/// <summary>
/// Process submit order
/// </summary>
/// <param name="ticket"></param>
protected virtual OrderTicketResponse CancelOrder(CancelOrderTicket ticket)
{
//Check if we can get the order
if (!OrderTracker.TryGetOrder(ticket.OrderId, out PendingOrder pendingorder))
{
_log.Error($"Unable to cancel order with ID {ticket.OrderId}, order id unkown.");
return(OrderTicketResponse.Error(ticket.OrderId, OrderTicketResponseErrorCode.UnableToFindOrder));
}
//Check if order is closed
if (pendingorder.Order.State.IsDone())
{
return(OrderTicketResponse.Error(ticket.OrderId, OrderTicketResponseErrorCode.InvalidOrderStatus));
}
//try and cancel the order
bool ordercancelled = false;
try
{
ordercancelled = BrokerConnection.CancelOrder(pendingorder);
}
catch (Exception exc)
{
_log.Error(exc, $"Could not cancel order with id {ticket.OrderId} broker connection refused to do so");
}
//If not managed to cancel
if (!ordercancelled)
{
var message = $"Brokerconnection failed to cancel order with id {ticket.OrderId}";
Portfolio.Log(LogLevel.Error, message);
HandleOrderTicketEvent(OrderTicketEvent.Error(ticket.OrderId));
return(OrderTicketResponse.Error(ticket.OrderId, OrderTicketResponseErrorCode.BrokerageFailedToCancelOrder));
}
//Order was cancelled
var order = pendingorder.Order as OrderImpl;
order.State = OrderState.Cancelled;
pendingorder.UpdateOrder(order);
//Return result for order ticket
return(OrderTicketResponse.Processed(ticket.OrderId));
}
/// <summary>
/// Processes the market data.
/// </summary>
/// <param name="dataupdates">The data updates.</param>
public void ProcessMarketData(DataUpdates dataupdates)
{
//Only accept market data
if (_activeOrders.Count == 0)
{
return;
}
//Check if we have any data
if (!dataupdates.HasUpdates)
{
return;
}
lock (_locker)
{
foreach (var pkv in _activeOrders.OrderBy(x => x.Key))
{
//get the order
var pendingorder = pkv.Value;
var order = pendingorder.Order;
//Get datapoint
if (!dataupdates[order.Security].HasUpdates)
{
continue;
}
var datapoint = dataupdates[order.Security].Ticks.Count > 0
? dataupdates[order.Security].Ticks.First().Value.First() as DataPoint
: dataupdates[order.Security].QuoteBars.Count > 0
? dataupdates[order.Security].QuoteBars.First().Value as DataPoint
: dataupdates[order.Security].TradeBars.Count > 0
? dataupdates[order.Security].TradeBars.First().Value as DataPoint
: null;
if (datapoint == null)
{
continue;
}
//Check if order is already done
if (order.State.IsDone())
{
_activeOrders.TryRemove(pkv.Key, out pendingorder);
continue;
}
//Check if we have enough buying power
if (!_portfolio.OrderTicketHandler.GetSufficientCapitalForOrder(pendingorder))
{
//Remove order from active orders, as it is cancelled by the broker instance
_activeOrders.TryRemove(pkv.Key, out pendingorder);
_portfolio.Log(LogLevel.Error, $"Insufficient funds to process order by sim broker");
OrderStateChange?.Invoke(this, OrderTicketEvent.Cancelled(pendingorder.OrderId, "Insufficient funds to process order by sim broker"));
}
//Check if we need to fill this order
var fillmodel = BrokerModel.GetFillModel(order);
Fill filledresult = Fill.NoFill();
try
{
filledresult = fillmodel.FillOrder(BrokerModel, datapoint, pendingorder, _usehighlyliquidfills);
}
catch (Exception exc)
{
_log.Error(exc);
_portfolio.Log(LogLevel.Error, string.Format("Order Error: id: {0}, Transaction model failed to fill for order type: {1} with error: {2}", order.InternalId, order.Type, exc.Message));
OrderStateChange?.Invoke(this, OrderTicketEvent.Cancelled(pendingorder.OrderId, "Exception during processing fill for this order, please check logs"));
}
//Check for any full or partial fills
if (filledresult.FillQuantity > 0)
{
if (filledresult.Status == OrderState.Filled)
{
OrderStateChange?.Invoke(this, OrderTicketEvent.Filled(order.InternalId, filledresult));
}
else if (filledresult.Status == OrderState.PartialFilled)
{
OrderStateChange?.Invoke(this, OrderTicketEvent.PartiallyFilled(order.InternalId, filledresult));
}
}
//Check if order is done
if (filledresult.Status.IsDone())
{
_activeOrders.TryRemove(pkv.Key, out pendingorder);
}
}
}
}