public ProposedOrderLeg RemoveWorstPerforming(bool useLock = false)
{
double percentOfAverageForWorstLeg = double.MaxValue;
ProposedOrderLeg leg = null;
foreach (var legs in this.orderLegs.OrderByDescending(o => o.Key))
{
double avgBuyRatio = legs.Value.Average(o => (double)o.ProposedBuyQuantity / (double)o.ProposedSellQuantity);
var worstOrderLeg = legs.Value.OrderBy(o => (double)o.ProposedBuyQuantity / (double)o.ProposedSellQuantity).First();
if (worstOrderLeg.ProposedBuyQuantity > 0)
{
double percentOfAverage = ((double)worstOrderLeg.ProposedBuyQuantity / (double)worstOrderLeg.ProposedSellQuantity) / avgBuyRatio;
if (percentOfAverage < percentOfAverageForWorstLeg)
{
percentOfAverageForWorstLeg = percentOfAverage;
leg = worstOrderLeg;
}
}
}
if (leg != null)
{
if (!leg.Ask.IsBuy)
{
leg.SetBuyQuantity(-1 * leg.ProposedBuyQuantity, useLock: useLock);
}
else
{
leg.SetSellQuantity(-1 * leg.ProposedSellQuantity, useLock: useLock);
}
}
return(leg);
}
private long RebalanceOrderLegForSell(ProposedOrder propOrder, ProposedOrderLeg orderLeg, long buyQuantity, bool useLock = false)
{
long sellQuantityAdj = 0;
if (!orderLeg.Ask.AllowPartialFill || orderLeg.ProposedSellQuantity < buyQuantity)
{
sellQuantityAdj = -1 * orderLeg.ProposedSellQuantity;
}
else
{
sellQuantityAdj = -1 * (orderLeg.ProposedSellQuantity - buyQuantity);
}
sellQuantityAdj = orderLeg.SetSellQuantity(sellQuantityAdj, useLock: useLock);
return(sellQuantityAdj);
}
public void RemoveOrderLeg(ProposedOrderLeg leg)
{
this.orderLegs[leg.LegLevel].Remove(leg);
}
