/// <summary>
/// Process fill to adjust position
/// Returns null if this fill does not close anything, thus not creating a trade
/// TODO: protect from misuse (internal)?
/// TODO: set creation of trades in the tradecomposite logic for extensibility
/// </summary>
/// <param name="fill"></param>
/// <returns></returns>
public Trade Adjust(Fill fill)
{
//Set last modified
LastModifiedUtc = fill.UtcTime;
//Some cleaning up
ClearOldPrices();
//Some information holders
Fill[] opened = new Fill[0];
Fill[] closed = { fill };
//Check if we have no position at all
if (IsFlat)
{
_fills.Clear();
_fills.Add(fill);
}
//Check current position if we might have flipped it
else if (fill.Direction != Direction && fill.FillQuantity >= UnsignedQuantity)
{
//Get open fill
opened = _fills.ToArray();
//Get closed fill
closed = new [] { Fill.AdjustedFill(fill, fill.FillPrice, UnsignedQuantity) };
//Set new fill
_fills.Clear();
fill = Fill.AdjustedFill(fill, fill.FillPrice, fill.FillQuantity - UnsignedQuantity);
_fills.Add(fill);
//Return trade
return(new Trade(_fundId, _displayCurrency, opened, closed, GetPrice(true, opened.Union(closed)), GetPrice(false, opened.Union(closed))));
}
//Check if we are adding to an existing position (FIFO)
else if (fill.Direction == Direction)
{
_fills.Add(fill);
return(null);
}
//Else we need to adjust according to fill and remove current fills from this position (FIFO)
decimal sizeneeded = fill.FillQuantity;
List <Fill> opening = new List <Fill>();
for (int i = _fills.Count - 1; i >= 0; i--)
{
//Get items
var currentfill = _fills[i];
if (currentfill.FillQuantity > sizeneeded)
{
//We need to split it
decimal leftover = currentfill.FillQuantity - sizeneeded;
_fills[i] = Fill.AdjustedFill(currentfill, currentfill.FillPrice, leftover);
currentfill = Fill.AdjustedFill(currentfill, currentfill.FillPrice, sizeneeded);
}
else
{
//Remove this fill
_fills.RemoveAt(i);
}
//Add to currently closing fill
opening.Add(currentfill);
sizeneeded -= currentfill.FillQuantity;
//Check if we are ok
if (sizeneeded == 0)
{
break;
}
}
//Return this filled trade
opened = opening.ToArray();
return(new Trade(_fundId, _displayCurrency, opened, closed, GetPrice(true, opened.Union(closed)), GetPrice(false, opened.Union(closed))));
}