : -1);
if (cmp == 0)
{
var t = o1.GetOpenTime() - o2.GetOpenTime();
cmp = t.TotalSeconds == 0 ? 0 : (t.TotalSeconds > 0 ? 1 : -1);
if (cmp == 0)
{
cmp = o1.GetMagic() - o2.GetMagic();
if (cmp == 0)
{
var t1 = o1.Ticket();
var t2 = o2.Ticket();
cmp = t1 > t2 ? -1 : (t1 < t2 ? 1 : 0); // reverse order for stack
}
}
}
}
}
}
return(cmp);
}
catch (Exception e)
{
Console.WriteLine(e);
return(0);
}
});
_live.Sort((o1, o2) => o1.Ticket() > o2.Ticket() ? 1 : -1);
//
var notBuySellOrders = new List <IOrderInfo>();
_orders = _live.ToDictionary(info => info.Ticket());
_buySide = new List <Stack <IOrderInfo> >();
_sellSide = new List <Stack <IOrderInfo> >();
_buyAtTop = new Dictionary <long, bool>();
_sellAtTop = new Dictionary <long, bool>();
_hedgedBy = new Dictionary <long, long>();
_closedBy = new Dictionary <long, long>();
OComparator lastOrderCmpInfo = null;
var closeHedgeBy = @"close hedge by #";
foreach (var o in history)
{
_orders[o.Ticket()] = o;
var tradeOperation = o.GetTradeOperation();
if (tradeOperation != TradeOperation.OP_BUY && tradeOperation != TradeOperation.OP_SELL)
{
notBuySellOrders.Add(o);
continue;
}
//
if (o.GetComment().StartsWith(closeHedgeBy))
{
long t;
if (long.TryParse(o.GetComment().Substring(closeHedgeBy.Length), out t))
{
_hedgedBy[o.Ticket()] = t;
_closedBy[t] = o.Ticket();
}
else
{
Logger.Warn($"Not expected, not numeric ticket in comment: {o.GetComment()}");
}
}
//
var side = tradeOperation == TradeOperation.OP_BUY ? _buySide : _sellSide;
var top = tradeOperation == TradeOperation.OP_BUY ? _buyAtTop : _sellAtTop;
//
if (lastOrderCmpInfo == null || !lastOrderCmpInfo.IsSameOrder(o))
{
lastOrderCmpInfo = new OComparator(o);
var stack = new Stack <IOrderInfo>();
stack.Push(o);
side.Add(stack);
}
else
{
var stack = side[side.Count - 1];
top.Remove(stack.Peek().Ticket());
stack.Push(o);
}
top[o.Ticket()] = true;
}
//
history.Clear();//rebuilding historical orders
history.AddRange(notBuySellOrders);
}
private bool CheckHedges(Stack <IOrderInfo> bStack)
{
Stack <IOrderInfo> cbStack = null;
Stack <IOrderInfo> hdgStack = null;
long tmpTicket;
if (_closedBy.TryGetValue(bStack.Peek().Ticket(), out tmpTicket))
{
cbStack = bStack;
if (_sellAtTop.ContainsKey(tmpTicket))
{
hdgStack = _sellSide.FirstOrDefault(sellStack => sellStack.Peek().Ticket() == tmpTicket);
}
}
if (_hedgedBy.TryGetValue(bStack.Peek().Ticket(), out tmpTicket))
{
hdgStack = bStack;
if (_sellAtTop.ContainsKey(tmpTicket))
{
cbStack = _sellSide.FirstOrDefault(sellStack => sellStack.Peek().Ticket() == tmpTicket);
}
}
if (cbStack != null && hdgStack != null)
{
var cbOrder = cbStack.Pop();
var hdgOrder = hdgStack.Pop();
//
_history.Add(hdgOrder);
_history.Add(cbOrder);
//
IOrderInfo cbNext = null;
IOrderInfo hdgNext = null;
//
Dictionary <long, bool> cbTop = cbOrder.GetTradeOperation() == TradeOperation.OP_BUY ? _buyAtTop : _sellAtTop;
Dictionary <long, bool> hdgTop = hdgOrder.GetTradeOperation() == TradeOperation.OP_BUY ? _buyAtTop : _sellAtTop;
cbTop.Remove(cbOrder.Ticket());
hdgTop.Remove(hdgOrder.Ticket());
if (cbStack.Count > 0)
{
cbTop[(cbNext = cbStack.Peek()).Ticket()] = true;
}
if (hdgStack.Count > 0)
{
hdgTop[(hdgNext = hdgStack.Peek()).Ticket()] = true;
}
//
cbOrder.SetClosedBy(hdgOrder);
if (cbNext == null && hdgNext == null)
{
//check live orders for next
var cbC = new OComparator(cbOrder);
var hdgC = new OComparator(hdgOrder);
cbNext =
_live.FirstOrDefault(
order => order.Ticket() > cbOrder.Ticket() && cbC.IsSameLiveOrder(order));
hdgNext =
_live.FirstOrDefault(
order => order.Ticket() > hdgOrder.Ticket() && hdgC.IsSameLiveOrder(order));
}
var next = cbNext == null
? hdgNext
: (hdgNext == null
? cbNext
: (cbNext.Ticket() > hdgNext.Ticket() ? hdgNext : cbNext)); // use minimal ticket number for next order
if (next != null)
{
if (ReferenceEquals(next, cbNext))
{
cbOrder.SetNext(next);
}
if (ReferenceEquals(next, hdgNext))
{
hdgOrder.SetNext(next);
}
}
//
// remove empty stack from a side
if (cbStack.Count == 0)
{
(cbOrder.GetTradeOperation() == TradeOperation.OP_BUY ? _buySide : _sellSide).Remove(cbStack);
}
if (hdgStack.Count == 0)
{
(hdgOrder.GetTradeOperation() == TradeOperation.OP_BUY ? _buySide : _sellSide).Remove(hdgStack);
}
//
return(true);
}
return(false);
}
