public void SubmitReplacementOrderInsteadOfRejected(Order replacementOrder)
{
if (replacementOrder == null)
{
Assembler.PopupException("replacementOrder == null why did you call me?");
return;
}
if (replacementOrder.hasBrokerProvider("PlaceReplacementOrderInsteadOfRejected(): ") == false)
{
return;
}
string msg = "Scheduling SubmitOrdersThreadEntry [" + replacementOrder.ToString() + "] slippageIndex["
+ replacementOrder.SlippageIndex + "] through [" + replacementOrder.Alert.DataSource.BrokerProvider + "]";
OrderStateMessage newOrderState = new OrderStateMessage(replacementOrder, OrderState.PreSubmit, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(replacementOrder, newOrderState);
//this.BrokerProvider.SubmitOrdersThreadEntry(ordersFromAlerts);
ThreadPool.QueueUserWorkItem(new WaitCallback(replacementOrder.Alert.DataSource.BrokerProvider.SubmitOrdersThreadEntry),
new object[] { new List <Order>()
{
replacementOrder
} });
//this.orderProcessor.UpdateActiveOrdersCountEvent();
}
public void RaiseOrderMessageAddedExecutionFormNotification(object sender, OrderStateMessage orderStateMessage)
{
if (this.OnOrderMessageAddedExecutionFormNotification == null)
{
return;
}
this.OnOrderMessageAddedExecutionFormNotification(sender, new OrderStateMessageEventArgs(orderStateMessage));
}
private void submitReplacementOrderFor(Order rejectedOrderToReplace)
{
Order replacement = this.createEmergencyCloseOrderInsteadOfRejected(rejectedOrderToReplace);
if (replacement == null)
{
string msgNoReplacement = "got NULL from CreateEmergencyCloseOrderInsteadOfRejected() for (" + rejectedOrderToReplace + "); ";
Assembler.PopupException(msgNoReplacement);
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(rejectedOrderToReplace, msgNoReplacement);
return;
}
try {
this.OPPsequencer.ReplaceLockingCloseOrder(rejectedOrderToReplace, replacement);
double priceScript = replacement.Alert.DataSource.StreamingProvider.StreamingDataSnapshot
.GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(
replacement.Alert.Bars.Symbol, replacement.Alert.Direction, out replacement.SpreadSide, true);
replacement.Alert.PositionAffected.ExitPriceScript = priceScript;
if (replacement.Alert.Bars.SymbolInfo.ReSubmittedUsesNextSlippage == true)
{
replacement.SlippageIndex++;
}
int emergencyCloseAttemptsMax = replacement.Alert.Bars.SymbolInfo.EmergencyCloseAttemptsMax;
string serno = "#[" + replacement.EmergencyCloseAttemptSerno + "]/[" + emergencyCloseAttemptsMax + "]";
string msg_replacement = "This is an EMERGENCY replacement " + serno + " for order["
+ replacement.EmergencyReplacementForGUID + "]; SlippageIndex[" + replacement.SlippageIndex + "]";
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(replacement, msg_replacement);
if (replacement.hasSlippagesDefined && replacement.noMoreSlippagesAvailable)
{
addMessageNoMoreSlippagesAvailable(replacement);
replacement.SlippageIndex = replacement.Alert.Bars.SymbolInfo.getSlippageIndexMax(replacement.Alert.Direction);
}
double slippage = replacement.Alert.Bars.SymbolInfo.getSlippage(
priceScript, replacement.Alert.Direction, replacement.SlippageIndex, false, false);
replacement.SlippageFill = slippage;
replacement.PriceRequested = priceScript + slippage;
string msg = "Scheduling SubmitOrdersThreadEntry [" + replacement.ToString() + "] slippageIndex["
+ replacement.SlippageIndex + "] through [" + replacement.Alert.DataSource.BrokerProvider + "]";
OrderStateMessage omsg = new OrderStateMessage(replacement, OrderState.PreSubmit, msg);
this.orderProcessor.UpdateOrderStateAndPostProcess(replacement, omsg);
ThreadPool.QueueUserWorkItem(new WaitCallback(replacement.Alert.DataSource.BrokerProvider.SubmitOrdersThreadEntry),
new object[] { new List <Order>()
{
replacement
} });
} catch (Exception e) {
