public void OrderFilledEvent(List <Fill> FillList)
{
var fillDetails = FillList.FirstOrDefault();
Int32 orderIndex = -1;
try
{
orderIndex = FillWatchList.FindIndex((o) => o.OrderId == fillDetails.OrderId);
}
catch (Exception)
{
Logger.WriteLog(string.Format("Order {0} not found in watch list!", fillDetails.OrderId));
return;
}
decimal totalFilled = 0;
//test
//var testFill = FillList.First();//new Fill(null);
//testFill = FillList.First();
////testFill.
//FillList.Add(testFill);
//reset the filled size assuming all the split orders are retunred
if (FillList.Count > 0)
{
FillWatchList[orderIndex].FilledSize = 0.00m;
foreach (var curFill in FillList)
{
totalFilled += Convert.ToDecimal(curFill.Size);
FillWatchList[orderIndex].FilledSize = FillWatchList[orderIndex].FilledSize
+ Convert.ToDecimal(curFill.Size);
}
}
else
{
//error condition where there is no data in filled order
return;
}
//check if ordered size and fill size match,
//if it does then remove from watch list
//else mark it was partially filled
var majorityFillSize = FillWatchList[orderIndex].ProductSize * 1; //0.99m;
if (FillWatchList[orderIndex].FilledSize == majorityFillSize) //if filled size is more than 90%
{
//BusyCheckingOrder = false;
//myActiveOrderBook.RemoveFromOrderList(fillDetails.OrderId);
Logger.WriteLog("Order filled with following sizes:");
FillList.ForEach((f) => Logger.WriteLog(f.Size + " @" + f.Price + " (fee: " + f.Fee + ")"));
//add the list of filled sizes to fill list if the filledList does not already contain it
foreach (var f in FillList)
{
if (!(FillWatchList[orderIndex].FilledList.Any((e) => e.OrderId == f.OrderId && e.Side == f.Side && e.Fee == f.Fee))) //if list does not already contain item then add
{
FillWatchList[orderIndex].FilledList.Add(f);
}
}
//blindly adds all filled even if already exists in list
//FillWatchList[orderIndex].FilledList.AddRange(FillList);
if (fillDetails.Price == null) //indicates a market order
{
try
{
var orderStat = GetFillStatus(fillDetails?.OrderId).Result;
if (orderStat.Fills.Count > 0)
{
fillDetails.Price = orderStat.Fills.FirstOrDefault().Price;
}
}
catch (Exception)
{
Logger.WriteLog("Error getting fill response");
}
}
var filledSizeSum = 0.0m;
var filledAmountSum = 0.0m;
var filledFeeSum = 0.0m;
var filledAtAvgPrice = 0.0m;
Logger.WriteLog("All fills:");
foreach (var fillDet in FillWatchList[orderIndex].FilledList)
{
filledSizeSum += Convert.ToDecimal(fillDet.Size);
filledAmountSum += Convert.ToDecimal(fillDet.Size) * Convert.ToDecimal(fillDet.Price);
filledFeeSum += Convert.ToDecimal(fillDet.Fee);
Logger.WriteLog(fillDet.Size + " @" + fillDet.Price + " (fee: " + fillDet.Fee + ")");
}
if (filledSizeSum > 0)
{
filledAtAvgPrice = filledAmountSum / filledSizeSum;
}
//fillDetails.Size = totalFilled.ToString();
fillDetails.Size = filledSizeSum.ToString();
fillDetails.Price = filledAtAvgPrice.ToString();
fillDetails.Fee = filledFeeSum.ToString();
FillWatchList.RemoveAll(x => x.OrderId == fillDetails.OrderId);
FillUpdated?.Invoke(this, new FillEventArgs {
filledOrder = fillDetails
});
}
else
{
//cancel the order here the first time and retry to fill unfilled amount in OrderBook
var myCurrentOrder = FillWatchList[orderIndex];
//when checking the same order after the first time
//if not (partially filled or Cancel_error)
//skip if market order
if (!(FillWatchList[orderIndex].Status == "PARTIALLY_FILLED" ||
FillWatchList[orderIndex].Status == "CANCEL_ERROR" ||
FillWatchList[orderIndex].OrderType == "market"))
{
////add the list of filled sizes to fill list
//FillWatchList[orderIndex].FilledList.AddRange(FillList);
//add the list of filled sizes to fill list if the filledList does not already contain it
foreach (var f in FillList)
{
if (!(FillWatchList[orderIndex].FilledList.Any((e) => e.OrderId == f.OrderId && e.Side == f.Side && e.Fee == f.Fee))) //if list does not already contain item then add
{
FillWatchList[orderIndex].FilledList.Add(f);
}
}
Logger.WriteLog(string.Format("{0} order({1}) of {2} {3} filled partially with following sizes:",
fillDetails.Side, fillDetails.OrderId, FillWatchList[orderIndex].ProductSize,
fillDetails.ProductId));
FillList.ForEach((f) => Logger.WriteLog(f.Size + " @" + f.Price + " (fee: " + f.Fee + ")"));
try
{
Logger.WriteLog("Cancelling remainder of partially filled order: " + myCurrentOrder.OrderId);
if (myCurrentOrder.OrderType == "market")
{
Logger.WriteLog("market order! cant cancel");
}
var cancelledOrder = myActiveOrderBook.CancelSingleOrder(myCurrentOrder.OrderId).Result;
if (cancelledOrder.Count > 0)
{
FillWatchList[orderIndex].Status = "PARTIALLY_FILLED";
}
}
catch (Exception)
{
Logger.WriteLog("Error cancelling partially filled order, marking as CANCEL_ERROR " + myCurrentOrder.OrderId);
// this will stop from entering this method
//also it will be tried to be cancelled in cancelAndReorder where
//it will fail and a new order will be placed
FillWatchList[orderIndex].Status = "CANCEL_ERROR";
}
}
//set the current order in the list to partially filled
//FillWatchList[orderIndex].Status = "PARTIALLY_FILLED";
}
//fillDetails.Size = totalFilled.ToString(); //modify the filled size with the total instead of the first size in list
//BusyCheckingOrder = false;
//notify only if fully filled?
//FillUpdated?.Invoke(this, new FillEventArgs { filledOrder = fillDetails });
}
