public void OnOrderFilled(SessionID sessionID, OrderMatch match)
{
// Send the order filled execution report to the owning session
var message = _messageGenerator.CreateFillReport(match, _execIdGenerator());
_fixFacade.SendToTarget(message, sessionID);
}
public bool Visit(OrderMatch msg)
{
Condition.Requires(msg.MakerOrderId, "msg.MakerOrderId").IsNotNull();
Condition.Requires(msg.TakerOrderId, "msg.TakerOrderId").IsNotNull();
Order order;
if (_manager._openOrders.TryGetValue(msg.TakerOrderId, out order))
{
if (_manager._openOrders.ContainsKey(msg.MakerOrderId))
{
throw new Exception("Self trade");
}
}
else if (!_manager._openOrders.TryGetValue(msg.MakerOrderId, out order))
{
return(false);
}
Condition.Requires(msg.Size, "msg.Size").IsLessOrEqual(order.Unfilled);
order.Unfilled -= msg.Size;
PublishUpdate(msg, order, new Fill()
{
Size = msg.Size, Price = msg.Price
}, finished: false);
// This is the only place where any overload of Visit() in MessageHandler returns true.
return(true);
}
// From fixprotocol.org:
// CumQty: Currently executed shares for chain of orders.
// LeavesQty: Amount of shares open for further execution. If the OrdStatus is Canceled,
// DoneForTheDay, Expired, Calculated, or Rejected (in which case the order
// is no longer active) then LeavesQty could be 0,
// otherwise LeavesQty = OrderQty - CumQty.
// LastShares: Quantity of shares bought/sold on this (last) fill.
//
// Also see http://www.onixs.biz/fix-dictionary/4.2/msgType_8_8.html
// The general rule is: OrderQty <38> = CumQty <14> + LeavesQty <151>.
public Message CreateFillReport(OrderMatch match, string execID)
{
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
new Symbol(match.Contract.Symbol),
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastShares = new LastShares(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
{
exReport.SetField(new Account(match.Account.Name));
}
return(exReport);
}
public SendOrderFill(SessionMediator sessionMediator,
OrderMatch orderMatch,
FixSessionID sessionID)
{
_sessionMediator = sessionMediator;
_orderMatch = orderMatch;
_sessionID = sessionID;
}
public void OnOrderFilled(SessionID sessionID, OrderMatch match)
{
// Send the order filled execution report to the owning session
var message = _messageGenerator.CreateFillReport(match, _execIdGenerator());
_fixFacade.SendToTarget(message, sessionID);
// TODO Send the trade message to other connections
//var loggedInSessions = _sessionMediator.GetLoggedInSessions();
}
private static void AssertEqual(OrderMatch e, OrderMatch a)
{
const string messageBase = "Expected and actual matches differ on ";
Assert.AreEqual(e.OrderID, a.OrderID, messageBase + "OrderID");
Assert.AreEqual(e.Price, a.Price, messageBase + "Price");
Assert.AreEqual(e.MatchedQuantity, a.MatchedQuantity, "MatchedQuantity");
Assert.AreEqual(e.RemainingQuantity, a.RemainingQuantity, "RemainingQuantity");
Assert.AreEqual(e.Contract, a.Contract, "Contract");
Assert.AreEqual(e.MatchType, a.MatchType, "MatchType");
}
public void OrderFilled(FixSessionID ownerSessionID, OrderMatch matchDetails)
{
// If we ever support owner details etc then filter those out is session != sessionID
foreach (var sessionID in GetAllLoggedInSessions())
{
var fixID = _sessionIDMap.GetBySecond(sessionID);
Action <IFixMessageHandler> messageSendF =
handler => handler.OnOrderFilled(fixID, matchDetails);
_sessionRepository.SendMessageToHandler(sessionID, messageSendF);
}
}
/// <summary>
/// Match using specified time-in-force logic.
