/// <summary>
/// Calculate the VWAP price
/// </summary>
/// <returns></returns>
private double GetVWAP(string Symbol, enumOrderType orderType, enumSide side)
{
double VWAP = 0;
if (orderType.Equals(enumOrderType.Market))
{
VWAP = Convert.ToDouble(Int16.MinValue); // For a market type, return a -32768
}
else
{
List <ExchangeOrder> liveOrders = null;
int qty = 0;
if (side.Equals(enumSide.Buy) && Sells.ContainsKey(Symbol))
{
liveOrders = Sells[Symbol];
}
if (side.Equals(enumSide.Sell) && Buys.ContainsKey(Symbol))
{
liveOrders = Buys[Symbol];
}
if (liveOrders == null)
{
VWAP = Convert.ToDouble(Int16.MaxValue);
}
foreach (ExchangeOrder eo in liveOrders)
{
VWAP += eo.Offer * eo.Volume;
qty += eo.Volume;
}
if (!qty.Equals(0.0))
{
VWAP /= qty;
}
else
{
throw new DivideByZeroException(string.Format("Quantity becomes ZERO in GetVWAP, how come! Sybmol {0}, Side {1}", Symbol, side));
}
}
return(VWAP);
}
public string PlaceAnOrder(string UserName, string UserId, string Symbol, string Volume, string Price, string OrderType, string OrderSide)
{
User user = null;
string message = string.Empty;
string userId = MatchMeDB.Instance.UserTable[Config.AdminUser].Id;
enumStatus status = enumStatus.Unknown;
enumSide orderside = enumSide.Invalid;
enumOrderType ordertype = enumOrderType.Invalid;
double price = 0.0;
int volume = 0;
bool exist = false;
double requiredbalance = 0.0;
double remainbalance = 0.0;
string symbol = Symbol.ToUpper();
try
{
Symbol = Symbol.ToUpper();
if (!int.TryParse(Volume, out volume))
{
message = string.Format("Error: Invalid Volume: {0}", volume);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !string.IsNullOrEmpty(symbol))
{
List <Order> companies = MatchMeDB.Instance.OrderTable.ContainsKey(userId) ? MatchMeDB.Instance.OrderTable[userId] : new List <Order>();
exist = companies.Where(a => a.Symbol.Equals(symbol)).Count() > 0;
if (!exist)
{
message = string.Format("Error: The Company does not exist {0}", symbol);
status = enumStatus.OrderPlaceError;
}
}
else
{
message = string.Format("Error: The Company does not exist {0}", symbol);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !Enum.TryParse(OrderSide, true, out orderside))
{
message = string.Format("Error: Invalid Order Side: {0}", OrderSide);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !Enum.TryParse(OrderType, true, out ordertype))
{
message = string.Format("Error: Invalid Order Type: {0}", OrderType);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && ordertype.Equals(enumOrderType.Market))
{
price = Exchange.Instance.GetMarketPrice(orderside, symbol, volume);
}
if (!status.Equals(enumStatus.OrderPlaceError) && ordertype.Equals(enumOrderType.Limit))
{
if (!double.TryParse(Price, out price))
{
message = string.Format("Error: Invalid Price: {0}", Price);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && orderside.Equals(enumSide.Sell))
{
price = (-1) * Math.Abs(price);
}
}
if (!status.Equals(enumStatus.OrderPlaceError) && !string.IsNullOrEmpty(UserName))
{
MatchMeDB.Instance.UserTable.TryGetValue(UserName, out user);
if (user == null)
{
message = string.Format("Error: Can't retrieve the User from the db via the keys. UserName{0}, UserId{1}", UserName, UserId);
status = enumStatus.OrderPlaceError;
}
}
if (!status.Equals(enumStatus.OrderPlaceError) && string.IsNullOrEmpty(message) && exist)
{
if (price > 0)
{
//price larger than zero means that it's a buy limit order or an order with valid market price
requiredbalance = price * volume + Config.Commission;
}
if (requiredbalance > user.Balance)
{
//check if balance is enough
remainbalance = requiredbalance - user.Balance;
message = string.Format("Error: No Enough Balance: Remain balance {0}, Requires {1} to place the order", user.Balance, remainbalance);
status = enumStatus.Rejected;
}
else
{
Order newOrder = new Order(symbol, volume, price, user.Id, ordertype, orderside);
if (orderside.Equals(enumSide.Sell))
{
status = Exchange.Instance.PlaceSell(newOrder);
if (status.Equals(enumStatus.Rejected))
{
message = string.Format("Error: Short Sell is not allowed. {0}", newOrder);
}
}
else if (orderside.Equals(enumSide.Buy))
{
status = Exchange.Instance.PlaceBuy(newOrder);
}
if (!status.Equals(enumStatus.OrderPlaceError) && string.IsNullOrEmpty(message))
{
message = "New Order Placed:" + MatchMeDB.Instance.Orders[newOrder.Id];
status = enumStatus.OrderPlaced;
}
}
}
}
catch (Exception ex)
{
ServerLog.LogException(ex, string.Format("Place Order Failed, User {0}, Symbol {1}", user.ToString(), Symbol));
message = ex.Message;
status = enumStatus.OrderPlaceError;
}
var result = new Dictionary <string, string> {
{ "status", status.ToString() }, { "message", message }
};
return(JsonConvert.SerializeObject(result));
}
