// *****************************************************************
// **** Event Handlers ****
// *****************************************************************
//
//
// ***********************************************************
// **** Filled() ****
// ***********************************************************
//
public void Filled(UV.Lib.Fills.FillEventArgs fillEventArgs)
{
UVFill fill = fillEventArgs.Fill;
if (UpdateAndCheckTotalFillCounts(fill) | PnLCheck())
{ // Take the fill and update our counts and PnL, checking both.
FlagRiskEvents();
}
}
// *****************************************************************
// **** Event Handlers ****
// *****************************************************************
//
//
// ***********************************************************
// **** OrderBook_OrderFilled() ****
// ***********************************************************
//
public virtual void OrderBook_OrderFilled(object sender, EventArgs eventArgs)
{
FillEventArgs fillEventArgs = (FillEventArgs)eventArgs;
UVFill fill = fillEventArgs.Fill;
if (UpdateAndCheckTotalFillCounts(fill) | PnLCheck())
{ // Take the fill and update our counts and PnL, checking both.
FlagRiskEvents();
}
}
//**************************************************************
// **** UpdateAndCheckTotalFillCounts() ****
//**************************************************************
/// <summary>
/// Aggregate total number of fills across entire strategy and check
/// to make sure we are under the number of allowed fills. If we are over return true.
/// </summary>
/// <param name="fill"></param>
/// <returns>true if over max allowed fills</returns>
protected bool UpdateAndCheckTotalFillCounts(UVFill fill)
{
if (fill == null)
{
return(false);
}
int fillQty = Math.Abs(fill.Qty);
// sum total fill count
m_TotalFillQty += fillQty;
// check to see if we have tripped our risk trigger
if (m_TotalFillQty > m_MaxFillQty)
{
m_Log.NewEntry(LogLevel.Error, "Max Fills Has Been Exceeded: FillQty = {0} MaxFillQty = {1}",
m_TotalFillQty, m_MaxFillQty);
return(true);
}
else
{
return(false);
}
}
