void HandleOnTradeUpdate(ITradeUpdate update)
{
Assert.NotNull(update);
Assert.NotNull(update.Order);
Assert.Equal(Symbol, update.Order.Symbol);
waitObject.Set();
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="trade">The event object</param>
private void OnTradeUpdate(ITradeUpdate trade)
{
Log.Trace($"AlpacaBrokerage.OnTradeUpdate(): Event:{trade.Event} OrderId:{trade.Order.OrderId} OrderStatus:{trade.Order.OrderStatus} FillQuantity: {trade.Order.FilledQuantity} Price: {trade.Price}");
Order order;
OrderTicket ticket = null;
lock (_locker)
{
order = _orderProvider.GetOrderByBrokerageId(trade.Order.OrderId.ToString());
if (order != null)
{
ticket = _orderProvider.GetOrderTicket(order.Id);
}
}
if (order != null && ticket != null)
{
if (trade.Event == TradeEvent.Fill || trade.Event == TradeEvent.PartialFill)
{
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
var status = trade.Event == TradeEvent.Fill ? OrderStatus.Filled : OrderStatus.PartiallyFilled;
// The Alpaca API does not return the individual quantity for each partial fill, but the cumulative filled quantity
var fillQuantity = trade.Order.FilledQuantity - Math.Abs(ticket.QuantityFilled);
OnOrderEvent(new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero,
"Alpaca Fill Event")
{
Status = status,
FillPrice = trade.Price.Value,
FillQuantity = fillQuantity * (order.Direction == OrderDirection.Buy ? 1 : -1)
});
}
else if (trade.Event == TradeEvent.Canceled)
{
OnOrderEvent(new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero,
"Alpaca Cancel Order Event")
{
Status = OrderStatus.Canceled
});
}
else if (trade.Event == TradeEvent.OrderCancelRejected)
{
var message = $"Order cancellation rejected: OrderId: {order.Id}";
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, message));
}
}
else
{
Log.Error($"AlpacaBrokerage.OnTradeUpdate(): order id not found: {trade.Order.OrderId}");
}
}
/// <summary>
/// Event handler for streaming events
/// </summary>
/// <param name="trade">The event object</param>
private void OnTradeUpdate(ITradeUpdate trade)
{
Log.Trace($"AlpacaBrokerage.OnTradeUpdate(): Event:{trade.Event} OrderId:{trade.Order.OrderId} OrderStatus:{trade.Order.OrderStatus} FillQuantity: {trade.Order.FilledQuantity} Price: {trade.Price}");
Order order;
lock (_locker)
{
order = _orderProvider.GetOrderByBrokerageId(trade.Order.OrderId.ToString());
}
if (order != null)
{
if (trade.Event == TradeUpdateEvent.OrderFilled || trade.Event == TradeUpdateEvent.OrderPartiallyFilled)
{
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
var status = trade.Event == TradeUpdateEvent.OrderFilled ? OrderStatus.Filled : OrderStatus.PartiallyFilled;
OnOrderEvent(new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero,
"Alpaca Fill Event")
{
Status = status,
FillPrice = trade.Price.Value,
FillQuantity = Convert.ToInt32(trade.Order.FilledQuantity) * (order.Direction == OrderDirection.Buy ? +1 : -1)
});
}
else if (trade.Event == TradeUpdateEvent.OrderCanceled)
{
OnOrderEvent(new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero,
"Alpaca Cancel Order Event")
{
Status = OrderStatus.Canceled
});
}
else if (trade.Event == TradeUpdateEvent.OrderCancelRejected)
{
var message = $"Order cancellation rejected: OrderId: {order.Id}";
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, message));
}
}
else
{
Log.Error($"AlpacaBrokerage.OnTradeUpdate(): order id not found: {trade.Order.OrderId}");
}
}
// Update our information about the last order we placed.
// This is done so that we know whether or not we need to submit a cancel for
// that order before we place another.
private void HandleTradeUpdate(ITradeUpdate trade)
{
if (trade.Order.OrderId == lastTradeId)
{
switch (trade.Event)
{
case TradeEvent.Fill:
case TradeEvent.Rejected:
case TradeEvent.Canceled:
lastTradeOpen = false;
break;
}
}
}
// Update our information about the last order we placed.
// This is done so that we know whether or not we need to submit a cancel for
// that order before we place another.
private void HandleTradeUpdate(ITradeUpdate trade)
{
if (trade.Order.OrderId == lastTradeId)
{
switch (trade.Event)
{
case TradeEvent.Fill:
Console.WriteLine("Trade filled.");
lastTradeOpen = false;
break;
case TradeEvent.Rejected:
Console.WriteLine("Trade rejected.");
lastTradeOpen = false;
break;
case TradeEvent.Canceled:
Console.WriteLine("Trade canceled.");
lastTradeOpen = false;
break;
}
}
}
private void HandleTradeUpdates(ITradeUpdate update)
{
OnTradeUpdate?.Invoke(update);
}
private void AlpacaStreamingClient_OnTradeUpdate(ITradeUpdate update)
{
// throw new NotImplementedException();
lstTradeUpdates.Add(update);
StatusChanged();
}
private static void AlpacaStreamingClient_OnTradeUpdate(ITradeUpdate obj)
{
// TODO: Implement trade updates for Securities objects
throw new NotImplementedException();
}
