private void SessionOnOrderFilled(OEC.API.Order order, OEC.API.Fill fill)
{
if (!fill.Active)
{
return;
}
SendOutMessage(new ExecutionMessage
{
SecurityId = new SecurityId
{
SecurityCode = order.Contract.Symbol,
BoardCode = order.Route == null ? order.Contract.Exchange.Name : order.Route.Name,
},
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = _orderTransactions.TryGetValue2(order) ?? 0,
OrderId = order.ID,
TradeId = fill.ID,
TradePrice = order.Contract.Cast(fill.Price),
ServerTime = fill.Timestamp.ApplyTimeZone(TimeHelper.Est),
TradeVolume = fill.Quantity,
SystemComment = fill.Comments,
Commission = fill.Commission.ToDecimal(),
HasTradeInfo = true,
});
}
private void SessionOnOrderStateChanged(OEC.API.Order order, OrderState oldState)
{
var trId = _orderTransactions.TryGetValue2(order);
// TODO
if (trId == null)
{
return;
}
ProcessOrder(order, trId.Value);
}
private void SessionOnOrderConfirmed(OEC.API.Order order, int oldOrderId)
{
//if (oldOrderId > 0)
//{
// SendOutMessage(new ExecutionMessage
// {
// ExecutionType = ExecutionTypes.Order,
// OrderId = oldOrderId,
// OrderState = OrderStates.Done,
// });
//}
//SendOutMessage(new ExecutionMessage
//{
// ExecutionType = ExecutionTypes.Order,
// OrderId = order.ID,
// OrderStatus = OrderStatus.ReceiveByServer,
//});
}
private void SessionOnOrderFilled(OEC.API.Order order, OEC.API.Fill fill)
{
if (!fill.Active)
{
return;
}
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Trade,
OriginalTransactionId = _orderTransactions.TryGetValue2(order) ?? 0,
OrderId = order.ID,
TradeId = fill.ID,
TradePrice = order.Contract.Cast(fill.Price),
ServerTime = fill.Timestamp.ApplyTimeZone(TimeHelper.Est),
Volume = fill.Quantity,
SystemComment = fill.Comments,
Commission = fill.Commission.ToDecimal(),
});
}
private void SessionOnCommandUpdated(OEC.API.Order order, Command command)
{
//var msg = "Команда обновилась: #{0}, {1}-{2}, order #{3}".Put(command.ID, command.Type, command.State, oecOrder.OrderString());
//this.AddInfoLog(msg);
////ProcessEvents(() =>
////{
//var currentOrder = _orderMap.GetLocalOrder(oecOrder);
//if (currentOrder == null)
// throw new OECException("CommandUpdated: Локальная заявка для OEC заявки '{0}' не найдена.".Put(oecOrder.OrderString()));
//if (!(command.Type == CommandType.Modify || command.State == CommandState.Failed))
//{
// // при необходимости будет обработано при получении OrderStateChanged
// currentOrder.Messages.Add(msg);
// return;
//}
//switch (command.State)
//{
// case CommandState.Sent:
// {
// // Type == Modify
// var newOrder = _orderMap.GetLocalOrder(command.Version);
// if (newOrder == null)
// throw new OECException("CommandUpdated2: Локальная заявка для версии '{0}' не найдена.".Put(command.Version));
// if (command.ID > 0 && newOrder.Id <= 0)
// {
// var updatemsg = "OecCbOnCommandUpdated: Команда на модификацию (oldId={0}) принята сервером. newId={1}".Put(newOrder.Id, command.ID);
// this.AddInfoLog(updatemsg);
// GetOrder(newOrder.Security, newOrder.Type, command.ID, id => newOrder, order =>
// {
// _orderMap.BindOrderToOecOrderVersion(order, command.Version);
// order.Messages.Add(updatemsg);
// order.Status = OrderStatus.ReceiveByServer;
// return true;
// });
// }
// break;
// }
// case CommandState.Executed:
// {
// // Type == Modify
// var prevOecOrderVersion = oecOrder.Versions.Current.GetPreviousExecutedVersion();
// if (prevOecOrderVersion == null)
// {
// var errmsg = "Предыдущая версия заявки '{0}' не найдена.".Put(oecOrder.OrderString());
// this.AddErrorLog(errmsg);
// throw new OECException(errmsg);
// }
// var oldOrder = _orderMap.GetLocalOrder(prevOecOrderVersion);
// if (oldOrder == null)
// throw new OECException("CommandUpdated3: Локальная заявка для версии '{0}' не найдена.".Put(prevOecOrderVersion));
// OnModifyCommandExecuted(oldOrder, currentOrder, oecOrder);
// break;
// }
// case CommandState.Failed:
// {
// switch (command.Type)
// {
// case CommandType.Create:
// // will be handled in OnOrderChanged
// this.AddWarningLog("Команда Create вернула ошибку: {0}", command.ResultComments);
// break;
// case CommandType.Modify:
// var newOrder = _orderMap.GetLocalOrder(command.Version);
// if (newOrder == null)
// throw new OECException("CommandUpdated4: Локальная заявка для версии '{0}' не найдена.".Put(command.Version));
// newOrder.Id = 0;
// newOrder.State = OrderStates.Done;
// newOrder.Status = OrderStatus.NotValidated;
// newOrder.LastChangeTime = command.ResultTimestamp;
// RaiseOrderFailed(newOrder, new OECException("Команда Modify завершилась неудачно, комментарий='{0}'".Put(command.ResultComments)));
// break;
