/// <summary>
///
/// </summary>
bool GetProviders(Symbol symbol, out IQuoteProvider quotes, out IDataBarHistoryProvider bars)
{
quotes = _manager.ObtainQuoteProvider(_dataDelivery.SourceId, symbol);
RuntimeDataSessionInformation sessionInformation = _dataDelivery.GetSymbolRuntimeSessionInformation(symbol);
if (sessionInformation.AvailableDataBarPeriods == null || sessionInformation.AvailableDataBarPeriods.Count == 0)
{
quotes = null;
bars = null;
SystemMonitor.OperationError("Can not close order since no suitable data provider sessions found.");
return(false);
}
bars = _manager.ObtainDataBarHistoryProvider(_dataDelivery.SourceId, symbol, sessionInformation.AvailableDataBarPeriods[0]);
if (quotes == null || quotes.Ask.HasValue == false || bars == null)
{
return(false);
}
return(true);
}
/// <summary>
///
/// </summary>
public virtual bool SetInitialParameters(ISourceManager manager, ComponentId sourceId, ExpertSession session)
{
_sessionInfo = session.Info;
_manager = manager;
_sourceId = sourceId;
_dataDelivery = manager.ObtainDataDelivery(sourceId);
_quote = manager.ObtainQuoteProvider(sourceId, _sessionInfo.Symbol);
_tickProvider = manager.ObtainDataTickHistoryProvider(sourceId, _sessionInfo.Symbol);
_dataBarProvider = null;
bool result = _dataDelivery != null && _quote != null && _tickProvider != null;
SystemMonitor.CheckError(result, "Failed to initialize data provider.");
return(result);
}
void _executor_OrderUpdatedEvent(IOrderSink providerSink, AccountInfo accountInfo, string[] previousOrdersIds,
OrderInfo[] ordersInfos, Order.UpdateTypeEnum[] updatesType)
{
ISourceOrderExecution provider = _provider;
if (providerSink != _provider)
{
SystemMonitor.Warning("Provider mismatch.");
return;
}
List <Order> updatedOrders = new List <Order>();
List <Order.UpdateTypeEnum> updatedOrdersUpdateTypes = new List <Order.UpdateTypeEnum>();
for (int i = 0; i < ordersInfos.Length; i++)
{
if (string.IsNullOrEmpty(ordersInfos[i].Id))
{
SystemMonitor.Warning("Order update of order with no ID.");
continue;
}
if (previousOrdersIds.Length > i && previousOrdersIds[i] != ordersInfos[i].Id &&
string.IsNullOrEmpty(previousOrdersIds[i]) == false)
{// Order Id has changed, remove old order.
Order superceededOrder = GetOrderById(previousOrdersIds[i]);
RemoveOrder(superceededOrder);
}
Order order = GetOrderById(ordersInfos[i].Id);
if (order == null)
{// Create new order based on incoming information.
if (provider.SupportsActiveOrderManagement)
{
order = new ActiveOrder(_manager, provider, _manager.ObtainQuoteProvider(_delivery.SourceId, ordersInfos[i].Symbol),
_delivery.SourceId, ordersInfos[i].Symbol, true);
}
else
{
order = new PassiveOrder(_manager, _delivery.SourceId, provider.SourceId);
}
order.AdoptInfo(ordersInfos[i]);
if (AddOrder(order) == false)
{
SystemMonitor.OperationError("Failed to add order to keeper (id [" + order.Id + "] already used for another order).", TracerItem.PriorityEnum.Medium);
}
}
else
{// Existing order, to be updated.
OrderInfo info = ordersInfos[i];
// First, check for critical modifications (price changes).
if (order.Info.IsCriticalUpdate(info))
{
SystemMonitor.Report(string.Format("Order has received a critical data modication Id[{0}], Open[{1} / {2}], Close[{3} / {4}].", order.Id, order.OpenPrice.ToString(), info.OpenPrice.ToString(), order.ClosePrice.ToString(),
info.ClosePrice.ToString()), TracerItem.PriorityEnum.High);
if (OrdersCriticalInformationChangedEvent != null)
{
OrdersCriticalInformationChangedEvent(this, accountInfo, order, info);
}
}
if (order.UpdateInfo(info) == false)
{
SystemMonitor.OperationError("Failed to update order [" + order.Id + "].");
continue;
}
lock (this)
{
// Remove from any of the sub arrays it may be in.
