public void UpdateFill(FillEvent fill)
{
var fillDir = GetNumericDirection(fill.Direction);
var closePrice = this.bars.GetLastClosePrice(fill.Symbol);
if (closePrice == null)
{
throw new InvalidOperationException($"Cannot find last price for {fill.Symbol}");
}
var cost = fillDir * closePrice.Value * fill.Quantity;
this.currentPositions[fill.Symbol] += fillDir * fill.Quantity;
this.currentComission += fill.Comission;
this.currentCash -= (cost + fill.Comission);
}
public void ExecuteOrder(OrderEvent orderEvent)
{
// Simulate order execution delay
var dateTime = orderEvent.OrderTime.AddSeconds(CONST_ExecutionDelaySeconds);
var closePrice = this.bars.GetLastClosePrice(orderEvent.Symbol);
var fillCost = closePrice * orderEvent.Quantity ?? decimal.Zero;
var fillEvent = new FillEvent(
dateTime,
orderEvent.Symbol,
"ARCA",
orderEvent.Quantity,
orderEvent.OrderDirection,
fillCost);
this.eventBus.Put(fillEvent);
}
