/// <summary>
/// New Execution Arrived
/// </summary>
/// <param name="execution"></param>
public void ExecutionReceived(Execution execution)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info(execution.ToString(), _type.FullName, "ExecutionReceived");
}
// Check if the order is already cancelled
if (_cancelOrdersMap.ContainsKey(execution.Order.OrderID))
{
Order order;
_cancelOrdersMap.TryRemove(execution.Order.OrderID, out order);
return;
}
// Rasie Execution Event
if (ExecutionArrived != null)
{
ExecutionArrived.Invoke(execution);
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "ExecutionReceived");
}
}
/// <summary>
/// Called to check and execute limitorder
/// </summary>
/// <param name="limitOrder"></param>
/// <param name="bar"></param>
private bool ExecuteLimitOrder(LimitOrder limitOrder, Bar bar)
{
if (limitOrder.OrderDateTime.ToString().Equals(bar.DateTime.ToString()))
{
return(false);
}
#region BUY Order
if (limitOrder.OrderSide == OrderSide.BUY)
{
if (bar.Low <= limitOrder.LimitPrice)
{
decimal price = BuySidePriceCalculation(limitOrder, bar);
if (price != 0)
{
// Get Order Index
var index = _limitOrders.IndexOfValue(limitOrder);
// Remove from local list
_limitOrders.RemoveAt(index);
// Add OHLC values
limitOrder.Remarks += (" | OHLC: " + _latestBar.Open + ":" + _latestBar.High + ":" + _latestBar.Low +
":" + _latestBar.Close);
limitOrder.OrderStatus = OrderStatus.EXECUTED;
var newExecution =
new Execution(
new Fill(limitOrder.Security, limitOrder.OrderExecutionProvider,
limitOrder.OrderID)
{
ExecutionDateTime = bar.DateTime,
ExecutionPrice = price + limitOrder.Slippage,
ExecutionSize = limitOrder.OrderSize,
AverageExecutionPrice = price - limitOrder.Slippage,
ExecutionId = Guid.NewGuid().ToString(),
ExecutionSide = limitOrder.OrderSide,
ExecutionType = ExecutionType.Fill,
LeavesQuantity = 0,
OrderExecutionProvider = OrderExecutionProvider.SimulatedExchange,
CummalativeQuantity = limitOrder.OrderSize
}, limitOrder);
//newExecution.BarClose = bar.Close;
if (_asyncClassLogger.IsDebugEnabled)
{
_asyncClassLogger.Debug("Limit Order: " + limitOrder.OrderID + " Executed using: " + bar,
_type.FullName, "ExecuteLimitOrder");
}
// Raise Event to notify listeners
if (ExecutionArrived != null)
{
ExecutionArrived(newExecution);
}
return(true);
}
}
}
#endregion
#region SELL Order
if (limitOrder.OrderSide == OrderSide.SELL)
{
if (bar.High >= limitOrder.LimitPrice)
{
decimal price = SellSidePriceCalculation(limitOrder, bar);
if (price != 0)
{
// Get Order Index
var index = _limitOrders.IndexOfValue(limitOrder);
// Remove order from local list
_limitOrders.RemoveAt(index);
// Add OHLC values
limitOrder.Remarks += (" | OHLC: " + _latestBar.Open + ":" + _latestBar.High + ":" + _latestBar.Low +
":" + _latestBar.Close);
limitOrder.OrderStatus = OrderStatus.EXECUTED;
var newExecution =
new Execution(
new Fill(limitOrder.Security, limitOrder.OrderExecutionProvider,
limitOrder.OrderID)
{
ExecutionDateTime = bar.DateTime,
ExecutionPrice = price - limitOrder.Slippage,
ExecutionSize = limitOrder.OrderSize,
AverageExecutionPrice = price + limitOrder.Slippage,
ExecutionId = Guid.NewGuid().ToString(),
ExecutionSide = limitOrder.OrderSide,
ExecutionType = ExecutionType.Fill,
LeavesQuantity = 0,
OrderExecutionProvider = OrderExecutionProvider.SimulatedExchange,
CummalativeQuantity = limitOrder.OrderSize
}, limitOrder);
//newExecution.BarClose = bar.Close;
if (_asyncClassLogger.IsDebugEnabled)
{
_asyncClassLogger.Debug("Limit Order: " + limitOrder.OrderID + " Executed using: " + bar,
_type.FullName, "ExecuteLimitOrder");
}
// Raise Event to notify listeners
if (ExecutionArrived != null)
{
ExecutionArrived.Invoke(newExecution);
}
return(true);
}
}
}
#endregion
return(false);
}