protected override CMState RouteNewOrder(Wrapper wrapper)
{
try
{
Order order = GetOrder(wrapper);
try
{
lock (tLock)
{
//RunUpperTick(order);
ExecutionReport exRep = OrderManager.PlaceOrder(order);
BitMexActiveOrders.Add(order.ClOrdId, order);
if (exRep.OrderID != null)
{
OrderIdMappers.Add(exRep.OrderID, order.ClOrdId);
}
//The new ER will arrive through the websockets
//ExecutionReportWrapper erWrapper = new ExecutionReportWrapper(exRep, order);
//OnMessageRcv(erWrapper);
}
}
catch (Exception ex)
{
zHFT.OrderRouters.Bitmex.Common.DTO.ErrorMessage errMsg = JsonConvert.DeserializeObject <zHFT.OrderRouters.Bitmex.Common.DTO.ErrorMessage>(ex.Message);
ExecutionReportWrapper erWrapper = new ExecutionReportWrapper(GetRejectedExecutionReport(order, errMsg.error.message != null ? errMsg.error.message : ex.Message), order);
OnMessageRcv(erWrapper);
}
return(CMState.BuildSuccess());
}
catch (Exception ex)
{
return(CMState.BuildFail(ex));
}
}
protected void ProcessExecutionReports(WebSocketSubscriptionEvent subscrEvent)
{
WebSocketExecutionReportEvent reports = (WebSocketExecutionReportEvent)subscrEvent;
foreach (zHFT.OrderRouters.Bitmex.Common.DTO.ExecutionReport execReportDTO in reports.data)
{
try
{
string clOrdId = "";
if (OrderIdMappers.ContainsKey(execReportDTO.OrderID))
{
clOrdId = OrderIdMappers[execReportDTO.OrderID];
if (BitMexActiveOrders.ContainsKey(clOrdId))
{
Order order = BitMexActiveOrders[clOrdId];
lock (tLock)
{
if (execReportDTO.ExecType == ExecType.New.ToString())
{
order.OrderId = execReportDTO.OrderID;
}
if (execReportDTO.ExecType == ExecType.Replaced.ToString())
{
BitMexActiveOrders.Remove(clOrdId);
order.ClOrdId = order.PendingClOrdId;
order.PendingClOrdId = null;
BitMexActiveOrders.Add(order.ClOrdId, order);
OrderIdMappers[execReportDTO.OrderID] = order.ClOrdId;
}
if (execReportDTO.ExecType == ExecType.Canceled.ToString() ||
execReportDTO.ExecType == ExecType.Stopped.ToString() ||
execReportDTO.ExecType == ExecType.Rejected.ToString() ||
execReportDTO.ExecType == ExecType.Suspended.ToString() ||
execReportDTO.ExecType == ExecType.Expired.ToString())
{
BitMexActiveOrders.Remove(order.ClOrdId);
OrderIdMappers.Remove(order.OrderId);
}
}
WSExecutionReportWrapper wrapper = new WSExecutionReportWrapper(execReportDTO, order);
OnMessageRcv(wrapper);
}
}
else
{
DoLog(string.Format("Unknown order processing execution report for OrderId {0} ", execReportDTO.OrderID), Main.Common.Util.Constants.MessageType.Information);
}
}
catch (Exception ex)
{
DoLog(string.Format("Error processing execution report for ClOrdId {0}:{1} ", execReportDTO.ClOrdID, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
