|
public GetCommission ( |
||
| report | ||
| return | double | |
public void Fill(Order order, double price, int size)
{
if (!PartialFills)
{
this.orders.Add(order);
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
OrdType = order.Type,
Side = order.Side,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
OrdQty = order.Qty,
Price = order.Price,
StopPx = order.StopPx,
TimeInForce = order.TimeInForce,
ExecType = ExecType.ExecTrade,
OrdStatus = OrderStatus.Filled,
CurrencyId = order.Instrument.CurrencyId,
CumQty = order.LeavesQty,
LastQty = order.LeavesQty,
LeavesQty = 0.0,
LastPx = price,
Text = order.Text
};
report.Commission = CommissionProvider.GetCommission(report);
report.LastPx = SlippageProvider.GetPrice(report);
this.summariesByOrderId[order.Id] = new ReportSummary(report);
EmitExecutionReport(report, Queued);
return;
}
if (size <= 0)
{
Console.WriteLine("ExecutionSimulator::Fill Error - using partial fills, size can not be zero");
return;
}
var report2 = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
OrdType = order.Type,
Side = order.Side,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
OrdQty = order.Qty,
Price = order.Price,
StopPx = order.StopPx,
TimeInForce = order.TimeInForce,
ExecType = ExecType.ExecTrade,
CurrencyId = order.Instrument.CurrencyId
};
if (size >= order.LeavesQty)
{
this.orders.Add(order);
report2.OrdStatus = OrderStatus.Filled;
report2.CumQty = order.CumQty + order.LeavesQty;
report2.LastQty = order.LeavesQty;
report2.LeavesQty = 0.0;
report2.LastPx = price;
report2.Text = order.Text;
order.LeavesQty = report2.LeavesQty;
}
else if (size < order.LeavesQty)
{
report2.OrdStatus = OrderStatus.PartiallyFilled;
report2.CumQty = order.CumQty + size;
report2.LastQty = size;
report2.LeavesQty = order.LeavesQty - size;
report2.LastPx = price;
report2.Text = order.Text;
order.LeavesQty = report2.LeavesQty;
}
report2.Commission = CommissionProvider.GetCommission(report2);
report2.LastPx = SlippageProvider.GetPrice(report2);
this.summariesByOrderId[order.Id] = new ReportSummary(report2);
EmitExecutionReport(report2, Queued);
}