public QBExecutionSimulator(Framework framework)
: base(framework)
{
Id = QuantBoxConst.PIdSimExec;
Name = "QuantBoxExecutionSimulator";
url = "www.quantbox.cn";
this.framework = framework;
BarFilter = new BarFilter();
CheckSubPositions = this.framework.Configuration.UseSubPositions;
SlippageProvider = new TickSizeSlippageProvider();
CommissionProvider = new CommissionProvider();
}
public void Fill(Order order, double price, int size)
{
if (!PartialFills)
{
_ordersToRemove.Add(order);
var report = new ExecutionReport(order);
report.DateTime = framework.Clock.DateTime;
report.ExecType = ExecType.ExecTrade;
report.OrdStatus = OrderStatus.Filled;
report.CumQty = order.LeavesQty;
report.LastQty = order.LeavesQty;
report.LeavesQty = 0.0;
report.LastPx = price;
if (CommissionProvider != null)
{
report.Commission = CommissionProvider.GetCommission(report);
}
else
{
//Console.WriteLine("ExecutionSimulator::Fill Warning - CommissionProvider is null");
}
if (SlippageProvider != null)
{
report.LastPx = SlippageProvider.GetPrice(report);
}
else
{
//Console.WriteLine("ExecutionSimulator::Fill Warning - SlippageProvider is null");
}
_reports[order.Id] = new SimulatorExecutionReport(report);
EmitExecutionReport(report, Queued);
return;
}
else
{
if (size <= 0)
{
Console.WriteLine("ExecutionSimulator::Fill Error - using partial fills, size can not be zero");
return;
}
ExecutionReport report = new ExecutionReport(order);
report.DateTime = framework.Clock.DateTime;
report.ExecType = ExecType.ExecTrade;
double leaves = order.LeavesQty;
if (!_partiallyFilledOrders.ContainsKey(order))
{
_partiallyFilledOrders.Add(order, 0.0);
}
else
{
leaves = order.Qty - _partiallyFilledOrders[order];
}
if (size >= leaves)
{
Dictionary <Order, double> dictionary = _partiallyFilledOrders;
dictionary[order] += leaves;
_ordersToRemove.Add(order);
report.OrdStatus = OrderStatus.Filled;
report.CumQty = _partiallyFilledOrders[order];
report.LastQty = leaves;
report.LeavesQty = 0.0;
report.LastPx = price;
}
else if (size < leaves)
{
Dictionary <Order, double> dictionary = _partiallyFilledOrders;
dictionary[order] += size;
report.OrdStatus = OrderStatus.PartiallyFilled;
report.CumQty = _partiallyFilledOrders[order];
report.LastQty = size;
report.LeavesQty = leaves - size;
report.LastPx = price;
}
if (CommissionProvider != null)
{
report.Commission = CommissionProvider.GetCommission(report);
}
else
{
//Console.WriteLine("ExecutionSimulator::Fill Warning - CommissionProvider is null");
}
if (SlippageProvider != null)
{
report.LastPx = SlippageProvider.GetPrice(report);
}
else
{
//Console.WriteLine("ExecutionSimulator::Fill Warning - SlippageProvider is null");
}
_reports[order.Id] = new SimulatorExecutionReport(report);
EmitExecutionReport(report, Queued);
}
}