// case CommandType.Cancel:
// RaiseOrderFailed(currentOrder, new OECException("Команда Cancel завершилась неудачно, комментарий='{0}'".Put(command.ResultComments)));
// break;
// }
// break;
// }
//}
//});
}
private void ProcessOrder(OEC.API.Order order, long trasactionId)
{
if (order == null)
{
throw new ArgumentNullException(nameof(order));
}
if (trasactionId == 0)
{
throw new ArgumentOutOfRangeException(nameof(trasactionId));
}
var execMsg = new ExecutionMessage
{
OriginalTransactionId = trasactionId,
OrderId = order.ID,
Side = order.Side.ToStockSharp(),
ExecutionType = ExecutionTypes.Order,
ServerTime = order.States.Current.Timestamp.ApplyTimeZone(TimeHelper.Est),
OrderType = order.Type.ToStockSharp(),
Volume = order.Quantity,
PortfolioName = order.Account.Name,
SecurityId = new SecurityId
{
SecurityCode = order.Contract.Symbol,
BoardCode = order.Route == null ? order.Contract.Exchange.Name : order.Route.Name,
},
Comment = order.Comments,
OrderPrice = order.Contract.Cast(order.Price) ?? 0,
};
var currVersion = order.Versions.Current;
switch (currVersion.Flags)
{
case OrderFlags.FOK:
execMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case OrderFlags.IOC:
execMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case OrderFlags.GTC:
execMsg.TimeInForce = TimeInForce.PutInQueue;
//execMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
}
if (currVersion.End != OEC.API.Version.MaximumEnd)
{
execMsg.ExpiryDate = currVersion.End.ApplyTimeZone(TimeHelper.Est);
}
if (execMsg.OrderType == OrderTypes.Conditional)
{
var condition = new OpenECryOrderCondition();
execMsg.Condition = condition;
switch (order.Type)
{
case OrderType.StopLimit:
condition.StopType = OpenECryStopType.StopLimit;
condition.StopPrice = order.Contract.Cast(order.Price);
execMsg.OrderPrice = order.Contract.Cast(order.Price2) ?? 0;
break;
case OrderType.Stop:
condition.StopType = OpenECryStopType.StopMarket;
condition.StopPrice = order.Contract.Cast(order.Price);
//execMsg.Price = 0;
break;
case OrderType.TrailingStopLoss:
case OrderType.TrailingStopLimit:
//execMsg.Price = 0;
var stopType = order.Type == OrderType.TrailingStopLimit ? OpenECryStopType.TrailingStopLimit : OpenECryStopType.TrailingStopMarket;
var eqtsData = currVersion.ExtData as EquityTrailingStopData;
if (eqtsData != null)
{
condition.StopType = stopType;
condition.Delta = eqtsData.Amount.ToDecimal();
condition.IsPercentDelta = eqtsData.IsPercentAmount;
condition.TriggerType = eqtsData.TriggerType.ToStockSharp();
condition.StopPrice = order.Contract.Cast(order.Price);
}
else
{
var tsData = currVersion.ExtData as OEC.API.TrailingStopData;
if (tsData != null)
{
condition.StopType = stopType;
condition.Delta = tsData.Delta.ToDecimal();
condition.ReferencePrice = tsData.ReferencePrice.ToDecimal();
condition.StopPrice = order.Contract.Cast(order.Price);
}
}
break;
default:
throw new ArgumentOutOfRangeException(LocalizedStrings.Str1849Params.Put(order.Type));
}
}
switch (order.CurrentState)
{
case OrderState.Accepted:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.Accepted;
break;
}
case OrderState.Held:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.ReceiveByServer;
break;
}
case OrderState.Sent:
{
execMsg.OrderState = OrderStates.Pending;
execMsg.OrderStatus = OrderStatus.SentToServer;
break;
}
case OrderState.Suspended:
{
break;
}
case OrderState.Rejected:
{
execMsg.OrderState = OrderStates.Failed;
execMsg.OrderStatus = OrderStatus.RejectedBySystem;
execMsg.Error = new InvalidOperationException(order.States.Current.Comments);
break;
}
case OrderState.Working:
{
//execMsg.ExtensionInfo[_keyExchangeOrderId] = order.Versions.Current.Command.ExchangeOrderID;
execMsg.OrderState = OrderStates.Active;
execMsg.OrderStatus = OrderStatus.Accepted;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.Completed:
{
execMsg.OrderState = OrderStates.Done;
if (order.IsFilled)
{
execMsg.Balance = 0;
}
else
{
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
}
break;
}
case OrderState.Cancelled:
{
execMsg.OrderState = OrderStates.Done;
execMsg.Balance = order.Quantity - order.Fills.TotalQuantity;
break;
}
case OrderState.None:
{
break;
}
case OrderState.Unknown:
{
break;
}
default:
throw new OpenECryException(LocalizedStrings.Str2557Params.Put(order.CurrentState));
}
SendOutMessage(execMsg);
}
private void SessionOnPostAllocation(OEC.API.Order order, OEC.API.Contract contract, OEC.API.PostAllocationBlock allocation, PostAllocationCheckResult result)
{
}
public BusinessEntities.Order GetLocalOrder(OEC.API.Order oecOrder, bool create = true)
{
return(GetLocalOrder(oecOrder.Versions.Current, create));
}