protected ClientOrder(int id, Security security, OrderType type, TimeInForce tif, DateTime?expiry, Side side,
int?price, int?stopPrice, int quantity, int minQuantity, int?maxVisibleQuantity,
string selfMatchId, SelfMatchPreventionInstruction selfMatchMode)
: base(id, security, type, tif, expiry, side, price, stopPrice, quantity, minQuantity, maxVisibleQuantity,
selfMatchId, selfMatchMode)
{
}
public void CreateLimitOrder(int id, TimeInForce tif, DateTime?expiry, Side side,
int?price, int quantity, int minQuantity = 0,
int maxVisibleQuantity = int.MaxValue, string smpId = null,
SelfMatchPreventionInstruction smpInstruction = SelfMatchPreventionInstruction.CancelResting)
{
var order = new Order(id, Security, OrderType.Limit, tif, expiry, side, price, null,
quantity, minQuantity, maxVisibleQuantity,
smpId, smpInstruction);
if (quantity < 1)
{
FireCreateRejected(order, OrderRejectReason.QuantityTooLow);
return;
}
if (Status == SecurityTradingStatus.Close || Status == SecurityTradingStatus.NotAvailable)
{
FireCreateRejected(order, OrderRejectReason.MarketClosed);
return;
}
if (order.TimeInForce == TimeInForce.FillAndKill)
{
// TODO: catch earlier?
if (order.MinQuantity > order.Quantity)
{
FireCreateRejected(order, OrderRejectReason.QuantityOutOfRange);
return;
}
}
CreateOrder(order);
Match();
}
public void CreateStopLimitOrder(int id, TimeInForce tif, DateTime?expiry, Side side,
int?price, int?stopPrice, int quantity, int minQuantity = 0,
int maxVisibleQuantity = int.MaxValue, string smpId = null,
SelfMatchPreventionInstruction smpInstruction = SelfMatchPreventionInstruction.CancelResting)
{
var order = new Order(id, Security, OrderType.StopLimit, tif, expiry, side, price, stopPrice,
quantity, minQuantity, maxVisibleQuantity,
smpId, smpInstruction);
if (quantity < 1)
{
FireCreateRejected(order, OrderRejectReason.QuantityTooLow);
return;
}
if (Status == SecurityTradingStatus.Close || Status == SecurityTradingStatus.NotAvailable)
{
FireCreateRejected(order, OrderRejectReason.MarketClosed);
return;
}
if (order.Side == Side.Buy && stopPrice.Value > lastTradePrice)
{
FireCreateRejected(order, OrderRejectReason.StopPriceMustBeLessThanLastTradePrice);
return;
}
if (order.Side == Side.Sell && stopPrice.Value < lastTradePrice)
{
FireCreateRejected(order, OrderRejectReason.StopPriceMustBeGreaterThanLastTradePrice);
return;
}
if (order.Type == OrderType.StopLimit)
{
if (order.Side == Side.Buy && price.Value < stopPrice.Value)
{
FireCreateRejected(order, OrderRejectReason.InvalidStopPriceMustBeGreaterThanEqualTriggerPrice);
return;
}
if (order.Side == Side.Sell && price.Value > stopPrice.Value)
{
FireCreateRejected(order, OrderRejectReason.InvalidStopPriceMustBeLessThanEqualTriggerPrice);
return;
}
}
if (order.TimeInForce == TimeInForce.FillAndKill)
{
// TODO: catch earlier?
if (order.MinQuantity > order.Quantity)
{
FireCreateRejected(order, OrderRejectReason.QuantityOutOfRange);
return;
}
}
CreateOrder(order);
order.Status = OrderStatus.Hidden;
Match();
}
public void CreateMarketOrder(int id, TimeInForce tif, DateTime?expiry, Side side,
int quantity, int minQuantity = 0,
int maxVisibleQuantity = int.MaxValue, string smpId = null,
SelfMatchPreventionInstruction smpInstruction = SelfMatchPreventionInstruction.CancelResting)
{
var order = new Order(id, Security, OrderType.Market, tif, expiry, side, null, null,
quantity, minQuantity, maxVisibleQuantity,
smpId, smpInstruction);
if (quantity < 1)
{
FireCreateRejected(order, OrderRejectReason.QuantityTooLow);
return;
}
if (Status != SecurityTradingStatus.Open)
{
FireCreateRejected(order, OrderRejectReason.MarketClosed);
return;
}
// TODO: reject if for market-limit, "A designated limit is farther than price bands from current Last Best Price"
var top = WorkingOrders(order.Side == Side.Buy ? Side.Sell : Side.Buy).FirstOrDefault();
// check if book is empty
if (top == null)
{
FireCreateRejected(order, OrderRejectReason.NoOrdersToMatchMarketOrder);
return;
}
// TODO: need to get these Protection Point values from somewhere
// -- "Protection point values usually equal half of the Non-reviewable range"
int protectionPoints = 10 * (order.Side == Side.Buy ? 1 : -1);
order.Price = top.Price + protectionPoints;
if (order.TimeInForce == TimeInForce.FillAndKill)
{
// TODO: catch earlier?
if (order.MinQuantity > order.Quantity)
{
FireCreateRejected(order, OrderRejectReason.QuantityOutOfRange);
return;
}
}
CreateOrder(order);
Match();
}
public Order(int id, Security security, OrderType type, TimeInForce tif, DateTime?expiry, Side side,
int?price, int?stopPrice, int quantity, int minQuantity, int?maxVisibleQuantity,
string selfMatchId, SelfMatchPreventionInstruction selfMatchMode)
{
Id = id;
Security = security;
Type = type;
TimeInForce = tif;
ExpireDate = expiry;
Side = side;
Price = price;
StopPrice = stopPrice;
Quantity = quantity;
FilledQuantity = 0;
RemainingQuantity = quantity;
MinQuantity = minQuantity;
MaxVisibleQuantity = maxVisibleQuantity ?? int.MaxValue;
SelfMatchId = selfMatchId;
SelfMatchMode = selfMatchMode;
}
private void HandleCreateRequest(object sender, NewOrder request)
{
if (!books.ContainsKey(request.Contract))
{
((FixTcpClient)sender).Send(new BusinessLevelReject(request, BusinessLevelRejectReason.UnknownSecurity));
return;
}
int id = nextOrderId++;
string globexId = id.ToString();
ordersToClients[id] = (FixTcpClient)sender;
orderInfos[id] = new OrderInfo(globexId, request.ClientOrderId,
request.CorrelationClientOrderId, request.Account,
request.IsManualOrder, request.PreTradeAnonymity);
orderIds[globexId] = id;
var book = books[request.Contract];
int minQty = request.MinQuantity ?? 0;
int maxVisibleQty = request.MaxVisibleQuantity ?? int.MaxValue;
SelfMatchPreventionInstruction smpMode = request.SelfMatchPreventionInstruction ?? SelfMatchPreventionInstruction.CancelResting;
switch (request.OrderType)
{
case OrderType.Limit:
book.CreateLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Price, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.Market:
book.CreateMarketOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.MarketLimit:
book.CreateMarketLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.Stop:
book.CreateStopOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.StopPrice, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.StopLimit:
book.CreateStopLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Price, request.StopPrice, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
}
}
