public MarketOrder(int id, string ticker, Instrument instrument, int volume, int side,
OrderPricing orderPricing, string accountGroupCode)
{
AccountGroupCode = accountGroupCode;
brokerOrder = new BrokerOrder
{
Id = id,
Ticker = ticker,
Instrument = instrument,
Volume = volume,
Side = side,
OrderPricing = orderPricing
};
}
public MarketOrder(int id, string ticker, Instrument instrument, int volume, int side,
OrderPricing orderPricing, decimal? requestedPrice, decimal? enabledAbsoluteSlippage,
string accountGroupCode)
{
AccountGroupCode = accountGroupCode;
brokerOrder = new BrokerOrder
{
Id = id,
Ticker = ticker,
Instrument = instrument,
Volume = volume,
Side = side,
OrderPricing = orderPricing,
RequestedPrice = requestedPrice,
Slippage = enabledAbsoluteSlippage
};
}
public MarketOrder(BrokerOrder brokerOrder)
{
this.brokerOrder = brokerOrder;
}
public void SaveProviderMessage(BrokerOrder msg)
{
using (var ctx = DatabaseContext.Instance.Make())
{
var brokOrder = LinqToEntity.UndecorateBrokerOrder(msg);
ctx.BROKER_ORDER.Add(brokOrder);
ctx.SaveChanges();
}
}
/// <summary>
/// отдельный класс читает очередь сообщений от провайдеров
/// каждый FIX-дилер получает сообщения своей группы
/// </summary>
public void ProcessExecutionReport(BrokerResponse response, BrokerOrder request)
{
Logger.InfoFormat("Запрос ({0}), ответ ({1})", request, response);
requestWatchdog.OnRequestProcessed(response.RequestId);
// сообщить клиенту об отказе обработать ордер
// вынимаем ордер из базы
MarketOrder order;
int orderId;
if (request.ClosingPositionID != null && request.ClosingPositionID > 0)
orderId = (int)request.ClosingPositionID;
else
{
orderId = request.RequestId;
Logger.InfoFormat("Запрос GetMarketOrder orderId={0} requestId={1}", orderId, request.RequestId);
}
Logger.InfoFormat("Запрос GetMarketOrder accountId={0}, orderId={1}", request.AccountID, orderId);
var res = ServerInterface.GetMarketOrder(orderId, out order);
if (res == false)
{
errorStorage.AddMessage(new ErrorMessage(DateTime.Now, ErrorMessageType.ОтказСервера,
string.Format("Дилер {0}: не найдена позиция ID={0} для обработка запроса [{1}]-[счет {2}, пара {3}]",
request.RequestId, request.Id, request.AccountID, request.Instrument), null));
ServerInterface.NotifyClientOnOrderRejected(order, "не найден ордер");
return;
}
if (response.Status == OrderStatus.Отклонен)
{
var rejectReasonStr = string.IsNullOrEmpty(response.RejectReasonString)
? (response.RejectReason ?? OrderRejectReason.None).ToString()
: response.RejectReasonString;
ServerInterface.NotifyClientOnOrderRejected(order, rejectReasonStr);
errorStorage.AddMessage(new ErrorMessage(DateTime.Now, ErrorMessageType.ОтказСервера,
string.Format("Дилер {0}: отказ сервера [{1}] на запрос [{2}]-[счет {3}, пара {4}]",
DealerCode, rejectReasonStr, request.Id, request.AccountID, request.Instrument), null));
return;
}
if (!response.Price.HasValue)
{
errorStorage.AddMessage(new ErrorMessage(DateTime.Now, ErrorMessageType.ОтказСервера,
string.Format("Дилер {0}: отказ сервера [нет цены] на запрос [{1}]-[счет {2}, пара {3}]",
DealerCode, request.Id, request.AccountID, request.Instrument), null));
ServerInterface.NotifyClientOnOrderRejected(order, "Нет цены");
return;
}
var deltaMarkup = request.MarkupAbs * order.Side;
// закрытие позиции - ордер обработан
if (request.ClosingPositionID.HasValue)
{
var reason = exitReasonByOrderId.ReceiveValue(order.ID);
// закрыть ордер немедленно
ServerInterface.CloseOrder(order.ID, response.Price.Value - (decimal)deltaMarkup, reason);
return;
}
// открытие позы - обработано
order.TimeEnter = response.ValueDate;
order.PriceEnter = (float)response.Price.Value + deltaMarkup;
order.State = PositionState.Opened;
ServerInterface.ModifyMarketOrder(order);
}
public static BROKER_ORDER UndecorateBrokerOrder(BrokerOrder ord)
{
var order = new BROKER_ORDER
{
RequestID = ord.RequestId,
ID = ord.Id,
Ticker = ord.Ticker,
Instrument = (int)ord.Instrument,
Volume = ord.Volume,
Side = ord.Side,
OrderPricing = (int)ord.OrderPricing,
RequestedPrice = ord.RequestedPrice,
Slippage = ord.Slippage,
Dealer = ord.DealerCode,
AccountID = ord.AccountID,
ClosingPositionID = ord.ClosingPositionID,
TimeCreated = ord.TimeCreated,
Magic = ord.Magic,
Comment = ord.Comment,
ExpertComment = ord.ExpertComment,
Markup = ord.MarkupAbs
};
return order;
}
