/// <summary>
/// fill against bid and ask rather than trade
/// </summary>
/// <param name="k"></param>
/// <param name="c"></param>
/// <param name="bidask"></param>
/// <param name="fillOpg"></param>
/// <returns></returns>
public StatusType Fill(Tick k, BrokerModel c, bool bidask, bool fillOpg)
{
if (!bidask)
{
return(Fill(k, c, fillOpg));
}
// buyer has to match with seller and vice verca
bool ok = Direction == Direction.Long ? k.HasAsk : k.HasBid;
if (!ok)
{
return(StatusType.OFF_QUOTES);
}
//Get price and spread from tick and transaction costs
decimal p = Direction == Direction.Long ? k.Ask : k.Bid;
p = ImpactPriceSpread(p, c.GetSpread(this));
int s = Direction == Direction.Long ? k.AskSize : k.BidSize;
if (k.Symbol != Symbol)
{
return(StatusType.OK);
}
if (!fillOpg && (ValidInstruct == OrderInstructionType.OPG))
{
return(StatusType.INVALID_TRADE_PARAMETERS);
}
if (Created.AddMilliseconds(c.GetLatencyInMilliseconds(this)) > k.TickDateTime)
{
return(StatusType.OK);
}
if ((Type == OrderType.Limit && Direction == Direction.Long && (p <= LimitPrice)) || // buy limit
(Type == OrderType.Limit && Direction == Direction.Short && (p >= LimitPrice)) || // sell limit
(Type == OrderType.Stop && Direction == Direction.Long && (p >= StopPrice)) || // buy stop
(Type == OrderType.Stop && Direction == Direction.Short && (p <= StopPrice)) || // sell stop
(Type == OrderType.StopLimit && Direction == Direction.Long && (p >= StopPrice) && (p <= LimitPrice)) || // buy stop limit
(Type == OrderType.StopLimit && Direction == Direction.Short && (p <= StopPrice) && (p >= LimitPrice)) || // sell stop limit
Type == OrderType.Market)
{
//Get trade price (factoring in slippage)
Xprice = ImpactPriceSlippage(p, c.GetSlippage(this));
//Set commissions
Commission = c.GetCommission(this);
Xsize = Math.Abs(Xsize);
Xsize = (s >= UnsignedSize ? UnsignedSize : s) * (Direction == Direction.Long ? 1 : -1);
Xtime = k.Time;
Xdate = k.Date;
return(StatusType.ORDER_FILLED);
}
return(StatusType.OK);
}
public ResponseEntry(IDnsQueryResponse response, double ttlInMS)
{
Debug.Assert(response != null);
Debug.Assert(ttlInMS >= 0);
Response = response;
TTL = ttlInMS;
Created = DateTimeOffset.UtcNow;
ExpiresAt = Created.AddMilliseconds(TTL);
}
