public bool Equals(Account a)
{
return this._id.Equals(a.ID);
}
/// <summary>
/// Gets the complete execution list for this account
/// </summary>
/// <param name="a">account to request blotter from.</param>
/// <returns></returns>
public List<Trade> GetTradeList(Account a)
{
List<Trade> res;
bool worked = _mastertrades.TryGetValue(a.ID, out res);
return worked ? res : new List<Trade>();
}
/// <summary>
/// Gets the list of open orders for this account.
/// </summary>
/// <param name="a">Account.</param>
/// <returns></returns>
public List<Order> GetOrderList(Account a)
{
List<Order> res;
bool worked = _masterorders.TryGetValue(a, out res);
return worked ? res : new List<Order>();
}
public void CancelOrders()
{
Account[] accts = new Account[_masterorders.Count];
_masterorders.Keys.CopyTo(accts, 0);
for (int idx = 0; idx < accts.Length; idx++)
CancelOrders(accts[idx]);
}
public void CancelOrders(Account a)
{
if (!_masterorders.ContainsKey(a)) return;
List<Order> orders = _masterorders[a];
for (int i = 0; i < orders.Count; i++)
{
Order o = orders[i];
//send cancel notifcation to any subscribers
if (a.Notify)
{
OnGotOrderCancelConfirm(o.Id);
OnGotOrderCancelBroadcast(o.FullSymbol, o.OrderSide, o.Id);
}
}
_masterorders[a].Clear(); // clear the account
}
public bool CancelOrder(long orderid)
{
bool worked = false;
Account[] accts = new Account[_masterorders.Count];
_masterorders.Keys.CopyTo(accts, 0);
for (int i = 0; i < accts.Length; i++)
worked |= CancelOrder(accts[i], orderid);
return worked;
}
/// <summary>
/// cancel order for specific account only
/// </summary>
/// <param name="a"></param>
/// <param name="orderid"></param>
/// <returns></returns>
public bool CancelOrder(Account a, long orderid)
{
List<Order> orderlist = new List<Order>();
if (!_masterorders.TryGetValue(a, out orderlist)) return false;
int cancelidx = -1;
for (int i = orderlist.Count - 1; i >= 0; i--) // and every order
if (orderlist[i].Id == orderid) // if we have order with requested id
{
if (a.Notify)
{
OnGotOrderCancelBroadcast(orderlist[i].FullSymbol, orderlist[i].OrderSide, orderid); //send cancel notifcation to any subscribers
OnGotOrderCancelConfirm(orderid);
}
cancelidx = i;
}
if (cancelidx == -1) return false;
_masterorders[a].RemoveAt(cancelidx);
return true;
}
/// <summary>
/// conduct possible match against the broker's other accounts
/// then add the rest to broker's book
/// </summary>
protected void AddOrder(Order o, Account a)
{
if (!a.isValid) throw new Exception("Invalid account provided"); // account must be good
if ((_fillmode == FillModeType.OwnBook) && a.Execute)
{
// get best bid or offer from opposite side,
// see if we can match against this BBO and cross locally
Order match = BestBidOrOffer(o.FullSymbol, !o.OrderSide);
// first we need to make sure the book we're matching to allows executions
Account ma = new Account();
try
{
if (_accountlist.TryGetValue(match.Account, out ma) && ma.Execute)
{
// if it's allowed, try to match it
bool filled = o.Fill(match);
int avail = o.UnsignedSize;
// if it matched
if (filled)
{
// record trade
Trade t = (Trade)o;
_mastertrades[a.ID].Add(t);
// notify the trade occured
OnGotFill(t);
// update the order's size (in case it was a partial fill)
o.OrderSize = (avail - Math.Abs(t.TradeSize)) * (o.OrderSide ? 1 : -1);
// if it was a full fill, no need to add order to the book
if (Math.Abs(t.TradeSize) == avail) return;
}
}
}
catch (ArgumentNullException) { } // no other side --> match is null
}
// add any remaining order to book as new liquidity route
List<Order> tmp;
// see if we have a book for this account
if (!_masterorders.TryGetValue(a, out tmp))
{
tmp = new List<Order>();
_masterorders.Add(a, tmp); // if not, create one
}
o.Account = a.ID; // make sure order knows his account
tmp.Add(o); // record the order
// increment pending count
_pendingorders++;
}
protected void AddAccount(Account a)
{
Account t = null;
if (_accountlist.TryGetValue(a.ID, out t)) return; // already had it
_masterorders.Add(a, new List<Order>());
_mastertrades.Add(a.ID, new List<Trade>());
_accountlist.Add(a.ID, a);
}
/// <summary>
/// Sends the order to the broker for a specific account.
