private void MatchBuyLogic(OrderEventArgs e)
{
foreach (Order curOrder in e.SellBook)
{
if (e.Order.OrderType == "MARKET" && e.Order.Quantity > 0)
{
Console.WriteLine("Match found..Generate Market Order Trade..");
int quantity = Math.Min(e.Order.Quantity, curOrder.Quantity); //need to check this
curOrder.Quantity = curOrder.Quantity - quantity;
e.Order.Quantity = e.Order.Quantity - quantity;
Console.WriteLine(quantity.ToString() + " " + curOrder.Instrument.ToString() + " at " + curOrder.LimitPrice.ToString() + " order ID's " + curOrder.OrderID.ToString() + " & " + e.Order.OrderID.ToString());
// write executed orders to xml file
//records trade info and sends executed order info back to client
FuturesOrder executedOrder1 = (FuturesOrder)curOrder.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder1.executionPrice = curOrder.LimitPrice;
executedOrder1.ExecutionTimeStamp = DateTime.Now;
FuturesOrder executedOrder2 = (FuturesOrder)e.Order.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder2.executionPrice = curOrder.LimitPrice;
executedOrder2.ExecutionTimeStamp = DateTime.Now;
//send executed order back to client
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder1); //used to update margin with actual execution price
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder2); //used to update margin with actual execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder1));
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder2));
}
else if (curOrder.LimitPrice <= e.Order.LimitPrice && e.Order.Quantity > 0)
{
Console.WriteLine("Match found..Generate Trade..");
int quantity = Math.Min(e.Order.Quantity, curOrder.Quantity);
curOrder.Quantity = curOrder.Quantity - e.Order.Quantity;
e.Order.Quantity = e.Order.Quantity - quantity;
Console.WriteLine(quantity.ToString() + " " + curOrder.Instrument.ToString() + " at " + curOrder.LimitPrice.ToString() + " order ID's " + curOrder.OrderID.ToString() + " & " + e.Order.OrderID.ToString());
//records trade info and sends executed order info back to client
FuturesOrder executedOrder1 = (FuturesOrder)curOrder.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder1.executionPrice = curOrder.LimitPrice;
executedOrder1.ExecutionTimeStamp = DateTime.Now;
FuturesOrder executedOrder2 = (FuturesOrder)e.Order.Clone();//make copy so original order is not effected in case of partial fill
executedOrder1.ExecutionQuantity = quantity;
executedOrder2.executionPrice = curOrder.LimitPrice;
executedOrder2.ExecutionTimeStamp = DateTime.Now;
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder1); //used to update margin with actual execution price
ClearingHouseTest.UpdateMarginForExucutedOrder(executedOrder2); //used to update margin with actual execution price
//send executed order back to client
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder1));
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(executedOrder2));
}
else
{
break;
}
}
}
private void processMatchedLimitOrders(ArrayList limitOrders, double openPrice, ArrayList marketOrders = null)
{
FuturesOrder processOrder;
while (limitOrders.Count > 0)
{
processOrder = (limitOrders[0] as FuturesOrder);
limitOrders.RemoveAt(0);
if (processOrder.Quantity != 0)
{
Console.WriteLine("0");
}
processOrder.executionPrice = openPrice;
processOrder.ExecutionTimeStamp = DateTime.Now;
ClearingHouseTest.UpdateMarginForExucutedOrder(processOrder); //to update margin account with execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(processOrder));
//send back to client
}
if (marketOrders != null)
{
while (marketOrders.Count > 0)
{
processOrder = (marketOrders[0] as FuturesOrder);
marketOrders.RemoveAt(0);
if (processOrder.Quantity != 0)
{
Console.WriteLine("0");
}
processOrder.executionPrice = openPrice;
processOrder.ExecutionTimeStamp = DateTime.Now;
//send back to client
ClearingHouseTest.UpdateMarginForExucutedOrder(processOrder);//used to update margin with actual execution price
ExecutedOrdersToSend.TcpClientTest.Connect(OMEHost.ToXML(processOrder));
}
}
}