/// </summary>
/// <param name="timeInForce">Order time in force</param>
/// <returns>Matching effects</returns>
public ExchangeUpdate Match()
{
var counterOrder = orderbook.Head;
var nextOrder = default(Order);
var updates = new ExchangeUpdate(asset, new DateTime(resultEffects.Quantum.Timestamp, DateTimeKind.Utc));
var tradeAssetAmount = 0L;
var tradeQuoteAmount = 0L;
//orders in the orderbook are already sorted by price and age, so we can iterate through them in natural order
while (counterOrder != null)
{
//we need get next order here, otherwise Next will be null after the counter order removed
nextOrder = counterOrder?.Next;
//check that counter order price matches our order
if (side == OrderSide.Sell && counterOrder.Price < takerOrder.Price ||
side == OrderSide.Buy && counterOrder.Price > takerOrder.Price)
{
break;
}
var availableOrderAmount = takerOrder.Amount - tradeAssetAmount;
var match = new OrderMatch(this, availableOrderAmount, counterOrder);
var matchUpdates = match.ProcessOrderMatch();
updates.Trades.Add(matchUpdates.trade);
updates.OrderUpdates.Add(matchUpdates.counterOrder);
tradeAssetAmount += matchUpdates.trade.Amount;
tradeQuoteAmount += matchUpdates.trade.QuoteAmount;
//stop if incoming order has been executed in full
if (tradeAssetAmount == takerOrder.Amount)
{
break;
}
counterOrder = nextOrder;
}
RecordTrade(tradeAssetAmount, tradeQuoteAmount);
if (timeInForce == TimeInForce.GoodTillExpire && PlaceReminderOrder())
{
updates.OrderUpdates.Add(takerOrder.ToOrderInfo());
}
return(updates);
}
protected void Matches_ItemCommand(object sender, RepeaterCommandEventArgs e)
{
if (e.CommandName == "New")
{
OrderMatchList matches = GetMatches();
OrderMatch match = new OrderMatch();
matches.Insert(e.Item.ItemIndex + 1, match);
DataSource = matches;
DataBindChildren();
}
else if (e.CommandName == "Delete")
{
OrderMatchList matches = GetMatches();
matches.RemoveAt(e.Item.ItemIndex);
DataSource = matches;
DataBindChildren();
}
}
static void ChangeScriptOrder(string scriptName, int order, OrderMatch match = OrderMatch.EXACT)
{
// Iterate through all scripts (Might be a better way to do this?)
foreach (MonoScript monoScript in MonoImporter.GetAllRuntimeMonoScripts())
{
// If found our script
if (monoScript.name == scriptName)
{
if (match == OrderMatch.EXACT)
{
// And it's not at the execution time we want already
if (MonoImporter.GetExecutionOrder(monoScript) != order)
{
MonoImporter.SetExecutionOrder(monoScript, order);
}
break;
}
if (match == OrderMatch.LESSER_THAN)
{
// And it's not at the execution time we want already
if (MonoImporter.GetExecutionOrder(monoScript) > order)
{
MonoImporter.SetExecutionOrder(monoScript, order);
}
break;
}
if (match == OrderMatch.GREATER_THAN)
{
// And it's not at the execution time we want already
if (MonoImporter.GetExecutionOrder(monoScript) < order)
{
MonoImporter.SetExecutionOrder(monoScript, order);
}
break;
}
}
}
}
private void OnOrderMatched(OrderMatch matchDetails, FixSessionID sessionID)