/// </summary>
/// <param name="o">The order to be sent.</param>
/// <param name="a">the account to send with the order.</param>
/// <returns>status code</returns>
public int SendOrderAccount(Order o, Account a)
{
if (o.Id == 0) // if order id isn't set, set it
o.Id = _nextorderid++;
if (a.Notify)
OnGotOrder(o);
AddOrder(o, a);
return 0;
}
/// <summary>
/// Sends the order to the broker. (uses the default account)
/// </summary>
/// <param name="o">The order to be send.</param>
/// <returns>status code</returns>
public int SendOrder(Order o)
{
if (!o.IsValid) return -1;
// make sure book is clearly stamped
if (o.Account.Equals(string.Empty, StringComparison.OrdinalIgnoreCase))
{
o.Account = _defaultaccount.ID;
return SendOrderAccount(o, _defaultaccount);
}
// get account
Account a;
if (!_accountlist.TryGetValue(o.Account, out a))
{
a = new Account(o.Account);
AddAccount(a);
}
return SendOrderAccount(o, a);
}
/// <summary>
/// Find the best buy/sell order of an account
/// </summary>
public Order BestBidOrOffer(string sym, bool side, Account Account)
{
Order best = new Order(); best.Account = Account.ID;
if (!_masterorders.ContainsKey(Account)) return best;
List<Order> orders = _masterorders[Account];
for (int i = 0; i < orders.Count; i++)
{
Order o = orders[i];
if (o.FullSymbol != sym) continue;
if (o.OrderSide != side) continue;
if (!best.IsValid)
{
best = new Order(o);
continue;
}
Order test = BestBidOrOffer(best, o);
if (test.IsValid) best = new Order(test);
}
best.Account = Account.ID;
return best;
}
/// <summary>
/// Best Bid/Ask for a symbol, based on the order book of the broker received from its client accounts
/// </summary>
public Order BestBidOrOffer(string symbol, bool side)
{
Order best = new Order();
Order next = new Order();
Account[] accts = new Account[_masterorders.Count];
_masterorders.Keys.CopyTo(accts, 0);
for (int i = 0; i < accts.Length; i++)
{
Account a = accts[i];
// get our first order
if (!best.IsValid)
{
// if we don't have a valid one yet, check this account
best = new Order(BestBidOrOffer(symbol, side, a));
continue; // keep checking the accounts till we find a valid one
}
// now we have our first order, which will be best if we can't find a second one
next = new Order(BestBidOrOffer(symbol, side, a));
if (!next.IsValid) continue; // keep going till we have a second order
best = BestBidOrOffer(best, next); // when we have two, compare and get best
// then keep fetching next valid order to see if it's better
}
return best; // if there's no more orders left, this is best
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendingorders == 0) return 0;
if (!tick.IsTrade && !_usebidaskfill) return 0;
int filledorders = 0;
Account[] accts = new Account[_masterorders.Count];
_masterorders.Keys.CopyTo(accts, 0);
// go through each account
for (int idx = 0; idx < accts.Length; idx++)
{
Account a = accts[idx];
// if account has requested no executions, skip it
if (!a.Execute) continue;
// make sure we have a record for this account
if (!_mastertrades.ContainsKey(a.ID))
_mastertrades.Add(a.ID, new List<Trade>());
// track orders being removed and trades that need notification
List<int> notifytrade = new List<int>();
List<int> remove = new List<int>();
// go through each order in the account
for (int i = 0; i < _masterorders[a].Count; i++)
{
Order o = _masterorders[a][i];
//make sure tick is for the right stock
if (tick.FullSymbol != o.FullSymbol)
continue;
bool filled = false;
if (UseHighLiquidityFillsEOD)
{
Order oi = (Order)o;
filled = oi.FillHighLiquidityEOD(tick, _usebidaskfill, false);
}
else if (o.TIF <= TimeInForce.GTC)
{
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
else if (o.TIF == TimeInForce.OPG)
{
// if it's already opened, we missed our shot
if (_hasopened.Contains(o.FullSymbol))
continue;
// otherwise make sure it's really the opening
//if (tick.Exchange == OPGEX)
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick, _usebidaskfill, true);
// mark this symbol as already being open
_hasopened.Add(tick.FullSymbol);
}
}
// other orders fill normally, except MOC orders which are at 4:00PM
else if (o.TIF == TimeInForce.MOC)
{
if (tick.Time >= 160000)
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
else
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
if (filled)
{
// get copy of trade for recording
Trade trade = new Trade((Trade)o);
// remove filled size from size available in trade
if (_adjustincomingticksize)
{
if (_usebidaskfill)
{
if (o.Side)
tick.AskSize -= trade.UnsignedSize;
else
tick.BidSize -= trade.UnsignedSize;
}
else
tick.TradeSize -= trade.UnsignedSize;
}
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
remove.Add(i);
else // otherwise reflect order's remaining size
o.OrderSize = (o.UnsignedSize - trade.UnsignedSize) * (o.OrderSide ? 1 : -1);
// record trade
_mastertrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(_mastertrades[a.ID].Count - 1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
_masterorders[a].RemoveAt(remove[i]);
// unmark filled orders as pending
_pendingorders -= rmcount;
if (_pendingorders < 0) _pendingorders = 0;
// notify subscribers of trade
if (a.Notify)
for (int tradeidx = 0; tradeidx < notifytrade.Count; tradeidx++)
OnGotFill(_mastertrades[a.ID][notifytrade[tradeidx]]);
}
return filledorders;
}