private void RecreateOrder(Order order, bool copyDeviationInfo = false)
{
var newOrder = CreateOrder(order.LeavesQty, order.GetOpenClose(true));
if (copyDeviationInfo)
{
var info = OrderExtensions.GetOrderInfo(newOrder);
var old = OrderExtensions.GetOrderInfo(order);
info.DeviationInfo = old.DeviationInfo;
}
if (OpenOrder == order)
{
ClearOrder(ref OpenOrder);
OpenOrder = newOrder;
}
else if (CloseOrder == order)
{
ClearOrder(ref CloseOrder);
CloseOrder = newOrder;
}
else if (CloseTodayOrder == order)
{
ClearOrder(ref CloseTodayOrder);
CloseTodayOrder = newOrder;
}
}
private void Clear()
{
OrderExtensions.GetOrderInfo(Order).Processor = null;
ClearOrder(ref OpenOrder);
ClearOrder(ref CloseOrder);
ClearOrder(ref CloseTodayOrder);
Agent.RemoveProcessor(this);
}
private void ClearOrder(ref Order order)
{
if (order != null)
{
OrderExtensions.GetOrderInfo(order).Processor = null;
order = null;
}
}
private void Clear()
{
OrderExtensions.GetOrderInfo(_order).processor = null;
ClearOrder(ref openOrder);
ClearOrder(ref closeOrder);
ClearOrder(ref closeTodayOrder);
_agent.RemoveProcessor(this);
}
private static void ClearOrder(ref Order order)
{
if (order == null)
{
return;
}
OrderExtensions.GetOrderInfo(order).processor = null;
order = null;
}
public OrderProcessor(OrderAgent agent, Order order, Logger logger)
{
Agent = agent;
Order = order;
Manager = agent.GetPositionManager(order.strategyId);
ListNode = agent.AddProcessor(this);
_record = new OrderRecord(order);
_info = OrderExtensions.GetOrderInfo(order);
_logger = logger;
InitRules();
}
public OrderProcessor(OrderAgent agent, Order order, Logger logger)
{
_agent = agent;
_order = order;
_position = agent.GetPosition(order);
_record = new OrderRecord(order);
_info = OrderExtensions.GetOrderInfo(order);
_logger = logger;
listNode = agent.AddProcessor(this);
InitRules();
}
public virtual void OnReminder(DateTime dateTime, Order order)
{
var info = OrderExtensions.GetOrderInfo(order);
if (CheckTryCount(info))
{
_logger.Debug($"{Order.Id}, time deviation {info.DeviationInfo.TryCount}.");
Agent.Cancel(order);
}
else
{
DoFailed(order);
}
}
private void CheckPriceDeviation(Order order)
{
var price = Order.Instrument.Trade.Price;
var ask = Order.Instrument.Ask.Price;
var bid = Order.Instrument.Bid.Price;
if (IsDone(order) || IsNotSent(order))
{
return;
}
var info = OrderExtensions.GetOrderInfo(order);
if (Math.Abs(order.Price - price) > _info.DeviationInfo.Threshold)
{
Do();
}
if (_info.DeviationMode == OrderDeviationMode.QuoteAndTrade)
{
if ((order.Side == OrderSide.Buy && Math.Abs(order.Price - ask) > _info.DeviationInfo.Threshold) ||
(order.Side == OrderSide.Sell && Math.Abs(order.Price - bid) > _info.DeviationInfo.Threshold))
{
Do();
}
}
void Do()
{
if (CheckTryCount(info))
{
_logger.Debug($"{Order.Id}, price deviation {info.DeviationInfo.TryCount}.");
Agent.Cancel(order);
}
else
{
DoFailed(order);
}
}
}
private Order CreateOrder(double qty, OpenCloseType openClose)
{
var order = Agent.CreateOrder(Order, qty);
order.SetOpenClose(openClose);
if (openClose == OpenCloseType.Open)
{
order.TimeInForce = Order.TimeInForce;
}
else
{
if (OpenOrder == null)
{
order.TimeInForce = Order.TimeInForce;
}
}
var info = OrderExtensions.GetOrderInfo(order);
info.Processor = this;
info.ParentOrderId = Order.Id;
info.DeviationInfo = _info.DeviationInfo;
info.DeviationMode = _info.DeviationMode;
return(order);
}
