//public new void SetAttributes(Dictionary<string, string> attributes, ref Dictionary<string, string> unusedAttributes)
public new void AddSubElement(IStringifiable subElement)
{
Type type = subElement.GetType();
if (type == typeof(RejectedFills.RecentKeyList))
{
m_RecentKeys = (RejectedFills.RecentKeyList)subElement;
}
else if (type == typeof(RejectedFills.RejectedFillEventArgs))
{
RejectedFills.RejectedFillEventArgs reject = (RejectedFills.RejectedFillEventArgs)subElement;
bool isDuplicate = false;
int n = 0;
while ((!isDuplicate) && (n < m_RejectedFills.Count))
{
isDuplicate = reject.OriginalFillEventArg.IsSameAs(m_RejectedFills[n].OriginalFillEventArg);
n++;
}
if (!isDuplicate)
{
reject.Name = this.Name;// Temp- to add information
m_RejectedFills.Add(reject);
}
}
else
{
base.AddSubElement(subElement);
}
}
//
#endregion//Properties
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
/// <summary>
/// Must be called by GUI thread.
/// </summary>
private void UpdateSelectedItem(RejectedFillEventArgs selectedItem)
{
if (selectedItem == null)
{
// Clean all the boxes.
textBoxRejectionMessage.Text = string.Empty;
textReason.Text = string.Empty;
// Fill details
textInstrumentName.Text = string.Empty;
textBoxFillDetails.Text = string.Empty;
textDateTimeExchange.Text = string.Empty;
textDateTimeLocal.Text = string.Empty;
}
else
{
textBoxRejectionMessage.Text = selectedItem.Message;
textReason.Text = selectedItem.Reason.ToString();
// Fill details
textInstrumentName.Text = selectedItem.Name.FullName;
textBoxFillDetails.Text = selectedItem.OriginalFillEventArg.Fill.ToString();
textDateTimeExchange.Text = selectedItem.OriginalFillEventArg.Fill.ExchangeTime.ToString(Strings.FormatDateTimeZone);
textDateTimeLocal.Text = selectedItem.OriginalFillEventArg.Fill.LocalTime.ToString(Strings.FormatDateTimeZone);
}
}
} // TryAdd()
//
//
//
// *************************************************************
// **** Is Fill New() ****
// *************************************************************
/// <summary>
/// This method examines a fill event and tries to determine whether or not the fill
/// is known to this fill book, or is new. If its not new, an explanation is returned as
/// an RejectedFillEventArg.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <param name="rejectedEventArgs">Rejected fill: null when true, but can be null/not null when false</param>
/// <returns>True if this fill seems to be new to our book.</returns>
public bool IsFillNew(FillEventArgs fillEventArgs, out RejectedFills.RejectedFillEventArgs rejectedEventArgs)
{
rejectedEventArgs = null;
// Accept user adjusted fills always.
if (fillEventArgs.Type == FillType.UserAdjustment)
{
return(true);
}
// Accept adjusted fills always.
if (fillEventArgs.Type == FillType.Adjustment)
{
return(true);
}
// Exchange time stamp events. (Note some fills like UserAdjusted fills don't have Exchange time stamps.)
if (fillEventArgs.Fill.ExchangeTime.CompareTo(DateTime.MinValue) > 0)
{
TimeSpan ts = (fillEventArgs.Fill.ExchangeTime).Subtract(this.ExchangeTimeLast); // time since last fill.
if (ts.TotalHours > 0) // fills after the last fill are always reasonable.
{
return(true);
}
// Reject if fill is extremely old. That is, our book has more recent fills.
if (ts.Add(MaxAllowedFillLatency).TotalHours < 0)
{
string msg = string.Format("Bad fill time {0}. Book last {1}. Earlier by {2} hours.", fillEventArgs.Fill.ExchangeTime.ToString(Strings.FormatDateTimeZone), base.ExchangeTimeLast.ToString(Strings.FormatDateTimeZone), ts.TotalHours.ToString("0.0"));
rejectedEventArgs = TriggerRejectionEvent(fillEventArgs, RejectedFills.RejectionReason.ExcessiveLateness, msg);
return(false);
}
}
// Reject if we have actually seen fill key before. We don't do this test right off because its slow.
