/// <summary>
/// When Order gets filled
/// </summary>
/// <param name="inboundOrder"></param>
/// <param name="matchedOrder"></param>
/// <param name="fillFlags"></param>
/// <param name="filledPrice"></param>
/// <param name="filledVolume"></param>
public void OnOrderFilled(Order inboundOrder, Order matchedOrder, FillFlags fillFlags, Price filledPrice, Volume filledVolume)
{
/*// Publish the order that was just received from the user and got filled
* OutputDisruptor.Publish(inboundOrder);
* Log.Debug("Order Filled: " + inboundOrder.ToString() + " | Published to output Disruptor.");
*
* // Publish the order that was on the order book and got matched with the incoming order
* OutputDisruptor.Publish(matchedOrder);
* Log.Debug("Order Filled: " + matchedOrder.ToString() + " | Published to output Disruptor.");*/
}
/// <summary>
/// When order gets filled
/// </summary>
/// <param name="inboundOrder"></param>
/// <param name="matchedOrder"> </param>
/// <param name="fillFlags"> </param>
/// <param name="filledPrice"></param>
/// <param name="filledVolume"></param>
public void OnOrderFilled(Order inboundOrder, Order matchedOrder, FillFlags fillFlags, Price filledPrice, Volume filledVolume)
{
bool isFilled = false;
if (inboundOrder.OrderType == OrderType.Limit)
{
isFilled = fillFlags == FillFlags.InboundFilled || fillFlags == FillFlags.BothFilled;
_depth.FillOrder(inboundOrder.Price, filledPrice, filledVolume, isFilled, inboundOrder.OrderSide);
}
if (matchedOrder.OrderType == OrderType.Limit)
{
isFilled = fillFlags == FillFlags.MatchedFilled || fillFlags == FillFlags.BothFilled;
_depth.FillOrder(matchedOrder.Price, filledPrice, filledVolume, isFilled, matchedOrder.OrderSide);
}
}
/// <summary>
/// Update the order according to the fill
/// </summary>
/// <param name="matchedOrder"></param>
/// <param name="inboundOrder"> </param>
/// <param name="sendOrderAcceptedEvent"> </param>
public void CrossOrders(Order inboundOrder, Order matchedOrder, bool sendOrderAcceptedEvent)
{
decimal filledQuantity = Math.Min(inboundOrder.OpenQuantity.Value, matchedOrder.OpenQuantity.Value);
decimal filledPrice = matchedOrder.Price.Value;
// Send Order accepted notification to subscribers
if (sendOrderAcceptedEvent)
{
RaiseOrderAcceptedEvent(inboundOrder, filledPrice, filledQuantity);
}
Price inboundFilledCost = new Price(filledQuantity * filledPrice);
inboundOrder.Fill(new Volume(filledQuantity), inboundFilledCost);
Price matchedFilledCost = new Price(filledQuantity * filledPrice);
matchedOrder.Fill(new Volume(filledQuantity), matchedFilledCost);
FillFlags fillFlags = FillFlags.NetitherFilled;
if (matchedOrder.OpenQuantity.Value == 0 && inboundOrder.OpenQuantity.Value == 0)
{
fillFlags = FillFlags.BothFilled;
}
else if (matchedOrder.OpenQuantity.Value == 0)
{
fillFlags = FillFlags.MatchedFilled;
}
else if (inboundOrder.OpenQuantity.Value == 0)
{
fillFlags = FillFlags.InboundFilled;
}
OrderFillEventsRaise(inboundOrder, matchedOrder, fillFlags, filledPrice, filledQuantity);
// Create trade. The least amount of the two orders will be the trade's executed volume
Trade trade = GenerateTrade(filledPrice, filledQuantity, matchedOrder, inboundOrder);
if (TradeExecuted != null)
{
TradeExecuted(trade);
}
}
/// <summary>
/// Called when the orders will cross and get filled, and will raise the events for order fill and order changed
/// </summary>
/// <param name="inboundOrder"></param>
/// <param name="matchedOrder"></param>
/// <param name="fillFlags"></param>
/// <param name="filledPrice"></param>
/// <param name="filledQuantity"></param>
private void OrderFillEventsRaise(Order inboundOrder, Order matchedOrder, FillFlags fillFlags, decimal filledPrice,
decimal filledQuantity)
{
// Event will be handled in the Depth Order book
if (OrderFilled != null)
{
OrderFilled(inboundOrder, matchedOrder, fillFlags, new Price(filledPrice), new Volume(filledQuantity));
}
// Event for the incoming order from the user that got filled
// This event will be handled by the OrderListener, which will then dispatch the event on the ouput disruptor
// to be journaled and then sent to the read side
if (OrderChanged != null)
{
OrderChanged(inboundOrder);
}
// Event for the order on order book that got matched with the incoming order
if (OrderChanged != null)
{
OrderChanged(matchedOrder);
}
}