} // Update().
//
//
//
//
//
// **** Update Stop Levels() ****
//
public void NewFill(UV.Lib.Fills.Fill aFill)
{
UpdateNewFill(aFill.Qty, aFill.Price, m_LastPosition);
m_LastPosition += aFill.Qty;
this.IsUpdateRequired = true;
BroadcastParameters();
}//UpdateStopLevels
public void TryProcessFills(UV.Lib.Fills.Fill fill)
{
int filledQty = fill.Qty;
m_NetPosition += filledQty;
Log.NewEntry(LogLevel.Minor, "****Filled {0} @ {1} at {2}. Start Level:{3} / {4} Net Position:{5}****", filledQty, fill.Price, fill.LocalTime, m_CurrentBuyNodes.Count, m_CurrentSellNodes.Count, m_NetPosition);
Log.NewEntry(LogLevel.Minor, "Start : {0}", DumpCurrentNodesInfo());
TradeSide tradeSide = (filledQty > 0) ? TradeSide.Buy : TradeSide.Sell;
int absFilledQty = Math.Abs(filledQty);
TradingNode tradingNode = null;
if (filledQty > 0)
{
int buyLevel = m_CurrentBuyNodes.Count - 1;
while (absFilledQty > 0 && buyLevel >= 0)
{
tradingNode = m_CurrentBuyNodes[buyLevel];
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
if (tradingNode.WorkingEnterQty >= absFilledQty)
{
tradingNode.WorkingExitQty += absFilledQty;
tradingNode.WorkingEnterQty -= absFilledQty;
absFilledQty = 0;
}
else
{
tradingNode.WorkingExitQty += tradingNode.WorkingEnterQty;
absFilledQty -= tradingNode.WorkingEnterQty;
tradingNode.WorkingEnterQty = 0;
}
break;
case TradeSide.Sell:
if (tradingNode.WorkingExitQty >= absFilledQty)
{
tradingNode.WorkingEnterQty += absFilledQty;
tradingNode.WorkingExitQty -= absFilledQty;
absFilledQty = 0;
}
else
{
absFilledQty -= tradingNode.WorkingExitQty;
tradingNode.WorkingEnterQty += tradingNode.WorkingExitQty;
tradingNode.WorkingExitQty = 0;
}
break;
}
buyLevel--;
}
}
else
{
int sellLevel = m_CurrentSellNodes.Count - 1;
while (absFilledQty > 0 && sellLevel >= 0)
{
tradingNode = m_CurrentSellNodes[sellLevel];
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
if (tradingNode.WorkingExitQty >= absFilledQty)
{
tradingNode.WorkingEnterQty += absFilledQty;
tradingNode.WorkingExitQty -= absFilledQty;
absFilledQty = 0;
}
else
{
absFilledQty -= tradingNode.WorkingExitQty;
tradingNode.WorkingEnterQty += tradingNode.WorkingExitQty;
tradingNode.WorkingExitQty = 0;
}
break;
case TradeSide.Sell:
if (tradingNode.WorkingEnterQty >= absFilledQty)
{
tradingNode.WorkingExitQty += absFilledQty;
tradingNode.WorkingEnterQty -= absFilledQty;
absFilledQty = 0;
}
else
{
tradingNode.WorkingExitQty += tradingNode.WorkingEnterQty;
absFilledQty -= tradingNode.WorkingEnterQty;
tradingNode.WorkingEnterQty = 0;
}
break;
}
sellLevel--;
}
}
if (absFilledQty > 0)
{
Log.NewEntry(LogLevel.Minor, "There is overfill at {0} @ {1}", absFilledQty, tradeSide);
switch (tradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
break;
case TradeSide.Sell:
break;
}
}
Log.NewEntry(LogLevel.Minor, "End : {0}", DumpCurrentNodesInfo());
}