if (fillEventArgs.FillKey != null && m_RecentKeys.Contains(fillEventArgs.FillKey))
{
string msg = string.Format("{0} already in book {1}.", fillEventArgs.FillKey, this.Name);
rejectedEventArgs = TriggerRejectionEvent(fillEventArgs, RejectedFills.RejectionReason.DuplicateKey, msg);
return(false);
}
// Can't find any reason to reject.
return(true);
}// IsFillAcceptable()
//
#endregion//Public Methods
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
//
//
private RejectedFills.RejectedFillEventArgs TriggerRejectionEvent(FillEventArgs rejectedFill, RejectedFills.RejectionReason reason, string rejectionMessage)
{
// Make sure this rejection is new.
bool isDuplicate = false;
int n = 0;
while ((!isDuplicate) && n < m_RejectedFills.Count)
{
isDuplicate = rejectedFill.IsSameAs(m_RejectedFills[n].OriginalFillEventArg);
n++;
}
RejectedFills.RejectedFillEventArgs rejectedEventArgs = new RejectedFills.RejectedFillEventArgs(this.Name, rejectedFill, reason, rejectionMessage);
if (!isDuplicate)
{ // Don't event if this is a duplicate rejection (previously rejected that is).
//RejectedFills.RejectedFillEventArgs rejectedEventArgs = new RejectedFills.RejectedFillEventArgs(this.Name, rejectedFill, reason, rejectionMessage);
this.m_RejectedFills.Add(rejectedEventArgs); // The storing of this rejection notification, is like triggering event.
return(rejectedEventArgs);
}
else
{
return(rejectedEventArgs); // this is a rejection that we have already seen (in previous run, probably).
}
}
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Try Add() ****
// *****************************************************************
/// <summary>
/// A fill event is presented to the book for acceptance. The fill event is checked for validity,
/// and if good added to the book. If not, a rejection event argument is created for caller.
/// </summary>
/// <param name="eventArg">fill event argument</param>
/// <param name="rejection">rejection event create if false is returned</param>
/// <returns>true if fill can be accepted, false if not.</returns>
public bool TryAdd(FillEventArgs eventArg, out RejectedFills.RejectedFillEventArgs rejection)
{
rejection = null;
InstrumentKey key = eventArg.TTInstrumentKey;
if (this.IsFillNew(eventArg, out rejection))
{
// Add fill to book
UV.Lib.OrderHubs.Fill aFill = eventArg.Fill;
base.Add(aFill);
// Update fill identification tables
if (m_RecentKeys == null)
{
m_RecentKeys = new RejectedFills.RecentKeyList();
}
m_RecentKeys.Add(eventArg.FillKey);
// Process rejections that are now accepted.
if (eventArg.Type == FillType.UserAdjustment)
{
int n = 0;
while (n < m_RejectedFills.Count)
{
if (m_RejectedFills[n].OriginalFillEventArg.IsSameAs(eventArg))
{
m_RejectedFills.RemoveAt(n);
break;
}
n++;
}
}
return(true);
}
else
{
return(false);
}
/*
* if (eventArg.Type == FillType.Historic || eventArg.Type == FillType.InitialPosition)
* { // If a fill is historic or initial, it needs to be verified that we have not already
* // incorporated this fill into our book in the past.
* // Other fills are blindly accepted since they should not have been seen before.
* if (this.IsFillNew(eventArg, out rejection))
* {
* base.Add(aFill);
* if (m_RecentKeys == null)
* m_RecentKeys = new RejectedFills.RecentKeyList();
* m_RecentKeys.Add(eventArg.FillKey);
* }
* else
* {
* return false;
* }
* }
* else
* { // Other kinds of fills; including "New" and "UserAdjustments" are always accepted as they
* // come in.
* base.Add(aFill);
* if (m_RecentKeys == null)
* m_RecentKeys = new RejectedFills.RecentKeyList();
* m_RecentKeys.Add(eventArg.FillKey);
* }
* return true;
*/
} // TryAdd()
}// UpdateRejectList()
//
//
/// <summary>
/// Must be called by GUI thread.
/// </summary>
private void ResubmitRejectedFills(RejectedFillEventArgs selectedItem)
{
selectedItem.Reason = RejectionReason.ResubmissionRequestedByUser; // mark this as user resubmission request
m_FillHub.HubEventEnqueue(selectedItem);
}
