/// <summary>
/// Argument Constructor
/// </summary>
/// <param name="tradeSide">Represents the side which was responsible for starting the Trade</param>
/// <param name="tradeSize">Size of Trade depending upon the Order Size which strated the Trade</param>
/// <param name="executionPrice">Price at which the order is executed</param>
/// <param name="executionProvider">Order Execution Provider On which the executions take place</param>
/// <param name="executionId">Execution ID for Order which initiated the Trade</param>
/// <param name="security">Security/Symbol for which the Order Executions are occuring</param>
/// <param name="startTime">Execution time to be used for Trade Start Time</param>
public Trade(TradeSide tradeSide, int tradeSize, decimal executionPrice, string executionProvider, string executionId, Security security, DateTime startTime)
{
// Save Information
_tradeSide = tradeSide;
_tradeSize = tradeSize;
_executionProvider = executionProvider;
_security = security;
_startTime = startTime;
// Initialize
_executionDetails = new Dictionary <string, int>();
// Set initial Position value
_position = tradeSize;
// Set initial PnL value
_profitAndLoss = executionPrice * tradeSize;
// Set value to 'Negative' if the Trade side is 'SELL'
if (tradeSide.Equals(Constants.TradeSide.Sell))
{
_position *= -1;
_tradeSize *= -1;
_profitAndLoss *= -1;
}
// Add initial values to the local Map
_executionDetails.Add(executionId, _position);
}
/// <summary>
/// Add new execution details to the current Trade
/// </summary>
/// <param name="executionId">Unique Execution ID</param>
/// <param name="executionSize">Shares filled in the current execution</param>
/// <param name="executionPrice">Price at which the order is executed</param>
/// <param name="executionTime">Execution Time</param>
/// <returns>Remaining amount from the Execution Size after adding it into the current Trade</returns>
public int Add(string executionId, int executionSize, decimal executionPrice, DateTime executionTime)
{
// Process only if the Trade is still Open
if (!IsComplete())
{
// Process Execution Size to be added to the current Trade
// If the start Trade is BUY incoming executions will be 'Negative'
if (_tradeSide.Equals(Constants.TradeSide.Buy))
{
executionSize *= -1;
}
// Get remaining Position size
int remainingPosition = _position + executionSize;
// Check if the Trade is complete.
// Check if incoming execution can be fully utilized.
if (remainingPosition == 0 || HaveSameSign(_position, remainingPosition))
{
// Trade is complete if Remaining Position equals '0' else Update the current Position
_position = remainingPosition;
// Add Execution Details to local Map
_executionDetails.Add(executionId, executionSize);
// Update PnL value
_profitAndLoss += (executionPrice * executionSize);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Trade Updated with Size: " + executionSize + " ExecutionID: " + executionId, _type.FullName, "Add");
Logger.Debug(this.ToString(), _type.FullName, "Add");
}
// Check if the Trade is complete
if (IsComplete())
{
// Set Execution Time as Completion for the Trade
_completionTime = executionTime;
}
// Indicates the incoming execution size was fully utilized
return(0);
}
// Incoming execution is more than whats need to complete the trade
else
{
// Get execution size which can be utilized
int executionSizeToUse = Math.Abs(executionSize) - (Math.Abs(remainingPosition));
// Update Position
_position = 0;
// If the start Trade is BUY execution size to use will be 'Negative'
if (_tradeSide.Equals(Constants.TradeSide.Buy))
{
executionSizeToUse *= -1;
}
// Add Execution Details to local Map
_executionDetails.Add(executionId, executionSizeToUse);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Trade Updated with Size: " + executionSize + " ExecutionID: " + executionId, _type.FullName, "Add");
Logger.Debug(this.ToString(), _type.FullName, "Add");
}
// Update PnL value
_profitAndLoss += (executionPrice * executionSizeToUse);
// Check if the Trade is complete
if (IsComplete())
{
// Set Execution Time as Completion for the Trade
_completionTime = executionTime;
}
// Return the execution size which was not utilized
return(Math.Abs(remainingPosition));
}
}
// Indicates nothing was utilized
return(executionSize);
}