private static decimal?MatchBestPriceForOrder(ExternalOrderBook externalOrderbook, IOrder order, bool isOpening)
{
var direction = isOpening ? order.GetOrderType() : order.GetCloseType();
var volume = Math.Abs(order.Volume);
return(externalOrderbook.GetMatchedPrice(volume, direction));
}
private static decimal?MatchBestPriceForOrderExecution(ExternalOrderBook externalOrderBook, decimal volume,
bool validateOppositeDirectionVolume)
{
var direction = volume.GetOrderDirection();
var price = externalOrderBook.GetMatchedPrice(volume, direction);
if (price != null && validateOppositeDirectionVolume)
{
var closePrice = externalOrderBook.GetMatchedPrice(volume, direction.GetOpositeDirection());
//if no liquidity for close, should not use price for open
if (closePrice == null)
{
return(null);
}
}
return(price);
}
private static decimal?MatchBestPriceForPositionClose(ExternalOrderBook externalOrderBook, decimal volume)
{
var direction = volume.GetClosePositionOrderDirection();
return(externalOrderBook.GetMatchedPrice(Math.Abs(volume), direction));
}
public decimal?TestExternalOrderBook_GetMatchedPrice(int volumeToMatch, OrderDirection direction)
{
return(_orderBook1.GetMatchedPrice(volumeToMatch, direction));
}