Assembler.PopupException("Replacement wasn't submitted [" + replacement + "]", e);
OrderStateMessage omsg2 = new OrderStateMessage(replacement, OrderState.Error, e.Message);
this.orderProcessor.UpdateOrderStateAndPostProcess(replacement, omsg2);
}
}
public void AddMessageNoMoreSlippagesAvailable(Order order)
{
int slippageIndexMax = order.Alert.Bars.SymbolInfo.getSlippageIndexMax(order.Alert.Direction);
string msg2 = "Reached max slippages available for [" + order.Alert.Bars.Symbol + "]"
+ " order.SlippageIndex[" + order.SlippageIndex + "] > slippageIndexMax[" + slippageIndexMax + "]"
+ "; Order will have slippageIndexMax[" + slippageIndexMax + "]";
Assembler.PopupException(msg2);
//orderProcessor.updateOrderStatusError(orderExecuted, OrderState.RejectedLimitReached, msg2);
OrderStateMessage newOrderStateRejected = new OrderStateMessage(order, OrderState.RejectedLimitReached, msg2);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderStateRejected);
}
public void OrderFilledUnlockSequenceSubmitOpening(Order orderClosed)
{
List <List <Order> > lockingClosesFound = new List <List <Order> >();
lock (this.dictionaryLock) {
// if among all the keys we have an order, then we should have Open orders sequenced
foreach (List <Order> lockingCloseOrders in this.sequencerLockCloseOpen.Keys)
{
if (lockingCloseOrders.Contains(orderClosed) == false)
{
continue;
}
lockingClosesFound.Add(lockingCloseOrders);
}
// analyzing all locks for all symbols to find out whether this closed order released the lock
foreach (List <Order> lockingCloseFound in lockingClosesFound)
{
// delete the locking order from the list (most likely containing 1 order)
lockingCloseFound.Remove(orderClosed);
if (lockingCloseFound.Count > 0)
{
continue;
}
// delete the list of locks from global dictionary
List <Order> ordersOpen = this.sequencerLockCloseOpen[lockingCloseFound];
this.sequencerLockCloseOpen.Remove(lockingCloseFound);
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(orderClosed,
"last CloseOpenSequence order filled, unlocking submission of ["
+ ordersOpen.Count + "]ordersOpen");
if (ordersOpen.Count == 0)
{
continue;
}
// submitting all released opening orders
foreach (Order submitting in ordersOpen)
{
OrderStateMessage omsg = new OrderStateMessage(submitting, OrderState.Submitting,
"sequence cleared: [" + submitting.State + "]=>[" + OrderState.Submitting + "]"
+ " for [" + ordersOpen.Count + "] fellow ordersOpen"
+ " by orderClose=[" + orderClosed + "]");
this.orderProcessor.UpdateOrderStateAndPostProcess(submitting, omsg);
}
BrokerProvider broker = ordersOpen[0].Alert.DataSource.BrokerProvider;
ThreadPool.QueueUserWorkItem(new WaitCallback(broker.SubmitOrdersThreadEntryDelayed),
new object[] { ordersOpen, ordersOpen[0].Alert.Bars.SymbolInfo.SequencedOpeningAfterClosedDelayMillis });
}
}
}
public void InitializeSequence(List <Order> ordersClose, List <Order> ordersOpen)
{
lock (this.dictionaryLock) {
this.sequencerLockCloseOpen.Add(ordersClose, ordersOpen);
foreach (Order sequenced in ordersOpen)
{
OrderStateMessage omsg = new OrderStateMessage(sequenced, OrderState.SubmittingSequenced,
"sequence initialized: [" + sequenced.State + "]=>[" + OrderState.SubmittingSequenced + "]"
+ " for [" + ordersOpen.Count + "] fellow ordersOpen"
+ " by [" + ordersClose.Count + "]ordersClose");
this.orderProcessor.UpdateOrderStateAndPostProcess(sequenced, omsg);
}
}
}
public virtual void OrderPreSubmitEnrichCheckThrow(Order order)
{
string msg = Name + "::OrderPreSubmitChecker():"
+ " Guid[" + order.GUID + "]" + " SernoExchange[" + order.SernoExchange + "]"
+ " SernoSession[" + order.SernoSession + "]";
if (this.StreamingProvider == null)
{
msg = " StreamingProvider=null, can't get last/fellow/crossMarket price // " + msg;
