public void Update(BfChildOrderEvent coe)
{
if (!string.IsNullOrEmpty(coe.ChildOrderAcceptanceId))
{
AcceptanceId = coe.ChildOrderAcceptanceId;
}
if (!string.IsNullOrEmpty(coe.ChildOrderId))
{
OrderId = coe.ChildOrderId;
}
LastUpdatedTime = coe.EventDate;
switch (coe.EventType)
{
case BfOrderEventType.Order:
OrderDate = coe.EventDate; // Is it same value to real ordered date ?
ExpireDate = coe.ExpireDate;
ChangeState(BfxOrderState.Ordered);
break;
case BfOrderEventType.OrderFailed:
ChangeState(BfxOrderState.OrderFailed);
break;
case BfOrderEventType.Cancel:
ChangeState(BfxOrderState.Canceled);
break;
case BfOrderEventType.CancelFailed:
if (State != BfxOrderState.Outstanding) // Sometimes recived before ordered which under canceled OCO
{
ChangeState(BfxOrderState.CancelFailed);
}
break;
case BfOrderEventType.Execution:
_executions.Add(new BfxExecution(coe));
ExecutedSize = _executions.Sum(e => e.Size);
ExecutedPrice = Math.Round(_executions.Sum(e => e.Price * e.Size) / ExecutedSize.Value, ProductCode.GetPriceDecimals(), MidpointRounding.ToEven);
ChangeState(OrderSize > ExecutedSize ? BfxOrderState.PartiallyExecuted : BfxOrderState.Executed);
break;
case BfOrderEventType.Expire:
ChangeState(BfxOrderState.Expired);
break;
case BfOrderEventType.Unknown:
case BfOrderEventType.Trigger: // Parent order only
case BfOrderEventType.Complete: // Parent order only
throw new NotSupportedException();
}
}
