/// <summary>
/// Initializes a new instance of the <see cref="OrderFilled"/> class.
/// </summary>
/// <param name="accountId">The event account identifier.</param>
/// <param name="orderId">The event order identifier.</param>
/// <param name="executionId">The event order execution identifier.</param>
/// <param name="positionIdBroker">The event order execution ticket.</param>
/// <param name="symbol">The event order symbol.</param>
/// <param name="orderSide">The event order side.</param>
/// <param name="filledQuantity">The event order filled quantity.</param>
/// <param name="averagePrice">The event order average price.</param>
/// <param name="quoteCurrency">The event order quote currency.</param>
/// <param name="executionTime">The event order execution time.</param>
/// <param name="eventId">The event identifier.</param>
/// <param name="eventTimestamp">The event timestamp.</param>
public OrderFilled(
AccountId accountId,
OrderId orderId,
ExecutionId executionId,
PositionIdBroker positionIdBroker,
Symbol symbol,
OrderSide orderSide,
Quantity filledQuantity,
Price averagePrice,
Currency quoteCurrency,
ZonedDateTime executionTime,
Guid eventId,
ZonedDateTime eventTimestamp)
: base(
accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
averagePrice,
quoteCurrency,
executionTime,
EventType,
eventId,
eventTimestamp)
{
}
private OrderPartiallyFilled GenerateOrderPartiallyFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var leavesQuantity = Quantity.Create(message.GetInt(Tags.LeavesQty));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderPartiallyFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
leavesQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
/// <inheritdoc />
public override PositionId?GetPositionId(AccountId accountId, PositionIdBroker positionIdBroker)
{
if (this.indexBrokerPosition.TryGetValue(positionIdBroker, out var positionId))
{
return(positionId);
}
this.Logger.LogWarning($"Cannot find PositionId for {positionIdBroker} in the database.");
return(null);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderFillEvent"/> class.
/// </summary>
/// <param name="accountId">The event account identifier.</param>
/// <param name="orderId">The event order identifier.</param>
/// <param name="executionId">The event order execution identifier.</param>
/// <param name="positionIdBroker">The event broker position identifier.</param>
/// <param name="symbol">The event order symbol.</param>
/// <param name="orderSide">The event order side.</param>
/// <param name="filledQuantity">The event order filled quantity.</param>
/// <param name="averagePrice">The event order average price.</param>
/// <param name="quoteCurrency">The event quote currency.</param>
/// <param name="executionTime">The event order execution time.</param>
/// <param name="eventType">The event type.</param>
/// <param name="eventId">The event identifier.</param>
/// <param name="eventTimestamp">The event timestamp.</param>
protected OrderFillEvent(
AccountId accountId,
OrderId orderId,
ExecutionId executionId,
PositionIdBroker positionIdBroker,
Symbol symbol,
OrderSide orderSide,
Quantity filledQuantity,
Price averagePrice,
Currency quoteCurrency,
ZonedDateTime executionTime,
Type eventType,
Guid eventId,
ZonedDateTime eventTimestamp)
: base(
orderId,
eventType,
eventId,
eventTimestamp)
{
Condition.NotDefault(orderSide, nameof(orderSide));
Condition.NotDefault(quoteCurrency, nameof(quoteCurrency));
Debug.NotDefault(executionTime, nameof(executionTime));
Debug.NotDefault(eventId, nameof(eventId));
Debug.NotDefault(eventTimestamp, nameof(eventTimestamp));
this.AccountId = accountId;
this.PositionIdBroker = positionIdBroker;
this.ExecutionId = executionId;
this.Symbol = symbol;
this.OrderSide = orderSide;
this.FilledQuantity = filledQuantity;
this.AveragePrice = averagePrice;
this.Currency = quoteCurrency;
this.ExecutionTime = executionTime;
}
/// <inheritdoc /> public abstract PositionId?GetPositionId(AccountId accountId, PositionIdBroker positionIdBroker);
