public virtual FIXCommissionData GetCommissionData(FIXExecutionReport report)
{
FIXCommissionData fIXCommissionData = new FIXCommissionData();
fIXCommissionData.CommType = FIXCommType.ToFIX(this.fCommType);
fIXCommissionData.Commission = this.fCommission;
if (this.fMinCommission != 0.0)
{
double num;
switch (this.fCommType)
{
case CommType.PerShare:
num = this.fCommission * report.CumQty;
break;
case CommType.Percent:
num = this.fCommission * report.CumQty * report.AvgPx;
break;
case CommType.Absolute:
num = this.fCommission;
break;
default:
throw new NotSupportedException("Commission type is not supported : " + this.fCommType);
}
if (num < this.fMinCommission)
{
fIXCommissionData.CommType = '3';
fIXCommissionData.Commission = this.fMinCommission;
}
}
return(fIXCommissionData);
}
private void D35FmNWSPm(double obj0, double obj1)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.IsDone)
{
return;
}
if (obj1 < singleOrder.LeavesQty)
{
this.aXtFGP76FH = false;
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = singleOrder.ClOrdID;
report.ExecType = ExecType.PartialFill;
report.OrdStatus = OrdStatus.PartiallyFilled;
report.Symbol = singleOrder.Symbol;
report.Side = singleOrder.Side;
report.OrdType = singleOrder.OrdType;
report.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + obj0 * obj1) / (singleOrder.CumQty + obj1);
report.OrderQty = singleOrder.OrderQty;
report.LastQty = obj1;
report.CumQty = singleOrder.CumQty + obj1;
report.LeavesQty = singleOrder.LeavesQty - obj1;
report.LastPx = obj0;
report.Price = singleOrder.Price;
report.StopPx = singleOrder.StopPx;
report.SecurityType = singleOrder.SecurityType;
report.SecurityExchange = singleOrder.SecurityExchange;
report.Currency = singleOrder.Currency;
report.Text = singleOrder.Text;
FIXCommissionData commissionData = this.A8bFJItyyx.CommissionProvider.GetCommissionData((FIXExecutionReport)report);
report.CommType = FIXCommType.FromFIX(commissionData.CommType);
report.Commission = commissionData.Commission;
report.AvgPx = this.A8bFJItyyx.SlippageProvider.GetExecutionPrice(report);
this.A8bFJItyyx.JPVPJSWclF(report);
}
else
{
this.D7GFelmgQp();
this.A8bFJItyyx.MyIPdEI7fi.Remove((object)this.PYBF7sahqY.ClOrdID);
this.aXtFGP76FH = true;
obj1 = singleOrder.LeavesQty;
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = singleOrder.ClOrdID;
report.ExecType = ExecType.Fill;
report.OrdStatus = OrdStatus.Filled;
report.Symbol = singleOrder.Symbol;
report.Side = singleOrder.Side;
report.OrdType = singleOrder.OrdType;
report.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + obj0 * obj1) / (singleOrder.CumQty + obj1);
report.OrderQty = singleOrder.OrderQty;
report.LastQty = singleOrder.LeavesQty;
report.CumQty = singleOrder.OrderQty;
report.LeavesQty = 0.0;
report.LastPx = obj0;
report.Price = singleOrder.Price;
report.StopPx = singleOrder.StopPx;
report.SecurityType = singleOrder.SecurityType;
report.SecurityExchange = singleOrder.SecurityExchange;
report.Currency = singleOrder.Currency;
report.Text = singleOrder.Text;
FIXCommissionData commissionData = this.A8bFJItyyx.CommissionProvider.GetCommissionData((FIXExecutionReport)report);
report.CommType = FIXCommType.FromFIX(commissionData.CommType);
report.Commission = commissionData.Commission;
report.AvgPx = this.A8bFJItyyx.SlippageProvider.GetExecutionPrice(report);
this.A8bFJItyyx.JPVPJSWclF(report);
}
}
private void Execute(double price, double qty)
{
SingleOrder singleOrder = this.fOrder as SingleOrder;
if (singleOrder.IsDone)
{
return;
}
if (qty < singleOrder.LeavesQty)
{
this.fExecuted = false;
ExecutionReport executionReport = new ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = singleOrder.ClOrdID;
executionReport.ExecType = ExecType.PartialFill;
executionReport.OrdStatus = OrdStatus.PartiallyFilled;
executionReport.Symbol = singleOrder.Symbol;
executionReport.Side = singleOrder.Side;
executionReport.OrdType = singleOrder.OrdType;
executionReport.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + price * qty) / (singleOrder.CumQty + qty);
executionReport.OrderQty = singleOrder.OrderQty;
executionReport.LastQty = qty;
executionReport.CumQty = singleOrder.CumQty + qty;
executionReport.LeavesQty = singleOrder.LeavesQty - qty;
executionReport.LastPx = price;
executionReport.Price = singleOrder.Price;
executionReport.StopPx = singleOrder.StopPx;
executionReport.SecurityType = singleOrder.SecurityType;
executionReport.SecurityExchange = singleOrder.SecurityExchange;
executionReport.Currency = singleOrder.Currency;
executionReport.Text = singleOrder.Text;
FIXCommissionData commissionData = this.fProvider.CommissionProvider.GetCommissionData(executionReport);
executionReport.CommType = FIXCommType.FromFIX(commissionData.CommType);
executionReport.Commission = commissionData.Commission;
executionReport.AvgPx = this.fProvider.SlippageProvider.GetExecutionPrice(executionReport);
this.fProvider.EmitExecutionReport(executionReport);
return;
}
this.Disconnect();
this.fProvider.fProcessors.Remove(this.fOrder.ClOrdID);
this.fExecuted = true;
qty = singleOrder.LeavesQty;
ExecutionReport executionReport2 = new ExecutionReport();
executionReport2.TransactTime = Clock.Now;
executionReport2.ClOrdID = singleOrder.ClOrdID;
executionReport2.ExecType = ExecType.Fill;
executionReport2.OrdStatus = OrdStatus.Filled;
executionReport2.Symbol = singleOrder.Symbol;
executionReport2.Side = singleOrder.Side;
executionReport2.OrdType = singleOrder.OrdType;
executionReport2.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + price * qty) / (singleOrder.CumQty + qty);
executionReport2.OrderQty = singleOrder.OrderQty;
executionReport2.LastQty = singleOrder.LeavesQty;
executionReport2.CumQty = singleOrder.OrderQty;
executionReport2.LeavesQty = 0.0;
executionReport2.LastPx = price;
executionReport2.Price = singleOrder.Price;
executionReport2.StopPx = singleOrder.StopPx;
executionReport2.SecurityType = singleOrder.SecurityType;
executionReport2.SecurityExchange = singleOrder.SecurityExchange;
executionReport2.Currency = singleOrder.Currency;
executionReport2.Text = singleOrder.Text;
FIXCommissionData commissionData2 = this.fProvider.CommissionProvider.GetCommissionData(executionReport2);
executionReport2.CommType = FIXCommType.FromFIX(commissionData2.CommType);
executionReport2.Commission = commissionData2.Commission;
executionReport2.AvgPx = this.fProvider.SlippageProvider.GetExecutionPrice(executionReport2);
this.fProvider.EmitExecutionReport(executionReport2);
}