{
var cmd = _commandFactory.CreateSendOrderFill(matchDetails, sessionID);
_outputQueue.Enqueue(cmd);
}
public EnumerableOrderComparisonAttribute(OrderMatch option)
{
Option = option;
}
public void Execute()
{
//Execute matching price
int x = 0;
var asks = Asks.ToList();
List <Order> completedAsks = new List <Order>();
foreach (var bid in Bids)
{
x++;
//asks = asks.Where(x => x.Price <= bid.Price).Where(x => x.Remaining != 0).ToList();
asks = asks.Where(x => x.Remaining != 0).Where(x => x.Price <= bid.Price).ToList();
if (asks.Count() == 0)
{
break;
}
Console.WriteLine($"Working bid No. {x}, remaining asks: {asks.Count()}");
for (int askIndex = 0; askIndex < Asks.Count(); askIndex++)
{
//if (askIndex >= asks.Count())
// break;
var ask = Asks[askIndex];
if (ask.Remaining == 0)
{
continue;
}
if (bid.Price >= ask.Price)
{//match
decimal btcAmount = 0;
OrderMatch match = new OrderMatch(ask.Id, bid.Id);
if (bid.Remaining / ask.Price > ask.Remaining)
{
btcAmount = ask.Remaining;
}
else
{
btcAmount = bid.Remaining / ask.Price;
}
if (btcAmount > ask.Remaining)
{
var matches = OrderMatches.Where(x => x.AskId == ask.Id);
Console.WriteLine("WTF?");
}
//Add Match to list and fix ask and bid
ask.Completed += btcAmount;
bid.Completed += btcAmount * ask.Price;
match.BTC = btcAmount;
match.Price = ask.Price;
match.EUR = btcAmount * ask.Price;
OrderMatches.Add(match);
//Console.WriteLine($"Working bid No. {x}, ask No. {askIndex}, bid remaining: {bid.Remaining}, ask remaining: {ask.Remaining}");
if (ask.Remaining == 0)
{
completedAsks.Add(ask);
}
if (bid.Remaining == 0)
{
break;
}
}
}
}
Console.WriteLine($"Completed {completedAsks.Count()} Asks");
//foreach (var ask in removeAsks)
// Asks.Remove(ask);
}
private List <SampleOrderResult> GetSampleOrders(GridViewRow row, out int count)
{
GridView grid = (GridView)row.FindControl("SampleShippingCosts");
OrderRule rule = new OrderRule(Rules.DataKeys[row.RowIndex].Value.ToString());
rule.Matches.AddRange(
((BVModules_Shipping_Order_Rules_OrderMatchEditor)row.FindControl("OrderMatchEditor")).GetMatches());
rule.Value = Decimal.Parse(((TextBox)row.FindControl("ValueField")).Text);
rule.ValueCustomProperty = ((DropDownList)row.FindControl("ValueCustomPropertyField")).SelectedValue;
rule.ValueItemPropertyAsString = ((DropDownList)row.FindControl("ValueItemPropertyField")).SelectedValue;
rule.ValuePackagePropertyAsString = ((DropDownList)row.FindControl("ValuePackagePropertyField")).SelectedValue;
rule.ValuePropertyAsString = ((DropDownList)row.FindControl("ValueOrderPropertyField")).SelectedValue;
count = 0;
// Scan all placed orders
List <SampleOrderResult> results = new List <SampleOrderResult>();
foreach (Order order in Order.FindByCriteria(new OrderSearchCriteria()))
{
Order heavyOrder = Order.FindByBvin(order.Bvin);
// "Unship" all of the items so that the samples look like they
// were just placed. Skip any orders with deleted items.