OrderStateMessage newOrderState = new OrderStateMessage(order, OrderState.ErrorOrderInconsistent, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderState);
throw new Exception(msg);
}
try {
this.checkOrderThrowInvalid(order);
} catch (Exception ex) {
msg = ex.Message + " //" + msg;
//orderProcessor.updateOrderStatusError(order, OrderState.ErrorOrderInconsistent, msg);
OrderStateMessage newOrderState = new OrderStateMessage(order, OrderState.ErrorOrderInconsistent, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderState);
throw new Exception(msg, ex);
}
order.CurrentBid = this.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(order.Alert.Symbol);
order.CurrentAsk = this.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(order.Alert.Symbol);
this.OrderPreSubmitEnrichBrokerSpecificInjection(order);
// moved to orderProcessor::CreatePropagateOrderFromAlert()
// this.ModifyOrderTypeAccordingToMarketOrderAs(order);
if (order.Alert.Strategy.Script != null)
{
Order reason4lock = this.OrderProcessor.OPPemergency.GetReasonForLock(order);
bool isEmergencyClosingNow = (reason4lock != null);
//bool positionWasFilled = this.orderProcessor.positionWasFilled(order);
if (order.Alert.IsEntryAlert && isEmergencyClosingNow) // && positionWasFilled
//OrderState IRefuseUntilemrgComplete = this.orderProcessor.OPPemergency.getRefusalForEmergencyState(reason4lock);
{
OrderState IRefuseUntilemrgComplete = OrderState.IRefuseOpenTillEmergencyCloses;
msg = "Reason4lock: " + reason4lock.ToString();
OrderStateMessage omsg = new OrderStateMessage(order, IRefuseUntilemrgComplete, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, omsg);
throw new Exception(msg);
}
}
}
private void throwLogIfEmergencyCloseInterrupted(Order replacementOrder)
{
Order reason4lock = this.GetReasonForLock(replacementOrder);
lock (this.interruptedEmergencyLockReasons) {
if (this.interruptedEmergencyLockReasons.Contains(reason4lock) == false)
{
return;
}
}
string msg = "InterruptedEmergencyLockReasons.Contains reason4lock[" + reason4lock + "] for replacementOrder[" + replacementOrder + "]";
Assembler.PopupException(msg);
OrderStateMessage newOrderStateRejected = new OrderStateMessage(replacementOrder, OrderState.EmergencyCloseUserInterrupted, msg);
this.orderProcessor.UpdateOrderStateAndPostProcess(replacementOrder, newOrderStateRejected);
throw new Exception(msg);
}
internal bool AnnihilateCounterpartyAlert(Alert alert)
{
if (alert.OrderFollowed == null)
{
string msg = "can't AnnihilateCounterparty: OrderFollowed=null for alert=[" + alert + "]";
throw new Exception(msg);
//this.executor.ThrowPopup(new Exception(msg));
}
if (alert.PositionAffected == null)
{
string msg = "can't AnnihilateCounterparty: PositionAffected=null for alert=[" + alert + "]";
throw new Exception(msg);
//this.executor.ThrowPopup(new Exception(msg));
}
if (alert.IsEntryAlert)
{
string msg = "can't AnnihilateCounterparty: alert.isEntryAlert for alert=[" + alert + "]";
throw new Exception(msg);
//this.executor.ThrowPopup(new Exception(msg));
}
OrderStateMessage newOrderState = null;
if (alert.PositionAffected.ClosedByTakeProfitLogically) //copy from dispatcher (caller of a caller)
{
string msg = "position ClosedByTakeProfit@" + alert.PriceScript + ", annihilating StopLoss";
newOrderState = new OrderStateMessage(alert.OrderFollowed, OrderState.SLAnnihilated, msg);
}
else
{
string msg = "position ClosedByStopLoss@" + alert.PriceScript + ", annihilating TakeProfit";
newOrderState = new OrderStateMessage(alert.OrderFollowed, OrderState.TPAnnihilated, msg);
}
executor.OrderProcessor.UpdateOrderStateNoPostProcess(alert.OrderFollowed, newOrderState);
executor.OrderProcessor.KillOrderUsingKillerOrder(alert.OrderFollowed);
//this.executor.RemovePendingExitAlert(alert, "MarketRealtime:AnnihilateCounterparty(): ");
