private void OnOrderUpdate(Messages.Order bitfinexOrder)
{
if (bitfinexOrder.Status == "ACTIVE")
{
var brokerId = bitfinexOrder.Id.ToStringInvariant();
var order = CachedOrderIDs
.FirstOrDefault(o => o.Value.BrokerId.Contains(brokerId))
.Value;
if (order == null)
{
order = _algorithm.Transactions.GetOrderByBrokerageId(brokerId);
if (order == null)
{
Log.Error($"OnOrderUpdate(): order not found: BrokerId: {brokerId}");
return;
}
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Bitfinex Order Event")
{
Status = OrderStatus.UpdateSubmitted
});
}
}
private void OnOrderNew(Messages.Order bitfinexOrder)
{
if (bitfinexOrder.Status == "ACTIVE")
{
var brokerId = bitfinexOrder.Id.ToStringInvariant();
Order order;
if (_orderMap.TryGetValue(bitfinexOrder.ClientOrderId, out order))
{
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Clear();
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Bitfinex Order Event")
{
Status = OrderStatus.Submitted
});
}
}
}
private void OnOrderError(Messages.Order bitfinexOrder)
{
Order order;
if (_orderMap.TryGetValue(bitfinexOrder.ClientOrderId, out order))
{
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Bitfinex Order Event")
{
Status = OrderStatus.Invalid
});
}
}
private static OrderStatus ConvertOrderStatus(Messages.Order order)
{
if (order.Status == "ACTIVE")
{
return(OrderStatus.Submitted);
}
else if (order.Status.StartsWith("PARTIALLY FILLED"))
{
return(OrderStatus.PartiallyFilled);
}
else if (order.Status.StartsWith("EXECUTED"))
{
return(OrderStatus.Filled);
}
else if (order.Status.StartsWith("CANCELED"))
{
return(OrderStatus.Canceled);
}
return(OrderStatus.None);
}
private void OnOrderClose(Messages.Order bitfinexOrder)
{
if (bitfinexOrder.Status.StartsWith("CANCELED"))
{
var brokerId = bitfinexOrder.Id.ToStringInvariant();
var order = CachedOrderIDs
.FirstOrDefault(o => o.Value.BrokerId.Contains(brokerId))
.Value;
if (order == null)
{
order = _algorithm.Transactions.GetOrderByBrokerageId(brokerId);
if (order == null)
{
Log.Error($"OnOrderClose(): order not found: BrokerId: {brokerId}");
return;
}
}
else
{
Order outOrder;
CachedOrderIDs.TryRemove(order.Id, out outOrder);
}
if (bitfinexOrder.ClientOrderId > 0)
{
Order removed;
_orderMap.TryRemove(bitfinexOrder.ClientOrderId, out removed);
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Bitfinex Order Event")
{
Status = OrderStatus.Canceled
});
}
}
