}//UpdateQuotes().
//
//
// *****************************************************
// **** Process Synthetic Order() ****
// *****************************************************
/// <summary>
/// Process fills from Strategy to PricingEngines.
/// </summary>
/// <param name="syntheticOrder"></param>
/// <param name="newFills"></param>
/// <returns>True if update required</returns>
public override bool ProcessSyntheticOrder(SyntheticOrder syntheticOrder, List <Fill> newFills)
{
if (newFills == null || newFills.Count == 0)
{
return(false);
}
// Collect all fills into work spaces.
Log.BeginEntry(LogLevel.Major, "Quote.ProcessSynthOrder: {0} Fills=", ParentStrategy.Name);
w_NewFills[0].Clear();
w_NewFills[1].Clear();
foreach (Fill fill in newFills)
{
int tradeSide = QTMath.MktSignToMktSide(fill.Qty);
w_NewFills[tradeSide].Add(fill);
m_BuySellQty[tradeSide] += fill.Qty; // this records the raw fills as they come in.
Log.AppendEntry(" [{0}]", fill);
}
int[] position = new int[2]; // this will be updated during allocation of fills.
base.m_Position.CopyTo(position, 0);
Log.AppendEntry(". ");
// Try to cancel fills with undistributed fills.
// TODO: Cancel undistributed fills, if any.
/*
* if ( m_UndistributedFills[0].Count + m_UndistributedFills[1].Count > 0)
* {
* for (int tradeSide = 0; tradeSide < 2; ++tradeSide)
* {
* int otherSide = QTMath.MktSideToOtherSide(tradeSide);
* if (w_NewFills[tradeSide].Count > 0 && m_UndistributedFills[otherSide].Count > 0 )
* {
* Log.AppendEntry(" Canceling with undistributed fills: Not implemented!");
* }
* }
* }
*/
// Prepare entry for database write.
DateTime localTime = ParentStrategy.StrategyHub.GetLocalTime();
UV.Lib.DatabaseReaderWriters.Queries.FillsQuery query = new Lib.DatabaseReaderWriters.Queries.FillsQuery();
// -----------------------------------------------------
// Pass: distribute fills to stops
// -----------------------------------------------------
for (int tradeSide = 0; tradeSide < 2; ++tradeSide)
{
int exitingSide = QTMath.MktSideToActiveMktSide(tradeSide);
if (w_NewFills[tradeSide].Count == 0 || base.m_FillQty[exitingSide].Count == 0)
{
continue;
}
List <Quote> exitList = m_QuoteListRecycling.Get(); // get empty list.
exitList.Clear();
foreach (KeyValuePair <PricingEngine, int> kv in base.m_FillQty[exitingSide])
{
Quote quote;
if (m_Quotes[tradeSide].TryGetValue(kv.Key, out quote) && quote.Reason == QuoteReason.Stop && quote.Qty != 0)
{
exitList.Add(quote);
}
}
if (exitList.Count > 0)
{
Log.AppendEntry(" Distribute to {0} stop quoters:", exitList.Count);
DistributeFillsToQuoters(ref w_NewFills[tradeSide], ref exitList, ref query, ref w_DistributedFills, ref position);
Log.AppendEntry(". ");
}
exitList.Clear();
m_QuoteListRecycling.Recycle(exitList);
}//next tradeSide
// -----------------------------------------------------
// Pass: distribute fills to quoters who want them.
// -----------------------------------------------------
for (int tradeSide = 0; tradeSide < 2; ++tradeSide)
{
if (w_NewFills[tradeSide].Count == 0)
{
continue;
}
int exitingSide = QTMath.MktSideToOtherSide(tradeSide);
int tradeSign = QTMath.MktSideToMktSign(tradeSide);
List <Quote> exitList = m_QuoteListRecycling.Get(); // get empty lists for entry quotes.
List <Quote> entryList = m_QuoteListRecycling.Get(); // and for exit quoters...