bool removed = this.executor.ExecutionDataSnapshot.AlertsPendingRemove(alert);
return(true);
}
private void throwLogAndAppendMessageIfNextAttemptReachesLimit(Order rejectedExitOrder)
{
if (rejectedExitOrder.IsEmergencyClose == false)
{
return;
}
int emergencyCloseAttemptsMax = rejectedExitOrder.Alert.Bars.SymbolInfo.EmergencyCloseAttemptsMax;
if (rejectedExitOrder.EmergencyCloseAttemptSerno + 1 < emergencyCloseAttemptsMax)
{
return;
}
string msg = "no more EmergencyCloseAttempts:"
+ " EmergencyCloseAttemptSerno[" + rejectedExitOrder.EmergencyCloseAttemptSerno
+ "]>= EmergencyCloseAttemptsMax[" + emergencyCloseAttemptsMax + "]"
+ " emergencyReplacement[" + rejectedExitOrder + "]";
OrderStateMessage omsg = new OrderStateMessage(rejectedExitOrder, OrderState.EmergencyCloseLimitReached, msg);
this.orderProcessor.UpdateOrderStateAndPostProcess(rejectedExitOrder, omsg);
throw new Exception(msg);
}
public void OrderFilledUnlockSequenceSubmitOpening(Order order)
{
List <List <Order> > ordersCloseFoundInKeys = new List <List <Order> >();
lock (this.ordersCloseOpen) {
foreach (List <Order> ordersClose in this.ordersCloseOpen.Keys)
{
if (ordersClose.Contains(order) == false)
{
continue;
}
ordersCloseFoundInKeys.Add(ordersClose);
}
foreach (List <Order> ordersCloseFound in ordersCloseFoundInKeys)
{
ordersCloseFound.Remove(order);
if (ordersCloseFound.Count == 0)
{
List <Order> ordersOpen = this.ordersCloseOpen[ordersCloseFound];
this.ordersCloseOpen.Remove(ordersCloseFound);
if (ordersOpen.Count == 0)
{
continue;
}
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(order,
"last CloseOpenSequence order filled, unlocking submission of [" + ordersOpen.Count + "]ordersOpen");
foreach (Order submitting in ordersOpen)
{
OrderStateMessage omsg = new OrderStateMessage(submitting, OrderState.Submitting,
"sequence cleared: [" + submitting.State + "]=>[" + OrderState.Submitting + "]"
+ " for [" + ordersOpen.Count + "] fellow ordersOpen"
+ " by orderClose=[" + order + "]");
this.orderProcessor.UpdateOrderStateAndPostProcess(submitting, omsg);
}
BrokerProvider broker = ordersOpen[0].Alert.DataSource.BrokerProvider;
ThreadPool.QueueUserWorkItem(new WaitCallback(broker.SubmitOrdersThreadEntry), new object[] { ordersOpen });
}
}
}
}
private void removeEmergencyLock(Order filledEmergencyOrder, OrderState stateCompletedOrInterrupted)
{
OrderPostProcessorEmergencyLock emergencyLock = new OrderPostProcessorEmergencyLock(filledEmergencyOrder);
string msgPost = "EmergencyLock Removed [" + emergencyLock + "]";
if (this.emergencyLocks.Contains(emergencyLock) == false)
{
string msg = "no EmergencyLock to remove: multiple QUIK callbacks? if u can find [" + msgPost
+ "] earlier in thisOrder.Messages then it's ok";
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(filledEmergencyOrder, msg);
Assembler.PopupException(msg);
//throw new Exception(msg);
return;
}
lock (this.emergencyLocks) {
this.emergencyLocks.Remove(emergencyLock);
}
OrderStateMessage omsgPost = new OrderStateMessage(filledEmergencyOrder, stateCompletedOrInterrupted, msgPost);
this.orderProcessor.UpdateOrderStateAndPostProcess(filledEmergencyOrder, omsgPost);
}
private void closeEmergencyThreadEntry(Order rejectedExitOrder)
{
try {
throwLogIfNotRejectedClosingOrder(rejectedExitOrder);
throwLogAndAppendMessageIfNoEmergencyLockFor(rejectedExitOrder);
throwLogAndAppendMessageIfNextAttemptReachesLimit(rejectedExitOrder);
} catch (Exception) {
return;
}
OrderState newState = rejectedExitOrder.ComplementaryEmergencyStateForError;
string changeState = "ExitOrderCriticalState[" + rejectedExitOrder.State + "]=>[" + newState + "]";
int millis = rejectedExitOrder.Alert.Bars.SymbolInfo.EmergencyCloseDelayMillis;
if (millis > 0)
{
string msg = "Emergency sleeping millis[" + millis + "] before " + changeState;
