public decimal CheckCost(Order order)
{
decimal net;
decimal gross;
CalcPrices(order, out net, out gross);
return gross;
}
public Fill[] Execute(Order order)
{
double amount = order.Amount;
double maxlot = MaxLot;
//how many fills we expect at the end?
int fillsCount = (int)Math.Ceiling(amount / maxlot);
List<Fill> totalFills = new List<Fill>(fillsCount);
for (int i = 0; i < fillsCount; i++)
{
//create an order for a partial fill
double currentAmount = Math.Min(amount, maxlot);
Order currentOrder = new Order(order);
currentOrder.Amount = currentAmount;
//find the best route by smart algorithm
var bestRoute = SmartSelector.SelectBestRoute(currentOrder, Routes);
//execute order
var fills = bestRoute.Execute(currentOrder);
//setting the initiator
foreach (var fill in fills)
fill.Initiator = order;
//saving results
totalFills.AddRange(fills);
amount -= currentAmount;
}
return totalFills.ToArray();
}
public Order(Order order)
: this()
{
Instrument = order.Instrument;
Account = order.Account;
Amount = order.Amount;
Side = order.Side;
}
public Fill[] Execute(Order order)
{
decimal net;
decimal gross;
CalcPrices(order, out net, out gross);
//creating a fill
Fill fill = GetFill(order, net, gross);
System.Diagnostics.Debug.WriteLine("{0} {1} lots {2} for {3}", order.Side, order.Amount, order.Instrument.Name, order.Account.Name);
return new Fill[] { fill };
}
public bool Validate(Order order)
{
if (order == null)
throw new ArgumentNullException("order");
var instrument = order.Instrument;
if (instrument == null)
return false;
if (order.Amount < instrument.MinLot)
return false;
return true;
}
private void CalcPrices(Order order, out decimal net, out decimal gross)
{
if (order == null)
throw new ArgumentNullException("order");
var quote = LastQuote;
if (quote == null)
throw new Exception("no price available");
var amount = order.Amount;
if (amount > MaxLot)
throw new ArgumentOutOfRangeException("amount is too big");
var instrument = order.Instrument;
var lotsize = instrument.LotSize;
//calculating the prices
net = (decimal)quote.Price * lotsize * (decimal)amount;
gross = net * CommissionCalculator.CalcCommissionMultiplier(amount);
}
public IRoute SelectBestRoute(Order order, IRoute[] routes)
{
return routes.OrderBy(x => x.CheckCost(order)).FirstOrDefault();
}
private Fill GetFill(Order order, decimal net, decimal gross)
{
Fill fill = new Fill(order);
fill.Initiator = order;
fill.Route = this;
fill.Net = net;
fill.Gross = gross;
return fill;
}
public Fill(Order order)
: base(order)
{
}
public decimal CheckCost(Order order)
{
//benefits of the smart routing
return Routes.Min(r => r.CheckCost(order));
}
/// <summary>
/// Main trade opearation
/// </summary>
public DealTicket PlaceOrder(Order order)
{
if (order == null)
throw new ArgumentNullException("order");
if (!OrderValidator.Validate(order))
throw new Exception("Market order cannot be executed");
var route = Route;
if (route == null)
throw new Exception("Route was not specified");
var fills = route.Execute(order);
lock (Fills)
{
FilledOrders.Add(order);
Fills.AddRange(fills);
}
var result = new DealTicket(fills.Sum(x => x.Gross), fills.Sum(x => x.Net));
return result;
}