}// TryToStop()
//
//
//
// *****************************************
// **** Quote() ****
// *****************************************
/// <summary>
/// Method to request that an order engine send orders at a particular price and qty.
/// qty should be a signed int.
///
/// this overload allows for a quote reason to be sent along with the order.
/// </summary>
/// <param name="pricingEngine"></param>
/// <param name="tradeSide"></param>
/// <param name="price"></param>
/// <param name="qty"></param>
/// <param name="quoteReason">Explanation for logging purposes.</param>
public void Quote(PricingEngine pricingEngine, int tradeSide, double price, int qty, QuoteReason quoteReason = QuoteReason.None)
{
if (!m_IsBeginComplete)
{
StrategyHub.Log.NewEntry(LogLevel.Error, "Quote called before complete.");
}
if (!IsLaunched)
{
StrategyHub.Log.NewEntry(LogLevel.Error, "Quote called before launched.");
}
/*
* if (m_OrderEngine != null)
* {
* int tradeId = m_OrderEngine.Quote(tradeSide, price, qty, quoteReason);
* // Save pricing model update snapshot
* m_ModelSnapshots[tradeId] = String.Format("{0} TradeReason={1}", m_PricingEngine.GetFillAttributeString(), quoteReason); // store snapshot in tradeId we just adjusted.
* }
*/
m_QuoteEngine.Quote(pricingEngine, tradeSide, price, qty, quoteReason);
}//Quote()
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
//
// *****************************************
// **** Quote() ****
// *****************************************
/// <summary>
/// Method called by PricingEngine to request a change in quoting
/// for a particular, side, price and qty.
/// Sending a quote with only tradeSide will remove quote from price list.
///
/// Generally,s pricingEngines that don't want to quote a qty should still quote their target price.
/// This allows overfills to be distributed to the pricing engine that can best use it.
/// </summary>
/// <param name="pricingEngine"></param>
/// <param name="tradeSide"></param>
/// <param name="price"></param>
/// <param name="qty">signed integer</param>
/// <param name="quoteReason">user chosen quote reason.</param>
public virtual void Quote(PricingEngine pricingEngine, int tradeSide, double price = double.NaN, int qty = 0,
QuoteReason quoteReason = QuoteReason.None)
{
// Compute quote variables.
int tradeSign = UV.Lib.Utilities.QTMath.MktSideToMktSign(tradeSide);
bool isPriceListed = (double.IsNaN(price) == false && double.IsInfinity(price) == false);
int iPriceNew = 0;
if (isPriceListed)
{
iPriceNew = tradeSign * (int)System.Math.Floor(tradeSign * price / m_QuoteTickSize); // integerized price!
}
// Get this engines quote object from our master list.
Quote quote = null;
if (!m_Quotes[tradeSide].TryGetValue(pricingEngine, out quote)) // we store quotes for each side of mkt.
{ // Apparently this is the first quote call from this engine.
quote = new Quote();
m_Quotes[tradeSide].Add(pricingEngine, quote);
quote.PricingEngine = pricingEngine; // set constant vars.
quote.Side = tradeSide;
if (m_FirstPriceEngine == null)
{
m_FirstPriceEngine = pricingEngine;
}
}
bool isPriceListedPrev = quote.IsPriceListed;
int iPricePrev = quote.IPrice;
int qtyPrev = quote.Qty;
// Test validity of qty value
if (tradeSign * qty < 0)
{
qty = 0;
}
// Determine if this quote has changed.
// isPriceChanged = should contain all reasons the quotes location in book might change.
bool isPriceChanged = (isPriceListed != isPriceListedPrev) || (iPriceNew != iPricePrev) || (quote.Reason != quoteReason);
bool doesThisChangeRequireQuoteUpdating = (qty != qtyPrev) || (isPriceChanged);
m_IsQuoteSideUpdateRequired[tradeSide] = m_IsQuoteSideUpdateRequired[tradeSide] || doesThisChangeRequireQuoteUpdating; // true if ANY PricingEngines quotes have changed since last update.
// If the price has changed, and it should have been in our price list,
// we need to remove it from its old location in price list.
if (isPriceChanged && isPriceListedPrev)
{
RemoveQuoteFromListing(tradeSide, quote);
}
// Update the quote with the new price/qty
quote.IsPriceListed = isPriceListed;
quote.IPrice = iPriceNew;
quote.RawPrice = price;
quote.Qty = qty;
quote.Reason = quoteReason;
quote.FillAttributeStr.Clear();
quote.FillAttributeStr.Append(pricingEngine.GetFillAttributeString());
// Now add quote to new price location, if necessary.
if (isPriceChanged && isPriceListed)
{ // We need to add it since its price has changed, and it price is valid now.
List <Quote> quoteList = null;
int priceKey = -tradeSign * iPriceNew;
if (!m_QuotesByPrice[tradeSide].TryGetValue(priceKey, out quoteList)) // get all quotes at this price
{ // There are no previous quotes at this price, create new list.
quoteList = m_QuoteListRecycling.Get();
quoteList.Clear();
m_QuotesByPrice[tradeSide].Add(priceKey, quoteList);
}
// Add quote to list at this price.
if (quote.Reason == QuoteReason.Exit || quote.Reason == QuoteReason.Stop)
{
quoteList.Insert(0, quote); // put these in the front of the list.
}
else
{
quoteList.Add(quote); // add these to end of list.
}
}
}//Quote()