OrderStateMessage omsg = new OrderStateMessage(rejectedExitOrder, newState, msg);
this.orderProcessor.UpdateOrderStateAndPostProcess(rejectedExitOrder, omsg);
Thread.Sleep(millis);
}
string msg2 = changeState + " after having slept millis[" + millis + "]";
if (rejectedExitOrder.State == newState)
{
// announced "sleeping xxx before"
this.orderProcessor.AppendOrderMessageAndPropagateCheckThrowOrderNull(rejectedExitOrder, msg2);
}
else
{
// didnt announce "sleeping xxx before"
OrderStateMessage omsg2 = new OrderStateMessage(rejectedExitOrder, newState, msg2);
this.orderProcessor.UpdateOrderStateAndPostProcess(rejectedExitOrder, omsg2);
}
this.submitReplacementOrderFor(rejectedExitOrder);
}
public virtual void OrderKillSubmitUsingKillerOrder(Order killerOrder)
{
if (string.IsNullOrEmpty(killerOrder.VictimGUID))
{
throw new Exception("killerOrder.KillerForGUID=EMPTY");
}
if (killerOrder.VictimToBeKilled == null)
{
throw new Exception("killerOrder.VictimToBeKilled=null");
}
string msg = "State[" + killerOrder.State + "]"
+ " [" + killerOrder.Alert.Symbol + "/" + killerOrder.Alert.SymbolClass + "]"
+ " VictimToBeKilled.SernoExchange[" + killerOrder.VictimToBeKilled.SernoExchange + "]";
msg = Name + "::UsingKillerOrder(): " + msg;
Assembler.PopupException(msg);
OrderStateMessage omsgKiller = new OrderStateMessage(killerOrder, OrderState.KillerPreSubmit, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(killerOrder, omsgKiller);
this.OrderKillSubmit(killerOrder.VictimToBeKilled);
}
public void AppendOrderMessageAndRaiseOrderMessageAddedExecutionFormNotification(object sender, OrderStateMessage orderStateMessage)
{
orderStateMessage.Order.AppendMessageSynchronized(orderStateMessage);
this.OrderEventDistributor.RaiseOrderMessageAddedExecutionFormNotification(sender, orderStateMessage);
}
public abstract string OrderCallbackDupeResonWhy(
Order order, OrderStateMessage newStateOmsg, double priceFill, double qtyFill);
public override string OrderCallbackDupeResonWhy(
Order order, OrderStateMessage newStateOmsg, double priceFill, double qtyFill)
{
return(null);
}
public virtual void ModifyOrderTypeAccordingToMarketOrderAs(Order order)
{
string msg = Name + "::ModifyOrderTypeAccordingToMarketOrderAs():"
+ " Guid[" + order.GUID + "]" + " SernoExchange[" + order.SernoExchange + "]"
+ " SernoSession[" + order.SernoSession + "]";
order.CurrentBid = this.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(order.Alert.Symbol);
order.CurrentAsk = this.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(order.Alert.Symbol);
double priceBestBidAsk = this.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(
order.Alert.Symbol, order.Alert.PositionLongShortFromDirection);
switch (order.Alert.MarketLimitStop)
{
case MarketLimitStop.Market:
//if (order.PriceRequested != 0) {
// string msg1 = Name + "::OrderSubmit(): order[" + order + "] is MARKET, dropping Price[" + order.PriceRequested + "] replacing with current Bid/Ask ";
// order.addMessage(new OrderStateMessage(order, order.State, msg1));
// Assembler.PopupException(msg1);
// order.PriceRequested = 0;
//}
if (order.Alert.Bars == null)
{
msg = "order.Bars=null; can't align order and get Slippage; returning with error // " + msg;
Assembler.PopupException(msg);
//order.AppendMessageAndChangeState(new OrderStateMessage(order, OrderState.ErrorOrderInconsistent, msg));
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, new OrderStateMessage(order, OrderState.ErrorOrderInconsistent, msg));
throw new Exception(msg);
}
switch (order.Alert.MarketOrderAs)
{
case MarketOrderAs.MarketZeroSentToBroker:
order.PriceRequested = 0;
msg = "SymbolInfo[" + order.Alert.Symbol + "/" + order.Alert.SymbolClass + "].OverrideMarketPriceToZero==true"
