public ProposedOrderLeg RemoveWorstPerforming(bool useLock = false)
        {
            double           percentOfAverageForWorstLeg = double.MaxValue;
            ProposedOrderLeg leg = null;

            foreach (var legs in this.orderLegs.OrderByDescending(o => o.Key))
            {
                double avgBuyRatio   = legs.Value.Average(o => (double)o.ProposedBuyQuantity / (double)o.ProposedSellQuantity);
                var    worstOrderLeg = legs.Value.OrderBy(o => (double)o.ProposedBuyQuantity / (double)o.ProposedSellQuantity).First();
                if (worstOrderLeg.ProposedBuyQuantity > 0)
                {
                    double percentOfAverage = ((double)worstOrderLeg.ProposedBuyQuantity / (double)worstOrderLeg.ProposedSellQuantity) / avgBuyRatio;
                    if (percentOfAverage < percentOfAverageForWorstLeg)
                    {
                        percentOfAverageForWorstLeg = percentOfAverage;
                        leg = worstOrderLeg;
                    }
                }
            }
            if (leg != null)
            {
                if (!leg.Ask.IsBuy)
                {
                    leg.SetBuyQuantity(-1 * leg.ProposedBuyQuantity, useLock: useLock);
                }
                else
                {
                    leg.SetSellQuantity(-1 * leg.ProposedSellQuantity, useLock: useLock);
                }
            }
            return(leg);
        }
Example #2
0
        private long RebalanceOrderLegForSell(ProposedOrder propOrder, ProposedOrderLeg orderLeg, long buyQuantity, bool useLock = false)
        {
            long sellQuantityAdj = 0;

            if (!orderLeg.Ask.AllowPartialFill || orderLeg.ProposedSellQuantity < buyQuantity)
            {
                sellQuantityAdj = -1 * orderLeg.ProposedSellQuantity;
            }
            else
            {
                sellQuantityAdj = -1 * (orderLeg.ProposedSellQuantity - buyQuantity);
            }
            sellQuantityAdj = orderLeg.SetSellQuantity(sellQuantityAdj, useLock: useLock);
            return(sellQuantityAdj);
        }
 public void RemoveOrderLeg(ProposedOrderLeg leg)
 {
     this.orderLegs[leg.LegLevel].Remove(leg);
 }