/// <summary>
/// Emits a new trade tick from a match message
/// </summary>
private void EmitTradeTick(Messages.Matched message)
{
var symbol = _symbolMapper.GetLeanSymbol(message.ProductId, SecurityType.Crypto, Market.GDAX);
_aggregator.Update(new Tick
{
Value = message.Price,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Trade,
Quantity = message.Size
});
}
/// <summary>
/// Emits a new trade tick from a match message
/// </summary>
private void EmitTradeTick(Messages.Matched message)
{
var symbol = ConvertProductId(message.ProductId);
_aggregator.Update(new Tick
{
Value = message.Price,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Trade,
Quantity = message.Size
});
}
/// <summary>
/// Emits a new trade tick from a match message
/// </summary>
private void EmitTradeTick(Messages.Matched message)
{
var symbol = ConvertProductId(message.ProductId);
lock (TickLocker)
{
Ticks.Add(new Tick
{
Value = message.Price,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Trade,
Quantity = message.Size
});
}
}
private void EmitFillOrderEvent(Messages.Matched message, Symbol symbol, GDAXFill split, bool isFinalFill)
{
var order = split.Order;
var status = isFinalFill ? OrderStatus.Filled : OrderStatus.PartiallyFilled;
OrderDirection direction;
// Messages are always from the perspective of the market maker. Flip direction if executed as a taker.
if (order.BrokerId[0] == message.TakerOrderId)
{
direction = message.Side == "sell" ? OrderDirection.Buy : OrderDirection.Sell;
}
else
{
direction = message.Side == "sell" ? OrderDirection.Sell : OrderDirection.Buy;
}
var fillPrice = message.Price;
var fillQuantity = direction == OrderDirection.Sell ? -message.Size : message.Size;
var isMaker = order.BrokerId[0] == message.MakerOrderId;
var currency = order.PriceCurrency == string.Empty
? _algorithm.Securities[symbol].SymbolProperties.QuoteCurrency
: order.PriceCurrency;
var orderFee = new OrderFee(new CashAmount(
GetFillFee(_algorithm.UtcTime, fillPrice, fillQuantity, isMaker),
currency));
var orderEvent = new OrderEvent
(
order.Id, symbol, message.Time, status,
direction, fillPrice, fillQuantity,
orderFee, $"GDAX Match Event {direction}"
);
// when the order is completely filled, we no longer need it in the active order list
if (orderEvent.Status == OrderStatus.Filled)
{
Order outOrder;
CachedOrderIDs.TryRemove(order.Id, out outOrder);
}
OnOrderEvent(orderEvent);
}
