private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
{
return;
}
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset?expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId {
Native = lmaxOrder.InstrumentId
},
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To <string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
HasOrderInfo = true,
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}
private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
return;
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset? expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId { Native = lmaxOrder.InstrumentId },
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To<string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc)
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}