Log.AppendEntry(" Distribute to working quoters");
List <int> iPriceKeys = new List <int>(m_QuotesByPrice[tradeSide].Keys);
int priceLevel = 0;
while (w_NewFills[tradeSide].Count > 0 && priceLevel < iPriceKeys.Count)
{
// On each interation, update our "pos" so we know the remaining qty.
int allowedEntryQty = tradeSign * Math.Max(0, m_MaxPosition - Math.Abs(position[tradeSide]));
// Load entry/exit quoters for this price level.
Log.AppendEntry(" lvl={0}/{1}:", priceLevel, iPriceKeys.Count);
entryList.Clear();
exitList.Clear();
List <Quote> quotes = null;
if (m_QuotesByPrice[tradeSide].TryGetValue(iPriceKeys[priceLevel], out quotes))
{
foreach (Quote quote in quotes)
{
if (allowedEntryQty != 0 && quote.Reason == QuoteReason.Entry && quote.Qty != 0)
{
entryList.Add(quote);
}
else if (base.m_FillQty[exitingSide].ContainsKey(quote.PricingEngine) && quote.Reason == QuoteReason.Exit && quote.Qty != 0)
{
exitList.Add(quote);
}
}
}
if (exitList.Count > 0)
{
Log.AppendEntry(" Exits ({0}):", exitList.Count);
DistributeFillsToQuoters(ref w_NewFills[tradeSide], ref exitList, ref query, ref w_DistributedFills, ref position);
}
if (entryList.Count > 0)
{
entryList.Sort(this.QuoteComparerByEngineId); // To better match our backtest, consider sorting entryList by engine names...
Log.AppendEntry(" Entries ({0}):", entryList.Count);
DistributeFillsToQuoters(ref w_NewFills[tradeSide], ref entryList, ref query, ref w_DistributedFills, ref position);
}
//
priceLevel++;
}// next price level
// Clean up.
entryList.Clear();
exitList.Clear();
m_QuoteListRecycling.Recycle(entryList);
m_QuoteListRecycling.Recycle(exitList);
Log.AppendEntry(" Finished.");
if (w_NewFills[tradeSide].Count > 0)
{
Log.AppendEntry(" {0} fills remaining.", w_NewFills[tradeSide].Count);
}
else
{
Log.AppendEntry(" No fills remain.");
}
}//tradeSide
// -----------------------------------------------------
// Start emergency processing!
// -----------------------------------------------------
if (w_NewFills[0].Count > 0 || w_NewFills[1].Count > 0)
{
Log.AppendEntry(" Process unwanted fills!");
ProcessUnwantedFills(ref w_NewFills, ref w_DistributedFills);
}
Log.EndEntry(); // end logging for us now, before we call other methods.
// -----------------------------------------------------
// Distribute these fills now.
// -----------------------------------------------------
if (query != null && query.Count != 0)
{
ParentStrategy.StrategyHub.RequestDatabaseWrite(query); // submit all the queries
}
foreach (KeyValuePair <Quote, List <Fill> > kv in w_DistributedFills)
{
int fillQty = 0;
double fillPrice = 0;
foreach (Fill fill in kv.Value)
{
fillQty += fill.Qty;
fillPrice = fill.Price; // TODO: this should be ave fill price
}
int tradeSide = QTMath.MktSignToMktSide(fillQty);
int exitSide = QTMath.MktSideToOtherSide(tradeSide);
if (fillQty == 0)
{
continue;
}
// Update our position counting.
int openPos = 0;
if (base.m_FillQty[exitSide].TryGetValue(kv.Key.PricingEngine, out openPos))
{ // This is an exit (since this PricingEngine has open position on other side of mkt).
openPos += fillQty;
// update quoter's graph
if (m_IsGraphEnabled)
{
if (exitSide == 0)
{ // exit long position.