+ "; setting Price=0 (Slippage=" + order.SlippageFill + ") //" + msg;
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
order.Alert.MarketLimitStop = MarketLimitStop.Limit;
msg = this.ModifyOrderTypeAccordingToMarketOrderAsBrokerSpecificInjection(order);
msg = "[" + order.Alert.MarketLimitStop + "]=>[" + MarketLimitStop.Limit + "](" + order.Alert.MarketOrderAs + ") // " + msg;
break;
case MarketOrderAs.LimitCrossMarket:
order.Alert.MarketLimitStop = MarketLimitStop.Limit;
msg = "PreSubmit: doing nothing for Alert.MarketOrderAs=[" + order.Alert.MarketOrderAs + "]"
+ " //" + msg;
break;
case MarketOrderAs.LimitTidal:
order.Alert.MarketLimitStop = MarketLimitStop.Limit;
msg = "PreSubmit: doing nothing for Alert.MarketOrderAs=[" + order.Alert.MarketOrderAs + "]"
+ " //" + msg;
break;
default:
msg = "no handler for Market Order with Alert.MarketOrderAs[" + order.Alert.MarketOrderAs + "] // " + msg;
OrderStateMessage newOrderState2 = new OrderStateMessage(order, OrderState.ErrorOrderInconsistent, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderState2);
throw new Exception(msg);
}
//if (order.Alert.Bars.SymbolInfo.OverrideMarketPriceToZero == true) {
//} else {
// if (order.PriceRequested == 0) {
// base.StreamingProvider.StreamingDataSnapshot.getAlignedBidOrAskTidalOrCrossMarketFromStreaming(
// order.Alert.Symbol, order.Alert.Direction, out order.PriceRequested, out order.SpreadSide, ???);
// order.PriceRequested += order.Slippage;
// order.PriceRequested = order.Alert.Bars.alignOrderPriceToPriceLevel(order.PriceRequested, order.Alert.Direction, order.Alert.MarketLimitStop);
// }
//}
//order.addMessage(new OrderStateMessage(order, order.State, msg));
//Assembler.PopupException(msg);
break;
case MarketLimitStop.Limit:
order.SpreadSide = OrderSpreadSide.ERROR;
switch (order.Alert.Direction)
{
case Direction.Buy:
case Direction.Cover:
if (priceBestBidAsk <= order.PriceRequested)
{
order.SpreadSide = OrderSpreadSide.BidTidal;
}
break;
case Direction.Sell:
case Direction.Short:
if (priceBestBidAsk >= order.PriceRequested)
{
order.SpreadSide = OrderSpreadSide.AskTidal;
}
break;
default:
msg += " No Direction[" + order.Alert.Direction + "] handler for order[" + order.ToString() + "]"
+ "; must be one of those: Buy/Cover/Sell/Short";
//orderProcessor.updateOrderStatusError(order, OrderState.Error, msg);
OrderStateMessage newOrderState = new OrderStateMessage(order, OrderState.Error, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderState);
throw new Exception(msg);
}
break;
case MarketLimitStop.Stop:
case MarketLimitStop.StopLimit:
order.SpreadSide = OrderSpreadSide.ERROR;
switch (order.Alert.Direction)
{
case Direction.Buy:
case Direction.Cover:
if (priceBestBidAsk >= order.PriceRequested)
{
order.SpreadSide = OrderSpreadSide.AskTidal;
}
break;
case Direction.Sell:
case Direction.Short:
if (priceBestBidAsk <= order.PriceRequested)
{
order.SpreadSide = OrderSpreadSide.BidTidal;
}
break;
default:
msg += " No Direction[" + order.Alert.Direction + "] handler for order[" + order.ToString() + "]"
+ "; must be one of those: Buy/Cover/Sell/Short";
//orderProcessor.updateOrderStatusError(order, OrderState.Error, msg);
OrderStateMessage newOrderState = new OrderStateMessage(order, OrderState.Error, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, newOrderState);
throw new Exception(msg);
}
break;
default:
msg += " No MarketLimitStop[" + order.Alert.MarketLimitStop + "] handler for order[" + order.ToString() + "]"
+ "; must be one of those: Market/Limit/Stop";
//orderProcessor.updateOrderStatusError(order, OrderState.Error, msg);
OrderStateMessage omsg = new OrderStateMessage(order, OrderState.Error, msg);
this.OrderProcessor.UpdateOrderStateAndPostProcess(order, omsg);
throw new Exception(msg);
}
order.AppendMessage(msg);
}
