internal static bool AddAndVerify(OrderBook orderBook, IOrder order, bool matchExpected, bool completeExpected = false,
OrderConditions conditions = 0)
{
var matched = orderBook.Add(order, conditions);
if (matched == matchExpected)
{
if (completeExpected)
{
return(OrderState.Complete == (order as SimpleOrder)?.State);
}
else if ((conditions & OrderConditions.ImmediateOrCancel) != 0)
{
return(OrderState.Cancelled == (order as SimpleOrder)?.State);
}
else
{
return(OrderState.Accepted == (order as SimpleOrder)?.State);
}
}
else
{
return(false);
}
}
public OrderTracker(Order order, OrderConditions conditions)
{
Order = order;
Conditions = conditions;
Open = order.Quantity;
}
public FillChecker(IOrder order, Quantity filledQuantity, int filledCost, OrderConditions conditions = 0)
{
Order = order;
ExpectedFilledQuantity = (order as SimpleOrder).FilledQuantity + filledQuantity;
ExpectedOpenQuantity = (order as SimpleOrder).OrderQty - ExpectedFilledQuantity;
ExpectedFilledCost = (order as SimpleOrder).FilledCost + filledCost;
Conditions = conditions;
}
protected virtual bool ValidateOrder(Order order, OrderConditions conditions)
{
if (order.Quantity == 0)
{
OnRejected(order, "Quantity must be positive", Transaction);
return(false);
}
return(true);
}
public SimpleOrder(bool isBuy, Price price, Quantity quantity, Price stopPrice, OrderConditions conditions = 0)
{
IsBuy = isBuy;
Price = price;
OrderQty = quantity;
StopPrice = stopPrice;
Conditions = conditions;
OrderId = ++LastOrderId;
State = OrderState.New;
}
public SimpleOrder(bool isBuy, Price price, Quantity quantity, Price stopPrice, OrderConditions conditions = 0, string orderIdExt = null, string orderDomain = null)
{
IsBuy = isBuy;
Price = price;
OrderQty = quantity;
StopPrice = stopPrice;
Conditions = conditions;
OrderId = ++LastOrderId;
State = OrderState.New;
OrderIdExt = string.IsNullOrEmpty(orderIdExt) ? string.Empty : orderIdExt;
OrderDomain = string.IsNullOrEmpty(orderDomain) ? string.Empty : orderDomain;
}
public OrderTracker(IOrder order, OrderConditions condition, bool liquibookOrderKnowsConditions = false)
{
Order = order;
_openQuantity = order.OrderQty;
Reserved = 0;
Conditions = condition;
if (liquibookOrderKnowsConditions)
{
if (order.AllOrNone)
{
Conditions = condition | OrderConditions.AllOrNone;
}
if (order.ImmediateOrCancel)
{
Conditions = condition | OrderConditions.ImmediateOrCancel;
}
}
}
public virtual bool Add(Order order, OrderConditions conditions = OrderConditions.None)
{
++Transaction;
bool matched = false;
if (!ValidateOrder(order, conditions))
{
// rejected
}
else
{
double price = SortPrice(order);
OrderTracker tracker = new OrderTracker(order, conditions);
matched = AddOrder(tracker, price);
if (matched)
{
// add tracker.Filled to OnAccepted
OnAccepted(order, Transaction, tracker.Filled);
}
else
{
OnAccepted(order, Transaction, 0);
}
if (tracker.IsImmediate && !tracker.IsFilled)
{
// cancel order, transaction
OnCanceled(order, 0, Transaction);
}
// update this, transaction
OnBookUpdated(Transaction);
}
return(matched);
}