m_GraphEngine.AddPoint(m_GraphID, "Long Exit", fillPrice);
m_GraphEngine.AddText(m_GraphID, string.Format("{0}", kv.Key.PricingEngine.EngineName), fillPrice + m_TextOffsetTicks * m_QuoteTickSize);
}
else
{ // exit short position.
m_GraphEngine.AddPoint(m_GraphID, "Short Exit", fillPrice);
m_GraphEngine.AddText(m_GraphID, string.Format("{0}", kv.Key.PricingEngine.EngineName), fillPrice - m_TextOffsetTicks * m_QuoteTickSize);
}
}
// Update real position table.
if (openPos * fillQty <= 0)
{
base.m_FillQty[exitSide].Remove(kv.Key.PricingEngine);// complete exit, possibly a side flip
}
if (openPos != 0)
{ // There is a new position (on other side of mkt).
int posSide = QTMath.MktSignToMktSide(openPos);
base.m_FillQty[posSide][kv.Key.PricingEngine] = openPos;
}
}
else
{ // This is an entry!
if (m_IsGraphEnabled)
{
if (tradeSide == 0)
{
m_GraphEngine.AddPoint(m_GraphID, "Long Entry", fillPrice);
m_GraphEngine.AddText(m_GraphID, string.Format("{0}", kv.Key.PricingEngine.EngineName), fillPrice - m_TextOffsetTicks * m_QuoteTickSize);
}
else
{
m_GraphEngine.AddPoint(m_GraphID, "Short Entry", fillPrice);
m_GraphEngine.AddText(m_GraphID, string.Format("{0}", kv.Key.PricingEngine.EngineName), fillPrice + m_TextOffsetTicks * m_QuoteTickSize);
}
}
// Update real position table.
if (base.m_FillQty[tradeSide].ContainsKey(kv.Key.PricingEngine))
{
base.m_FillQty[tradeSide][kv.Key.PricingEngine] += fillQty; // add to this engines position.
}
else
{
base.m_FillQty[tradeSide].Add(kv.Key.PricingEngine, fillQty); // store this engines position.
}
}
// Trigger the pricing engine filled event!
foreach (Fill fill in kv.Value)
{
kv.Key.PricingEngine.Filled(fill);
}
}// next filled Quote.
// Update total sum
Log.BeginEntry(LogLevel.Major, "Quote.ProcessSynthOrder {0} Summary: ", ParentStrategy.Name);
for (int tradeSide = 0; tradeSide < 2; tradeSide++)
{
// Add up the current position.
int pos = 0;
foreach (KeyValuePair <PricingEngine, int> kv in base.m_FillQty[tradeSide])
{
pos += kv.Value;
}
base.m_Position[tradeSide] = pos;
// Write some logging.
Log.AppendEntry(" {0}-side:", QTMath.MktSideToLongString(tradeSide));
Log.AppendEntry(" Pos={0:+0;-0;0}", base.m_Position[tradeSide]);
foreach (KeyValuePair <PricingEngine, int> kv in base.m_FillQty[tradeSide])
{
Log.AppendEntry(" [{1:+0;-0;0} {0}]", kv.Key.EngineName, kv.Value);
}
Log.AppendEntry(" TotalQty={0}", m_BuySellQty[tradeSide]);
// Log undistributed fills too.
if (m_UndistributedFills[tradeSide].Count > 0)
{
Log.AppendEntry(" Undistributed {0}-fills:", QTMath.MktSideToLongString(tradeSide));
foreach (Fill fill in m_UndistributedFills[tradeSide])
{
Log.AppendEntry(" {0}", fill);
}
}
}// next tradeSide
Log.AppendEntry(" |MaxPos|={0}.", m_MaxPosition);
Log.EndEntry();
//
// Clean up work spaces
//
foreach (KeyValuePair <Quote, List <Fill> > kv in w_DistributedFills)
{
kv.Value.Clear();
m_FillListRecycling.Recycle(kv.Value);
}
w_DistributedFills.Clear(); // Quoters and their fills to distribute.
return(true);
}// ProcessSyntheticOrder()