bool skipOrder = false;
foreach (LineItem lineitem in heavyOrder.Items)
{
if (lineitem.AssociatedProduct == null || lineitem.AssociatedProduct.ShippingMode == ShippingMode.None)
{
skipOrder = true;
}
else
{
lineitem.QuantityShipped = 0;
}
}
if (skipOrder)
{
break;
}
if (rule.IsMatch(heavyOrder))
{
count += 1;
if (count > grid.PageSize * 5)
{
break;
}
SampleOrderResult result = new SampleOrderResult();
result.OrderNumber = order.OrderNumber;
result.OrderDisplay = string.Format("<a href=\"{0}\" target=\"order\">{1}</a>",
Page.ResolveUrl(
string.Format("~/BVAdmin/Orders/ViewOrder.aspx?id={0}",
order.Bvin)),
order.OrderNumber);
List <string> matchValues = new List <string>();
List <string> limitValues = new List <string>();
if (rule.IsDefaultRule)
{
matchValues.Add("n/a");
limitValues.Add("n/a");
}
else
{
for (int index = 0; index < rule.Matches.Count; index++)
{
OrderMatch match = rule.Matches[index];
string matchValue =
OrderPropertiesHelper.GetOrderPropertyValue(heavyOrder, match.OrderProperty, match.PackageProperty,
match.ItemProperty, match.CustomProperty, "1").ToString();
if (string.IsNullOrEmpty(matchValue))
{
matchValue = "(empty)";
}
matchValues.Add(matchValue);
string limitValue =
OrderPropertiesHelper.GetOrderPropertyValue(heavyOrder, match.LimitOrderProperty, match.LimitPackageProperty,
match.LimitItemProperty, match.LimitCustomProperty, match.Limit).ToString();
if (string.IsNullOrEmpty(limitValue))
{
limitValue = "(empty)";
}
limitValues.Add(limitValue);
}
}
result.MatchValues = string.Join(", ", matchValues.ToArray());
result.LimitValues = string.Join(", ", limitValues.ToArray());
object value =
OrderPropertiesHelper.GetOrderPropertyValue(heavyOrder, rule.ValueOrderProperty, rule.ValuePackageProperty,
rule.ValueItemProperty, rule.ValueCustomProperty, "1");
result.Value = value == null ? "n/a" : value.ToString();
if (String.IsNullOrEmpty(result.Value))
{
result.Value = "(empty)";
}
ShippingRate rate =
new ShippingRate(((OrderRulesEditor)NamingContainer).NameFieldText, string.Empty, string.Empty,
0, string.Empty);
decimal?cost = rule.GetCost(heavyOrder);
if (cost.HasValue)
{
rate.Rate = cost.Value;
result.RateDisplay = rate.RateAndNameForDisplay;
}
else
{
result.RateDisplay = "Hidden";
}
results.Add(result);
}
}
results.Sort();
return(results);
}
public ICommand CreateSendOrderFill(OrderMatch orderMatch, FixSessionID sessionID)
{
return(new SendOrderFill(_sessionMediator, orderMatch, sessionID));
}
protected void Matches_ItemCreated(object sender, RepeaterItemEventArgs e)
{
if (e.Item.ItemType == ListItemType.Item || e.Item.ItemType == ListItemType.AlternatingItem)
{
OrderMatchList matches = (OrderMatchList)DataSource;
OrderMatch match = matches[e.Item.ItemIndex];
DropDownList orderPropertyList = (DropDownList)e.Item.FindControl("MatchOrderPropertyField");
DropDownList itemPropertyList = (DropDownList)e.Item.FindControl("MatchItemPropertyField");
DropDownList packagePropertyList = (DropDownList)e.Item.FindControl("MatchPackagePropertyField");
DropDownList customPropertyList = (DropDownList)e.Item.FindControl("MatchCustomPropertyField");
DropDownList comparisonList = (DropDownList)e.Item.FindControl("MatchComparisonTypeField");
DropDownList limitOrderPropertyList = (DropDownList)e.Item.FindControl("LimitOrderPropertyField");
DropDownList limitPackagePropertyList = (DropDownList)e.Item.FindControl("LimitPackagePropertyField");
DropDownList limitItemPropertyList = (DropDownList)e.Item.FindControl("LimitItemPropertyField");
DropDownList limitCustomPropertyList = (DropDownList)e.Item.FindControl("LimitCustomPropertyField");
