public void OnBar(Bar bar)
{
var orders = GetOrdersBy(bar.InstrumentId);
if (orders == null)
{
return;
}
if (FillOnBar && (BarFilter.Count == 0 || BarFilter.Contains(bar.Type, bar.Size)))
{
foreach (var order in orders)
{
FillWithBar(order, bar);
}
ClearOrders();
}
}
private bool FillLimitOrder(Order order)
{
if (order.Type != OrderType.Limit)
{
return(false);
}
int iId = order.InstrumentId;
if (FillOnQuote)
{
var ask = this.framework.DataManager.GetAsk(iId);
if (ask != null && this.FillWithAsk(order, ask))
{
return(true);
}
var bid = this.framework.DataManager.GetBid(iId);
if (bid != null && this.FillWithBid(order, bid))
{
return(true);
}
}
if (FillOnTrade)
{
Trade trade = this.framework.DataManager.GetTrade(iId);
if (trade != null && this.FillWithTrade(order, trade))
{
return(true);
}
}
if (FillOnBar)
{
var bar = this.framework.DataManager.GetBar(iId);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return(false);
}
if (bar != null && this.FillWithBar(order, bar))
{
return(true);
}
}
return(false);
}
public void OnBarOpen(Bar bar)
{
if (this.ordersByInstrumentId[bar.InstrumentId] == null)
{
return;
}
if (FillOnBarOpen)
{
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return;
}
int i = 0;
while (i < this.ordersByInstrumentId[bar.InstrumentId].Count)
{
Order order = this.ordersByInstrumentId[bar.InstrumentId][i];
while (true)
{
switch (order.Type)
{
case OrderType.Market:
case OrderType.Pegged:
goto IL_215;
case OrderType.Stop:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
if (!FillAtStopPrice)
{
order.Type = OrderType.Market;
continue;
}
goto IL_142;
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
if (!FillAtStopPrice)
{
order.Type = OrderType.Market;
continue;
}
goto IL_15B;
}
break;
}
break;
case OrderType.Limit:
goto IL_174;
case OrderType.StopLimit:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
order.Type = OrderType.Limit;
continue;
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
order.Type = OrderType.Limit;
continue;
}
break;
}
break;
}
break;
}
IL_229:
i++;
continue;
goto IL_229;
IL_142:
this.Fill(order, order.StopPx, (int)bar.Volume);
goto IL_229;
IL_15B:
this.Fill(order, order.StopPx, (int)bar.Volume);
goto IL_229;
IL_174:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open > order.Price)
{
goto IL_229;
}
if (FillAtLimitPrice)
{
this.Fill(order, order.Price, (int)bar.Volume);
goto IL_229;
}
this.Fill(order, bar.Open, (int)bar.Volume);
goto IL_229;
case OrderSide.Sell:
if (bar.Open < order.Price)
{
goto IL_229;
}
if (FillAtLimitPrice)
{
this.Fill(order, order.Price, (int)bar.Volume);
goto IL_229;
}
this.Fill(order, bar.Open, (int)bar.Volume);
goto IL_229;
default:
goto IL_229;
}
IL_215:
this.Fill(order, bar.Open, (int)bar.Volume);
goto IL_229;
}
this.ClearOrders();
}
}
private void HandleSend(Order order)
{
if (order.Qty == 0.0)
{
this.ExecOrderRejected(order, "Order amount can not be zero");
return;
}
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
ExecType = ExecType.ExecNew,
OrdStatus = OrderStatus.New,
CurrencyId = order.Instrument.CurrencyId,
OrdType = order.Type,
Side = order.Side,
OrdQty = order.Qty,
Price = order.Price,
StopPx = order.StopPx,
TimeInForce = order.TimeInForce,
CumQty = 0,
LastQty = 0,
LeavesQty = order.Qty,
LastPx = 0,
AvgPx = 0,
Text = order.Text
};
order.LeavesQty = report.LeavesQty;
this.summariesByOrderId[order.Id] = new ReportSummary(report);
EmitExecutionReport(report, Queued);
if (order.TimeInForce == TimeInForce.AUC)
{
this.stops.Add(order);
if (this.stops.Count == 1)
{
this.framework.Clock.AddReminder(OnAuction1, this.framework.Clock.DateTime.Date.Add(Auction1));
this.framework.Clock.AddReminder(OnAuction2, this.framework.Clock.DateTime.Date.Add(Auction2));
}
return;
}
int int_ = order.InstrumentId;
GetOrdersBy(int_, true).Add(order);
if (((order.Type == OrderType.Market || order.Type == OrderType.Pegged) && !FillMarketOnNext) || (order.Type == OrderType.Limit && !FillLimitOnNext) || (order.Type == OrderType.Stop && !FillStopOnNext) || (order.Type == OrderType.StopLimit && !FillStopLimitOnNext))
{
if (FillOnQuote)
{
Ask ask = this.framework.DataManager.GetAsk(int_);
if (ask != null && FillWithAsk(order, ask))
{
this.ClearOrders();
return;
}
Bid bid = this.framework.DataManager.GetBid(int_);
if (bid != null && this.FillWithBid(order, bid))
{
this.ClearOrders();
return;
}
}
if (FillOnTrade)
{
var trade = this.framework.DataManager.GetTrade(int_);
if (trade != null && this.FillWithTrade(order, trade))
{
this.ClearOrders();
return;
}
}
if (FillOnBar)
{
var bar = this.framework.DataManager.GetBar(int_);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return;
}
if (bar != null && this.FillWithBar(order, bar))
{
ClearOrders();
}
}
}
}
private void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
Console.WriteLine($"{DateTime.Now} DataSimulator::Subscribe {instrument.Symbol}");
var list = new List <DataSeries>();
if (SubscribeTrade)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Trade, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeBid)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Bid, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeAsk)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Ask, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeQuote)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Quote, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeBar)
{
var dataSeriesList = this.framework.DataManager.GetDataSeriesList(instrument, "Bar");
foreach (DataSeries series in dataSeriesList)
{
if (BarFilter.Count != 0)
{
BarType barType;
long barSize;
DataSeriesNameHelper.TryGetBarTypeSize(series, out barType, out barSize);
if (!BarFilter.Contains(barType, barSize))
{
continue;
}
}
list.Add(series);
}
}
if (SubscribeLevelII)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Level2, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeFundamental)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Fundamental, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeNews)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.News, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
foreach (var s in list)
{
this.emitters.Add(CreateDataSeriesEmitter(s, dateTime1, dateTime2));
}
}