foreach (OrderStateEnum state in Enum.GetValues(typeof(OrderStateEnum)))
{
if (_ordersByState.ContainsKey(state) && _ordersByState[state].Contains(order))
{
_ordersByState[state].Remove(order);
}
}
_ordersByState[info.State].Add(order);
}
updatedOrders.Add(order);
updatedOrdersUpdateTypes.Add(updatesType[i]);
}
}
if (updatedOrders.Count > 0 && OrdersUpdatedEvent != null)
{
OrdersUpdatedEvent(this, accountInfo, updatedOrders.ToArray(), updatedOrdersUpdateTypes.ToArray());
}
}
/// <summary>
/// Update position parameters.
/// </summary>
/// <param name="symbol"></param>
/// <param name="volumeChange">*Directional* volume change, 0 for no change.</param>
/// <param name="operationResultMessage"></param>
/// <returns></returns>
bool UpdatePosition(Symbol symbol, int volumeChange, out string operationResultMessage)
{
if (_manager == null || _dataDelivery == null || _dataDelivery.SourceId.IsEmpty)
{
operationResultMessage = "Not initialized properly for operation.";
return(false);
}
IQuoteProvider quotes = _manager.ObtainQuoteProvider(_dataDelivery.SourceId, symbol);
if (quotes == null)
{
operationResultMessage = "Failed to find corresponding quotation provider.";
return(false);
}
// Update the position corresponding to this order.
Position position = _tradeEntities.GetPositionBySymbol(symbol, true);
if (position == null)
{
operationResultMessage = "Failed to find corresponding position.";
return(false);
}
PositionInfo updatedPositionInfo = position.Info;
if (updatedPositionInfo.Volume.HasValue == false)
{
updatedPositionInfo.Volume = 0;
}
updatedPositionInfo.PendingBuyVolume = 0;
updatedPositionInfo.PendingSellVolume = 0;
if (volumeChange != 0)
{
//decimal initialPositionResult = updatedPositionInfo.Result.Value;
decimal?operationBasis = quotes.GetOrderOpenQuote(volumeChange > 0);
if (operationBasis.HasValue == false)
{
operationResultMessage = "Failed to establish order operation basis price.";
return(false);
}
else
{
SystemMonitor.CheckError(updatedPositionInfo.Basis.HasValue, "Position has no properly assigned basis price.");
}
if (RecalculatePositionBasis(ref updatedPositionInfo, volumeChange, operationBasis.Value) == false)
{
operationResultMessage = "Failed to recalculate position parameters.";
return(false);
}
}
decimal?pendingPrice = quotes.GetOrderCloseQuote(updatedPositionInfo.Volume > 0);
if (updatedPositionInfo.Volume.HasValue && updatedPositionInfo.Volume != 0 &&
pendingPrice.HasValue && updatedPositionInfo.Basis.HasValue)
{
updatedPositionInfo.Result = (pendingPrice.Value - updatedPositionInfo.Basis.Value) * updatedPositionInfo.Volume.Value;
}
else
{
updatedPositionInfo.Result = 0;
}
bool positionClosing = (position.Volume > 0 && volumeChange < 0) || (position.Volume < 0 && volumeChange > 0);
if (volumeChange != 0 && positionClosing && position.Info.Result.HasValue && updatedPositionInfo.Result.HasValue)
{// Update the account upon closing some (or all) of the position volume.
_runningAccountBalance += position.Info.Result.Value - updatedPositionInfo.Result.Value;
}
position.UpdateInfo(updatedPositionInfo);
operationResultMessage = string.Empty;
return(true);
}
/// <summary>
///
/// </summary>
public virtual bool SetInitialParameters(ISourceManager manager, ComponentId sourceId, ExpertSession session)
{
_sessionInfo = session.Info;
_manager = manager;
_sourceId = sourceId;
_dataDelivery = manager.ObtainDataDelivery(sourceId);
_quote = manager.ObtainQuoteProvider(sourceId, _sessionInfo.Symbol);
_tickProvider = manager.ObtainDataTickHistoryProvider(sourceId, _sessionInfo.Symbol);
_dataBarProvider = null;
bool result = _dataDelivery != null && _quote != null && _tickProvider != null;
SystemMonitor.CheckError(result, "Failed to initialize data provider.");
return result;
}