//
public bool TryGenerateSyntheticFill(int stratSide, out SyntheticFill newSyntheticFill)
{
if (CheckFillQueues(stratSide, m_FillBooks))
{
newSyntheticFill = GenerateSyntheticFill(stratSide);
return(true);
}
else
{
newSyntheticFill = null;
return(false);
}
}
//
//
public virtual SyntheticFill GenerateSyntheticFill(int stratSide)
{
SyntheticFill newSyntheticFill = new SyntheticFill();
newSyntheticFill.InstrumentName = m_SyntheticInstrumentName;
newSyntheticFill.Qty = (int)(m_pendingFillQtys[m_SmallestLegIndex] / m_SmallestLegRatio); // just a starting point
// First lets try and find the fill qty. Since we have our array of pendingFills we should be
// able to divide all legs by the smallest leg, and find the smallest whole number from that
// which will be our fillqty.
for (int i = 0; i < m_pendingFillQtys.Length; ++i)
{
int possibleSyntheticQty = (int)(m_pendingFillQtys[i] / (long)m_LegRatios[i]);
// we are looking to make sure we are going to take the largest number of COMPLETE fills
if (Math.Abs(possibleSyntheticQty) < Math.Abs(newSyntheticFill.Qty))
{
newSyntheticFill.Qty = possibleSyntheticQty;
}
}
// we should theoretically now have them correct fill qty.
// we now need to work on price, while we do this we can remove fills from our list to ensure they
// aren't used more than once.
for (int leg = 0; leg < m_LegRatios.Length; ++leg)
{
// Find which side
int legSide = UV.Lib.Utilities.QTMath.MktSignToMktSide(UV.Lib.Utilities.QTMath.MktSideToMktSign(stratSide) * m_LegRatios[leg]);
// find the qty we need to remove from the fill
int qtyToRemove = (int)(m_LegRatios[leg] * newSyntheticFill.Qty);
// find the average pricing for those fills we are removing
double legAvgPrice = m_FillBooks[leg].m_FillPages[legSide].GetAveragePricing(qtyToRemove);
// remove them and if false we probably have an issue so lets not report the fill.
if (!m_FillBooks[leg].m_FillPages[legSide].DequeueQty(qtyToRemove, ref newSyntheticFill.LegFills))
{
break;
}
// we need to multiply the average price times the leg multiplier
legAvgPrice = m_LegPriceMultipliers[leg] * legAvgPrice;
// assign this legs price to our spread price we will report.
newSyntheticFill.Price += legAvgPrice;
}
// okay we have a synthetic fill with everything but a timestamp, lets take the current timestamp
newSyntheticFill.LocalTime = newSyntheticFill.ExchangeTime = DateTime.Now;
// trigger the event of synthetic fills.
FillEventArgs e = new FillEventArgs();
e.Fill = newSyntheticFill;
OnSyntheticSpreadFilled(e);
return(newSyntheticFill);
}
