private bool OnAucFill(Order order)
{
if (order.Type == OrderType.Limit)
{
int instrumentId = order.Instrument.Id;
if (FillOnQuote)
{
Ask ask = framework.DataManager.GetAsk(instrumentId);
if (ask != null && OnAsk(order, ask))
{
return(true);
}
Bid bid = framework.DataManager.GetBid(instrumentId);
if (bid != null && OnBid(order, bid))
{
return(true);
}
}
if (FillOnTrade)
{
Trade trade = framework.DataManager.GetTrade(instrumentId);
if (trade != null && OnTrade(order, trade))
{
return(true);
}
}
if (FillOnBar)
{
Bar bar = framework.DataManager.GetBar(instrumentId);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return(false);
}
if (bar != null && OnBar(order, bar))
{
return(true);
}
}
if (FillOnLevel2)
{
Level2Snapshot snapshot = framework.DataManager.GetAggregatedSnapshot(instrumentId);
if (snapshot != null)
{
return(OnLevel2(order, snapshot));
}
}
}
return(false);
}
public void OnBarOpen(Bar bar)
{
if (_orders[bar.InstrumentId] == null || !FillOnBarOpen || (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size)))
{
return;
}
for (int i = 0; i < _orders[bar.InstrumentId].Count; i++)
{
Order order = _orders[bar.InstrumentId][i];
if (CheckDataProvider && !IsProviderPassed(order, bar.ProviderId))
{
continue;
}
while (true)
{
switch (order.Type)
{
case OrderType.Market:
case OrderType.Pegged:
Fill(order, bar.Open, (int)bar.Volume);
break;
case OrderType.Limit:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open <= order.Price)
{
if (UseProbability && bar.Open == order.Price && _random.NextDouble() < Probability)
{
return;
}
if (FillAtLimitPrice)
{
Fill(order, order.Price, (int)bar.Volume);
}
else
{
Fill(order, bar.Open, (int)bar.Volume);
}
}
break;
case OrderSide.Sell:
if (bar.Open >= order.Price)
{
if (UseProbability && bar.Open == order.Price && _random.NextDouble() < Probability)
{
return;
}
if (FillAtLimitPrice)
{
Fill(order, order.Price, (int)bar.Volume);
}
else
{
Fill(order, bar.Open, (int)bar.Volume);
}
}
break;
}
break;
case OrderType.Stop:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
if (!FillAtStopPrice)
{
order.SetOrderType(OrderType.Market);
continue;
}
Fill(order, order.StopPx, (int)bar.Volume);
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
if (!FillAtStopPrice)
{
order.SetOrderType(OrderType.Market);
continue;
}
Fill(order, order.StopPx, (int)bar.Volume);
}
break;
}
break;
case OrderType.StopLimit:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
order.SetOrderType(OrderType.Limit);
continue;
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
order.SetOrderType(OrderType.Limit);
continue;
}
break;
}
break;
}
break;
}
}
RemoveDoneOrders();
}
public void OnBar(Bar bar)
{
if (_orders[bar.InstrumentId] != null && FillOnBar && (BarFilter.Count == 0 || BarFilter.Contains(bar.Type, bar.Size)))
{
for (int i = 0; i < _orders[bar.InstrumentId].Count; i++)
{
Order order = _orders[bar.InstrumentId][i];
OnBar(order, bar);
}
RemoveDoneOrders();
}
}
