private OrderTransactionResponseBL TryFillOrderBook(IAccountServiceRpcClient accountService)
{
#if PERF_FINEST
long start = Now;
#endif
OrderBL buyOrder = BuyBook.First;
OrderBL sellOrder = SellBook.First;
List <OrderBL> orders = new List <OrderBL>();
List <Transaction> transactions = new List <Transaction>();
// QUESTION: Execute the limit order at sell price benefits BUYER fat finger
// What to do if SELLER fat finger? Shouldn't that give the SELLER
// the higher BID price?
decimal executionPrice = sellOrder.StrikePrice;
int fillQuantity = Math.Min(buyOrder.OpenQuantity, sellOrder.OpenQuantity);
Task <CanFillOrderResponse> buyerResponse = accountService
.CanFillOrderAsync(new CanFillOrderRequest {
Order = buyOrder.ToMessage(),
FillQuantity = fillQuantity
}).ResponseAsync;
Task <CanFillOrderResponse> sellerResponse = accountService
.CanFillOrderAsync(new CanFillOrderRequest {
Order = sellOrder.ToMessage(),
FillQuantity = fillQuantity
}).ResponseAsync;
Task.WaitAll(buyerResponse, sellerResponse);
bool canExecute = true;
if (!buyerResponse.Result.Value)
{
BuyBook.RemoveOrder(buyOrder);
buyOrder.Cancel();
orders.Add(buyOrder);
canExecute = false;
// TODO: Publish order has been cancelled
}
if (!sellerResponse.Result.Value)
{
SellBook.RemoveOrder(sellOrder);
sellOrder.Cancel();
orders.Add(sellOrder);
canExecute = false;
// TODO: Publish order has been cancelled
}
if (!canExecute)
{
return(new OrderTransactionResponseBL(new OrderTransactionBL(orders, transactions)));
}
buyOrder.OpenQuantity -= fillQuantity;
sellOrder.OpenQuantity -= fillQuantity;
Transaction transaction = new Transaction(buyOrder, sellOrder, buyOrder.Ticker,
fillQuantity, executionPrice);
transactions.Add(transaction);
orders.Add(SellBook.First);
if (SellBook.First.IsFilled)
{
OrderBL filledOrder = SellBook.First;
SellBook.RemoveOrder(filledOrder);
filledOrder.Complete();
}
orders.Add(BuyBook.First);
if (BuyBook.First.IsFilled)
{
OrderBL filledOrder = BuyBook.First;
BuyBook.RemoveOrder(filledOrder);
filledOrder.Complete();
}
#if PERF_FINEST
Logger.Here().Information(String.Format("TryFillOrderBook executed in {0} milliseconds", ((Now - start) / TimeSpan.TicksPerMillisecond)));
#endif
return(new OrderTransactionResponseBL(new OrderTransactionBL(orders, transactions)));
}
private OrderTransactionResponseBL FillMarketOrder(IAccountServiceRpcClient accountService,
OrderBL order, OrderBook book)
{
#if PERF_FINEST
long start = Now;
#endif
CheckArgument(!order.Action.Equals(book.Type), "Error: Wrong book");
bool done = false;
List <OrderBL> orders = new List <OrderBL>();
List <Transaction> transactions = new List <Transaction>();
while (!done)
{
if (book.IsEmpty)
{
throw new SystemException("Order book is empty"); // TODO: Handle order book is empty
}
OrderBL buyOrder = order.IsBuyOrder ? order : book.First;
OrderBL sellOrder = order.IsSellOrder ? order : book.First;
decimal executionPrice = order.IsBuyOrder ? sellOrder.StrikePrice : buyOrder.StrikePrice;
int fillQuantity = Math.Min(buyOrder.OpenQuantity, sellOrder.OpenQuantity);
// QUESTION: Many issues here, partial fill, etc
Task <CanFillOrderResponse> buyerResponse = accountService
.CanFillOrderAsync(new CanFillOrderRequest {
Order = buyOrder.ToMessage(),
FillQuantity = fillQuantity
}).ResponseAsync;
Task <CanFillOrderResponse> sellerResponse = accountService
.CanFillOrderAsync(new CanFillOrderRequest {
Order = sellOrder.ToMessage(),
FillQuantity = fillQuantity
}).ResponseAsync;
Task.WaitAll(buyerResponse, sellerResponse);
bool canExecute = true;
if (!buyerResponse.Result.Value)
{
if (!order.IsBuyOrder)
{
BuyBook.RemoveOrder(buyOrder);
}
buyOrder.Cancel();
orders.Add(buyOrder);
canExecute = false;
// TODO: Publish order has been cancelled
}
if (!sellerResponse.Result.Value)
{
if (!order.IsSellOrder)
{
SellBook.RemoveOrder(sellOrder);
}
sellOrder.Cancel();
orders.Add(sellOrder);
canExecute = false;
// TODO: Publish order has been cancelled
}
if (!order.IsOpen)
{
return(new OrderTransactionResponseBL(new OrderTransactionBL(orders, transactions)));
}
if (!canExecute)
{
continue;
}
buyOrder.OpenQuantity -= fillQuantity;
sellOrder.OpenQuantity -= fillQuantity;
Transaction transaction = new Transaction(buyOrder, sellOrder, buyOrder.Ticker,
fillQuantity, executionPrice);
transactions.Add(transaction);
orders.Add(book.First);
if (book.First.IsFilled)
{
OrderBL filledOrder = book.First;
book.RemoveOrder(filledOrder);
filledOrder.Complete();
}
if (order.IsFilled)
{
order.Complete();
orders.Add(order);
done = true;
}
}
#if PERF_FINEST
Logger.Here().Information(String.Format("Market order executed in {0} milliseconds", ((Now - start) / TimeSpan.TicksPerMillisecond)));
#endif
return(new OrderTransactionResponseBL(new OrderTransactionBL(orders, transactions)));
}