/// <summary>
/// Initializes a new instance of the <see cref="SmartOrderRoutingEngine"/> class.
/// </summary>
/// <param name="marketsProvider">The markets provider.</param>
/// <param name="routeOrders">The order routing.</param>
/// <param name="marketDataProvider">The market data provider.</param>
public SmartOrderRoutingEngine(IProvideMarkets marketsProvider, ICanRouteOrders routeOrders, ICanReceiveMarketData marketDataProvider)
{
this.routeOrders = routeOrders;
var availableMarkets = marketsProvider.GetAvailableMarketNames();
this.marketSnapshotProvider = new MarketSnapshotProvider(availableMarkets, marketDataProvider);
}
public SmartOrderRoutingEngine(IProvideMarkets provideMarkets, ICanRouteOrders canRouteOrders, ICanReceiveMarketData canReceiveMarketData)
{
this.provideMarkets = provideMarkets;
this.canRouteOrders = canRouteOrders;
this.canReceiveMarketData = canReceiveMarketData;
var availableMarkets = provideMarkets.GetAvailableMarkets();
this.markets = availableMarkets.ToDictionary(market => market, market => market);
this.marketSnapshotProvider = new MarketSnapshotProvider(availableMarkets, canReceiveMarketData);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderBasket"/> class.
/// </summary>
/// <param name="ordersDescriptions">The orders descriptions.</param>
/// <param name="canRouteOrders">The can route orders.</param>
public OrderBasket(List <OrderDescription> ordersDescriptions, ICanRouteOrders canRouteOrders)
{
this.OrdersDescriptions = ordersDescriptions;
this.canRouteOrders = canRouteOrders;
if (ordersDescriptions.Count > 0)
{
this.Way = ordersDescriptions[0].OrderWay;
foreach (var orderDescription in ordersDescriptions)
{
if (orderDescription.AllowPartialExecution)
{
this.AllowPartialExecution = true;
}
this.Quantity += orderDescription.Quantity;
}
}
}
/// <summary>
/// Build the description of the orders needed to fulfill an <see cref="SimpleOrderRouting.Infra.InvestorInstruction" /> which
/// is aggregated within an <see cref="InstructionExecutionContext" /> instance.
/// </summary>
/// <param name="instructionExecutionContext">The <see cref="InstructionExecutionContext" /> instance that aggregates the <see cref="SimpleOrderRouting.Infra.InvestorInstruction" />.</param>
/// <param name="canRouteOrders"></param>
/// <returns>
/// An <see cref="OrderBasket" /> containing all the orders to be routed in order to fulfill the initial <see cref="SimpleOrderRouting.Infra.InvestorInstruction" />.
/// </returns>
public OrderBasket Solve(InstructionExecutionContext instructionExecutionContext, ICanRouteOrders canRouteOrders)
{
// Checks liquidities available to weighted average for execution
int remainingQuantityToBeExecuted = instructionExecutionContext.RemainingQuantityToBeExecuted;
decimal requestedPrice = instructionExecutionContext.Price;
var validMarkets = this.GetValidMarkets(requestedPrice);
int availableQuantityOnMarkets = this.ComputeAvailableQuantityForThisPrice(validMarkets);
if (availableQuantityOnMarkets == 0)
{
return(new OrderBasket(new List <OrderDescription>(), canRouteOrders));
}
var ordersDescription = GenerateOrdersDescription(instructionExecutionContext, remainingQuantityToBeExecuted, validMarkets, requestedPrice, availableQuantityOnMarkets);
return(new OrderBasket(ordersDescription, canRouteOrders));
}
