private NewAndUpdatedFilledOrders IdentifyRecentNewAndUpdatedOrders(TimeSortedCollection <FilledOrder> liveOrders, DateTime lookAfterTime)
{
// After the matching process, any unmatched filled orders will be the new filled orders
TimeSortedCollection <FilledOrder> unmatchedRecentLiveOrders = new TimeSortedCollection <FilledOrder>(
liveOrders.Where(order => order.Time >= lookAfterTime));
IList <UpdatedFilledOrder> updatedFilledOrders = new List <UpdatedFilledOrder>();
// Only retrieve orders from the last "lookbackMinutes" minutes (call it X) for matching. This assumes that:
// 1) Order times will not be updated AFTER X minutes
// 2) It takes longer than X minutes for every visible order in the live portfolio to be pushed out of view
TimeSortedCollection <FilledOrder> unmatchedRecentDbOrders = new TimeSortedCollection <FilledOrder>(
GetTodaysFilledOrders().Where(order => order.Time >= lookAfterTime));
// 1st pass: Match with exact time. DO NOT use ToList(), since it creates a copy of each of the items!
foreach (FilledOrder dbOrder in unmatchedRecentDbOrders)
{
FilledOrder?match = unmatchedRecentLiveOrders.FirstOrDefault(o => dbOrder.StrictEquals(o));
if (match != null)
{
unmatchedRecentLiveOrders.Remove(match);
unmatchedRecentDbOrders.Remove(dbOrder);
}
}
// 2nd pass: Match using closest time
foreach (FilledOrder dbOrder in unmatchedRecentDbOrders)
{
FilledOrder?match = unmatchedRecentLiveOrders.Where(o => dbOrder.EqualsIgnoreTime(o) && o.Time > dbOrder.Time).FirstOrDefault();
if (match != null)
{
unmatchedRecentLiveOrders.Remove(match);
UpdatedFilledOrder updated = new UpdatedFilledOrder(dbOrder, match);
updatedFilledOrders.Add(updated);
Log.Information("Updated order {@OldOrder} to {@NewOrder}", dbOrder, match);
}
else
{
PortfolioDatabaseException ex = new PortfolioDatabaseException("No live order matched to database order");
Log.Error(ex, "No live order matched to database order {@Order}- Symbol {Symbol}. Current live orders {@LiveOrders}", dbOrder, dbOrder.Symbol, liveOrders);
throw ex;
}
}
TimeSortedCollection <FilledOrder> newOrders = new TimeSortedCollection <FilledOrder>(unmatchedRecentLiveOrders);
return(new NewAndUpdatedFilledOrders(newOrders, updatedFilledOrders));
}
private TimeSortedCollection <FilledOrder> IdentifyOldUnseenOrders(TimeSortedCollection <FilledOrder> liveOrders, DateTime lookBeforeTime)
{
TimeSortedCollection <FilledOrder> unseenOrders = new TimeSortedCollection <FilledOrder>();
// Add any older olders that have not been seen before to the "newOrders" set.
TimeSortedCollection <FilledOrder> oldLiveOrders = new TimeSortedCollection <FilledOrder>(
liveOrders.Where(order => order.Time < lookBeforeTime));
foreach (FilledOrder oldLiveOrder in oldLiveOrders.Where(o => !OrderAlreadyExists(o)))
{
unseenOrders.Add(oldLiveOrder);
}
if (oldLiveOrders.Count > 0 && unseenOrders.Contains(oldLiveOrders.First()))
{
Log.Warning("Oldest visible live order was found to be new. This may indicate that some orders were missed.");
}
return(unseenOrders);
}