private void SetOrderPrice(Order order, DeviationInfo info)
{
switch (info.PriceAdjustMethod)
{
case OrderPriceAdjustMethod.UpperLowerLimit:
order.Price = order.Side == OrderSide.Buy ? GetUpperLimitPrice() : GetLowerLimitPrice();
break;
case OrderPriceAdjustMethod.MatchPrice:
order.Price = order.Side == OrderSide.Buy
? order.Instrument.Ask.Price + info.Slippage
: order.Instrument.Bid.Price - info.Slippage;
break;
}
}
private void SetOrderPrice(Order order, DeviationInfo info, bool marketToLimit = true)
{
if (marketToLimit)
{
order.Type = OrderType.Limit;
}
switch (info.PriceAdjustMethod)
{
case OrderPriceAdjustMethod.UpperLowerLimit:
if (_rules.MarketOrder)
{
_logger.Debug($"{Order.Id}, adjust to market");
order.Type = OrderType.Market;
order.Price = 0;
}
else
{
_logger.Debug($"{Order.Id}, adjust to lower_upper_limit");
order.Price = GetUpperLowerPrice();
}
break;
case OrderPriceAdjustMethod.MatchPrice:
_logger.Debug($"{Order.Id}, adjust to match");
order.Price = GetMatchPrice();
break;
}
double GetUpperLowerPrice()
{
return(order.Side == OrderSide.Buy ? GetUpperLimitPrice() : GetLowerLimitPrice());
}
double GetMatchPrice()
{
if (order.Side == OrderSide.Buy)
{
return(order.Instrument.Ask.Price + info.Slippage);
}
return(order.Instrument.Bid.Price - info.Slippage);
}
}
