}//Quote()
//
//
//
//
//
#endregion//private Methods
#region IOrderEngine Implementation
//
//
// *************************************************************
// **** Filled() ****
// *************************************************************
//
/// <summary>
/// Called by the StrategyHub when it received a fillEventArg from an OrderBook
/// that this engine subscribed to.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <returns>null is no fill is generated.</returns>
public Fill Filled(FillEventArgs fillEventArgs)
{
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
m_RiskManager.Filled(fillEventArgs); // make sure our risk manager knows
return(fillEventArgs.Fill); // pass fill through to other engines.
}//Filled()
}//Quote()
//
//
//
//
//
#endregion//private Methods
#region IOrderEngine Implementation
//
//
// *************************************************************
// **** Filled() ****
// *************************************************************
//
/// <summary>
/// Called by the StrategyHub when it received a fillEventArg from an OrderBook
/// that this engine subscribed to.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <returns>null is no fill is generated.</returns>
public Fill Filled(FillEventArgs fillEventArgs)
{
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
fillEventArgs.Fill.Price = fillEventArgs.Fill.Price * m_PriceLeg.PriceMultiplier;
return(fillEventArgs.Fill); // pass fill through to other engines.
}//Filled()
//
#endregion //IOrderEngine Implementation
#region Event Handlers
// *****************************************************************
// **** Event Handlers ****
// *****************************************************************
//
//
//
// *****************************************************************
// **** OrderBook_OrderFilled() ****
// *****************************************************************
private void OrderBook_OrderFilled(object sender, EventArgs eventArgs)
{
FillEventArgs fillEventArgs = (FillEventArgs)eventArgs;
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
fillEventArgs.Fill.Price = fillEventArgs.Fill.Price * m_PriceLeg.PriceMultiplier;
Quote(); // this will update our orders now that we got filled, and resubmit if we are dripping etc..
//
// Create a synthetic fill to pass back to the strategy.
//
if (m_OpenSyntheticOrders[fillSide] != null)
{
SyntheticFill newSyntheticFill = SyntheticFill.CreateSyntheticFillFromFill(fillEventArgs.Fill);
m_OpenSyntheticOrders[fillSide].m_SyntheticFills.Add(newSyntheticFill);
m_ExecutionContainer.SendSyntheticOrderToRemote(m_OpenSyntheticOrders[fillSide]);
}
}