HelpLabel customPropertyLabel = (HelpLabel)e.Item.FindControl("MatchCustomPropertyLabel");
HelpLabel limitCustomPropertyLabel = (HelpLabel)e.Item.FindControl("LimitCustomPropertyLabel");
Label multiplierLabel = (Label)e.Item.FindControl("LimitMultiplierLabel");
HelpLabel limitLabel = (HelpLabel)e.Item.FindControl("LimitLabel");
TextBox limitField = (TextBox)e.Item.FindControl("LimitField");
BaseValidator limitRequired = (BaseValidator)e.Item.FindControl("LimitRequired");
BaseValidator limitNumeric = (BaseValidator)e.Item.FindControl("LimitNumeric");
orderPropertyList.Items.Clear();
orderPropertyList.Items.AddRange(GetMatchOrderProperties());
itemPropertyList.Items.Clear();
itemPropertyList.Items.AddRange(GetItemProperties());
itemPropertyList.Visible = false;
packagePropertyList.Items.Clear();
packagePropertyList.Items.AddRange(GetPackageProperties());
packagePropertyList.Visible = false;
customPropertyList.Visible = false;
if (match.OrderProperty == OrderProperties.ItemProperty)
{
itemPropertyList.Visible = true;
PrepareCustomPropertyField(customPropertyLabel, customPropertyList, match.ItemProperty);
}
else if (match.OrderProperty == OrderProperties.PackageProperty)
{
packagePropertyList.Visible = true;
PrepareCustomPropertyField(customPropertyLabel, customPropertyList, match.PackageProperty);
}
else
{
PrepareCustomPropertyField(customPropertyLabel, customPropertyList, match.OrderProperty);
}
if (customPropertyList.Items.Count == 0)
{
customPropertyList.Items.Add(new ListItem("", match.CustomProperty));
}
if (customPropertyList.Items.FindByValue(match.CustomProperty) == null)
{
match.CustomProperty = customPropertyList.Items[0].Value;
}
comparisonList.Items.Clear();
comparisonList.Items.AddRange(GetComparisons());
limitOrderPropertyList.Items.Clear();
limitOrderPropertyList.Items.AddRange(GetLimitOrderProperties());
limitItemPropertyList.Items.Clear();
limitItemPropertyList.Items.AddRange(GetItemProperties());
limitItemPropertyList.Visible = false;
limitPackagePropertyList.Items.Clear();
limitPackagePropertyList.Items.AddRange(GetPackageProperties());
limitPackagePropertyList.Visible = false;
limitCustomPropertyList.Visible = false;
multiplierLabel.Visible = match.LimitOrderProperty != OrderProperties.FixedAmountOne;
if (match.LimitOrderProperty == OrderProperties.ItemProperty)
{
limitItemPropertyList.Visible = true;
PrepareCustomPropertyField(limitCustomPropertyLabel, limitCustomPropertyList, match.LimitItemProperty);
PrepareLimitField(multiplierLabel, limitLabel, limitField, limitRequired, limitNumeric,
match.LimitItemProperty);
}
else if (match.LimitOrderProperty == OrderProperties.PackageProperty)
{
limitPackagePropertyList.Visible = true;
PrepareCustomPropertyField(limitCustomPropertyLabel, limitCustomPropertyList, match.LimitPackageProperty);
PrepareLimitField(multiplierLabel, limitLabel, limitField, limitRequired, limitNumeric,
match.LimitPackageProperty);
}
else
{
PrepareCustomPropertyField(limitCustomPropertyLabel, limitCustomPropertyList, match.LimitOrderProperty);
PrepareLimitField(multiplierLabel, limitLabel, limitField, limitRequired, limitNumeric,
match.LimitOrderProperty);
}
if (limitCustomPropertyList.Items.Count == 0)
{
limitCustomPropertyList.Items.Add(new ListItem("", match.LimitCustomProperty));
}
if (limitCustomPropertyList.Items.FindByValue(match.LimitCustomProperty) == null)
{
match.LimitCustomProperty = limitCustomPropertyList.Items[0].Value;
}
}
}
public EntityListOrderParameter(OrderMatch order)
{
this.order = order;
}