/// <summary>
/// Function: Receive execution levels for a given portfolio. This function is usually used for historical simulations.
/// </summary>
/// <param name="executionDate">reference date for the executed orders</param>
/// <param name="portfolio">reference portfolio</param>
public static void ReceiveExecutionLevels(DateTime executionDate, Portfolio portfolio)
{
Dictionary <int, Dictionary <string, Order> > orders = portfolio.OpenOrders(executionDate, true);
if (orders != null)
{
foreach (Dictionary <string, Order> os in orders.Values)
{
foreach (Order order in os.Values)
{
if (order.Status == OrderStatus.Submitted)
{
Instrument instrument = order.Instrument;
BusinessDay date = Calendar.FindCalendar("WE").GetBusinessDay(executionDate);
if (date != null)
{
double executionLevel = instrument[executionDate, TimeSeriesType.Last, instrument.InstrumentType == InstrumentType.Strategy ? TimeSeriesRollType.Last : TimeSeriesRollType.Last];
if (instrument.InstrumentType == InstrumentType.Future)
{
executionLevel *= (instrument as Future).PointSize;
}
if (!double.IsNaN(executionLevel))
{
if (order.Unit != 0.0)
{
if (true)
{
if (instrument.InstrumentType == InstrumentType.Future)
{
double n_contracts = order.Unit;
double exec_fee = 0.0;
Dictionary <int, Dictionary <int, Instruction> > instructions = Factory.Instructions();
if (instructions.ContainsKey(portfolio.ID))
{
if (instructions[portfolio.ID].ContainsKey(instrument.ID))
{
exec_fee = instructions[portfolio.ID][instrument.ID].ExecutionFee;
}
else if (instructions[portfolio.ID].ContainsKey((instrument as Future).UnderlyingID))
{
exec_fee = instructions[portfolio.ID][(instrument as Future).UnderlyingID].ExecutionFee;
}
else if (instructions[portfolio.ID].ContainsKey(0))
{
exec_fee = instructions[portfolio.ID][0].ExecutionFee;
}
}
if (instructions.ContainsKey(0))
{
if (instructions[0].ContainsKey(instrument.ID))
{
exec_fee = instructions[0][instrument.ID].ExecutionFee;
}
else if (instructions[0].ContainsKey(0))
{
exec_fee = instructions[0][0].ExecutionFee;
}
}
if (order.Unit > 0)
{
executionLevel += exec_fee;
}
else if (order.Unit < 0)
{
executionLevel -= exec_fee;
}
Instrument underlying = (instrument as Future).Underlying;
double value = underlying.ExecutionCost;
if (value < 0)
{
value = -value;
if (order.Unit > 0)
{
executionLevel += value * executionLevel;
}
else
{
executionLevel -= value * executionLevel;
}
}
else
{
value *= (instrument as Future).PointSize;
if (order.Unit > 0)
{
executionLevel += value;
}
else
{
executionLevel -= value;
}
}
}
}
}
portfolio.UpdateOrderTree(order, OrderStatus.Executed, double.NaN, executionLevel, executionDate);
}
else
{
portfolio.UpdateOrderTree(order, OrderStatus.NotExecuted, double.NaN, executionLevel, executionDate);
}
}
}
}
}
}
}
