/// <summary>
/// Performs partial market fills once per time step
/// </summary>
/// <param name="asset">The security being ordered</param>
/// <param name="order">The order</param>
/// <returns>The order fill</returns>
public override OrderEvent MarketFill(Security asset, MarketOrder order)
{
var currentUtcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
var ticket = _orderProvider.GetOrderTickets(x => x.OrderId == order.Id).FirstOrDefault();
if (ticket == null)
{
// if we can't find the ticket issue empty fills
return(new OrderEvent(order, currentUtcTime, OrderFee.Zero));
}
// make sure some time has passed
var lastOrderEvent = ticket.OrderEvents.LastOrDefault();
var increment = TimeSpan.FromTicks(Math.Max(asset.Resolution.ToTimeSpan().Ticks, 1));
if (lastOrderEvent != null && currentUtcTime - lastOrderEvent.UtcTime < increment)
{
// wait a minute between fills
return(new OrderEvent(order, currentUtcTime, OrderFee.Zero));
}
var remaining = (int)(ticket.Quantity - ticket.QuantityFilled);
var fill = base.MarketFill(asset, order);
var filledThisTime = Math.Min(remaining, (int)(_percent * order.Quantity));
fill.FillQuantity = filledThisTime;
// only mark it as filled if there is zero quantity remaining
fill.Status = remaining == filledThisTime
? OrderStatus.Filled
: OrderStatus.PartiallyFilled;
return(fill);
}
