/// <summary>
/// The update trade filled trading histories.
/// </summary>
/// <param name="order">
/// The order.
/// </param>
/// <param name="tradingFillsHistory">
/// The trading fills history.
/// </param>
/// <param name="backwardWindow">
/// The backward window.
/// </param>
/// <param name="forwardWindow">
/// The forward window.
/// </param>
/// <returns>
/// The <see cref="ITradingHistoryStack"/>.
/// </returns>
private ITradingHistoryStack UpdateTradeFilledTradingHistories(
Order order,
ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack> tradingFillsHistory,
TimeSpan backwardWindow,
TimeSpan?forwardWindow)
{
if (!tradingFillsHistory.ContainsKey(order.Instrument.Identifiers))
{
// ReSharper disable once PossibleInvalidOperationException
ITradingHistoryStack history = new TradingHistoryStack(backwardWindow, i => i.FilledDate.Value, this.tradingStackLogger);
ITradingHistoryStack historyDecorator = new TradingHistoryDelayedDecorator(history, forwardWindow.GetValueOrDefault());
var stack =
forwardWindow != null
? historyDecorator
: history;
// ReSharper disable once PossibleInvalidOperationException
stack.Add(order, order.FilledDate.Value);
tradingFillsHistory.TryAdd(order.Instrument.Identifiers, stack);
}
else
{
tradingFillsHistory.TryGetValue(order.Instrument.Identifiers, out var history);
// ReSharper disable once PossibleInvalidOperationException
history?.Add(order, order.FilledDate.Value);
history?.ArchiveExpiredActiveItems(order.FilledDate.Value);
}
tradingFillsHistory.TryGetValue(order.Instrument.Identifiers, out var updatedHistory);
return(updatedHistory);
}
/// <summary>
/// The update trade latest trading histories.
/// </summary>
/// <param name="order">
/// The order.
/// </param>
/// <param name="tradingHistory">
/// The trading history.
/// </param>
/// <param name="backwardWindowSize">
/// The backward window size.
/// </param>
/// <param name="forwardWindowSize">
/// The forward window size.
/// </param>
/// <returns>
/// The <see cref="ITradingHistoryStack"/>.
/// </returns>
private ITradingHistoryStack UpdateTradeLatestTradingHistories(
Order order,
ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack> tradingHistory,
TimeSpan backwardWindowSize,
TimeSpan?forwardWindowSize)
{
if (!tradingHistory.ContainsKey(order.Instrument.Identifiers))
{
ITradingHistoryStack history = new TradingHistoryStack(backwardWindowSize, i => i.MostRecentDateEvent(), this.tradingStackLogger);
ITradingHistoryStack historyDecorator = new TradingHistoryDelayedDecorator(history, forwardWindowSize.GetValueOrDefault());
var stack =
forwardWindowSize != null
? historyDecorator
: history;
stack.Add(order, order.MostRecentDateEvent());
tradingHistory.TryAdd(order.Instrument.Identifiers, stack);
}
else
{
tradingHistory.TryGetValue(order.Instrument.Identifiers, out var history);
history?.Add(order, order.MostRecentDateEvent());
history?.ArchiveExpiredActiveItems(order.MostRecentDateEvent());
}
tradingHistory.TryGetValue(order.Instrument.Identifiers, out var updatedHistory);
return(updatedHistory);
}
