// cancel all pending orders`
protected void CancelAllOpenOrders()
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().InfoLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " CancelAll @ " + Scheduler.GetTime());
}
foreach (IOrder order in OpenOrders)
{
Orderbook.cancelOrder(order);
}
SetMetricValue(NumBids_METRICNAME, 0.0);
SetMetricValue(NumAsks_METRICNAME, 0.0);
_orders.Clear();
}
private void EvaluateAllOpenOrders()
{
IList <IOrder> toUnlist = new List <IOrder>();
foreach (IOrder openOrder in OpenOrders)
{
if (DecideToCancelOpenOrder(openOrder))
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " cancels " + openOrder + " @ " + Scheduler.GetTime());
}
toUnlist.Add(openOrder);
Orderbook.cancelOrder(openOrder);
}
}
foreach (IOrder listedOrder in toUnlist)
{
RemoveFromOpenOrderList(listedOrder);
}
}
public void Orderbook_CancelOrdersTest()
{
Console.WriteLine("Orderbook_CancelOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
bool cancelResult = ob.cancelOrder(o1);
Assert.AreEqual(cancelResult, true);
// no asks, 1 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Scheduler.Instance().Run();
// place bid 3
IOrder o3 = ob.addBid(10.0, 5, null);
// no asks, 2 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
Scheduler.Instance().Run();
// execution is attempted -- but nothing can execute
// since o2 cannot match o3
Scheduler.Instance().Run();
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.isCancelled(), true);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 0, "fills = 0");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
}