public void HandDuoLimitOrderUpdate(ILimitOrder limitOrder1, double limitOrder1NewPrice, int limitOrder1NewQuantity, ILimitOrder limitOrder2, double limitOrder2NewPrice, int limitOrder2NewQuantity)
{
if (!OrderBooks.ContainsKey(limitOrder1.Symbol))
return;
OrderBooks[limitOrder1.Symbol].SetSuspendLimitOrderMatchingStatus(true);
limitOrder1.Modify(limitOrder1NewQuantity, limitOrder1NewPrice);
limitOrder2.Modify(limitOrder2NewQuantity, limitOrder2NewPrice);
OrderBooks[limitOrder1.Symbol].SetSuspendLimitOrderMatchingStatus(false);
OrderBooks[limitOrder1.Symbol].TryMatchLimitOrder(limitOrder1);
OrderBooks[limitOrder1.Symbol].TryMatchLimitOrder(limitOrder2);
}
public void HandDuoLimitOrderUpdate(ILimitOrder limitOrder1, double limitOrder1NewPrice, int limitOrder1NewQuantity, ILimitOrder limitOrder2, double limitOrder2NewPrice, int limitOrder2NewQuantity)
{
if (!OrderBooks.ContainsKey(limitOrder1.Symbol))
{
return;
}
OrderBooks[limitOrder1.Symbol].SetSuspendLimitOrderMatchingStatus(true);
limitOrder1.Modify(limitOrder1NewQuantity, limitOrder1NewPrice);
limitOrder2.Modify(limitOrder2NewQuantity, limitOrder2NewPrice);
OrderBooks[limitOrder1.Symbol].SetSuspendLimitOrderMatchingStatus(false);
OrderBooks[limitOrder1.Symbol].TryMatchLimitOrder(limitOrder1);
OrderBooks[limitOrder1.Symbol].TryMatchLimitOrder(limitOrder2);
}
public void TryMatch(ILimitOrder buyLimitOrder, ILimitOrder sellLimitOrder)
{
/*if (buyLimitOrder.ClientId == sellLimitOrder.ClientId)
* return;*/
if (buyLimitOrder.Symbol != sellLimitOrder.Symbol)
{
return;
}
if (buyLimitOrder.Price < sellLimitOrder.Price)
{
return;
}
if (buyLimitOrder.Quantity == 0 || sellLimitOrder.Quantity == 0)
{
return;
}
double matchPrice = FindMatchPrice(buyLimitOrder, sellLimitOrder);
int matchQuantity = FindMatchQuantity(buyLimitOrder, sellLimitOrder);
if (matchQuantity == 0)
{
return;
}
buyLimitOrder.Modify(buyLimitOrder.Quantity - matchQuantity);
sellLimitOrder.Modify(sellLimitOrder.Quantity - matchQuantity);
var execution = new NewExecution(buyLimitOrder, sellLimitOrder, matchQuantity, matchPrice, dateService.UtcNow());
for (int i = 0; i < executionHandlers.Count; i++)
{
executionHandlers[i].Invoke(execution);
}
}
public void TryMatch(IMarketOrder buyMarketOrder, ILimitOrder sellLimitOrder)
{
if (buyMarketOrder.Way != WayEnum.Buy || sellLimitOrder.Way != WayEnum.Sell)
return;
if (buyMarketOrder.Symbol != sellLimitOrder.Symbol)
return;
if (buyMarketOrder.Quantity == 0 || sellLimitOrder.Quantity == 0)
return;
int matchQuantity = FindMatchQuantity(buyMarketOrder, sellLimitOrder);
if (matchQuantity == 0)
return;
double matchPrice = sellLimitOrder.Price;
buyMarketOrder.Modify(buyMarketOrder.Quantity - matchQuantity);
sellLimitOrder.Modify(sellLimitOrder.Quantity - matchQuantity);
var execution = new NewExecution(buyMarketOrder, sellLimitOrder, matchQuantity, matchPrice, dateService.UtcNow());
for (int i = 0; i < executionHandlers.Count; i++)
executionHandlers[i].Invoke(execution);
}
public void TryMatch(ILimitOrder buyLimitOrder, IMarketOrder sellMarketOrder)
{
if (sellMarketOrder.Way != WayEnum.Sell || buyLimitOrder.Way != WayEnum.Buy)
{
return;
}
if (sellMarketOrder.Symbol != buyLimitOrder.Symbol)
{
return;
}
if (sellMarketOrder.Quantity == 0 || buyLimitOrder.Quantity == 0)
{
return;
}
int matchQuantity = FindMatchQuantity(sellMarketOrder, buyLimitOrder);
if (matchQuantity == 0)
{
return;
}
double matchPrice = buyLimitOrder.Price;
sellMarketOrder.Modify(sellMarketOrder.Quantity - matchQuantity);
buyLimitOrder.Modify(buyLimitOrder.Quantity - matchQuantity);
var execution = new NewExecution(buyLimitOrder, sellMarketOrder, matchQuantity, matchPrice, dateService.UtcNow());
for (int i = 0; i < executionHandlers.Count; i++)
{
executionHandlers[i].Invoke(execution);
}
}