public void MaxDD()
{
PositionTracker pt = new PositionTracker();
const string sym = "TST";
System.Collections.Generic.List <TradeLink.API.Trade> fills = new System.Collections.Generic.List <TradeLink.API.Trade>();
TradeImpl t = new TradeImpl(sym, 10, 100);
System.Collections.Generic.List <decimal> ret = new System.Collections.Generic.List <decimal>();
fills.Add(t);
pt.Adjust(t);
t = new TradeImpl(sym, 11, -100);
fills.Add(t);
ret.Add(pt.Adjust(t));
t = new TradeImpl(sym, 11, -100);
pt.Adjust(t);
fills.Add(t);
t = new TradeImpl(sym, 13, 100);
fills.Add(t);
ret.Add(pt.Adjust(t));
decimal maxdd = Calc.MaxDDVal(ret.ToArray());
decimal maxddp = Calc.MaxDDPct(fills);
Assert.AreEqual(-300, maxdd);
Assert.AreEqual(-.18m, Math.Round(maxddp, 2));
}
public void Adjust()
{
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
IAccount account = new SimAccount("TEST", "testing", 1000M, 100, "SIM");
account.Securities.AddSecurity(ts);
TradeImpl t1 = new TradeImpl(s, 100, 100);
t1.Account = account;
t1.Security = ts;
PositionTracker pt = new PositionTracker(account);
// make we have no position yet
Assert.True(pt[t1.Symbol].IsFlat);
// send some adjustments
decimal cpl = 0;
cpl += pt.Adjust(t1);
cpl += pt.Adjust(t1);
// verify that adjustments took hold
Assert.Equal(0, cpl);
Assert.Equal(200, pt[t1.Symbol].Size);
}
public override void GotFill(Trade fill)
{
// make sure tracker has correct position
_pt.Adjust(fill);
// notify user
q.newPosition(_pt[fill.symbol]);
}
public override void GotFill(Trade fill)
{
// make sure fills are tracked as positions
pt.Adjust(fill);
// send profit order for this new position
sendoffset(fill.symbol);
}
public void InitAndAdjust()
{
string sym = "IBM";
ForexSecurity ts = new ForexSecurity(sym);
IAccount account = new SimAccount("TEST");
account.Securities.AddSecurity(ts);
// startup position tracker
PositionTracker pt = new PositionTracker(account);
PositionTracker pt2 = new PositionTracker(account);
// give pt our initial position
PositionImpl init = new PositionImpl(ts, 0, 0, 0, account);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
TradeImpl fill = new TradeImpl(ts.Name, 100, 100);
fill.Account = account;
fill.Security = ts;
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.Equal(100, pt[sym].Size);
Assert.Equal(100, pt2[sym].Size);
}
public override void GotPosition(Position p)
{
if (_symbols.Contains(p.FullSymbol))
{
_positiontracker.Adjust(p);
}
}
void tl_gotFill(Trade t)
{
// keep track of position
_pt.Adjust(t);
// see if we're using virtual ids
if (_ao._virtids.Checked && (t.id != 0))
{
// get the map
uint rorderid = aspid2responseid(t.id);
// if we don't have a map, create one
if (rorderid == 0)
{
// get id
rorderid = _masteridt.AssignId;
// map it
_r2a.Add(rorderid, t.id);
// map other way
_a2r.Add(t.id, rorderid);
}
// apply map
t.id = rorderid;
}
// send trade notification to any valid requesting responses
for (int i = 0; i < _reslist.Count; i++)
{
if (_reslist[i].isValid)
{
_reslist[i].GotFill(t);
}
}
}
public void GotFill(Trade fill)
{
D("fill: " + fill.ToString());
pt.Adjust(fill);
decimal openpl = Calc.OpenPL(pairs.Aprice, pt[pairs.Asym]) + Calc.OpenPL(pairs.Bprice, pt[pairs.Bsym]);
if ((openpl > 200) || (openpl < -100))
{
shutdown();
}
}
public void MultipleAccount()
{
// setup defaults for 1st and 2nd accounts and positions
string sym = "TST";
string a1 = "account1";
string a2 = "account2";
int s1 = 300;
int s2 = 500;
decimal p = 100m;
// create position tracker
PositionTracker pt = new PositionTracker();
// set initial position in 1st account
pt.Adjust(new PositionImpl(sym, p, s1, 0, a1));
// set initial position in 2nd account
pt.Adjust(new PositionImpl(sym, p, s2, 0, a2));
// verify I can query default account and it's correct
Assert.AreEqual(s1, pt[sym].Size);
// change default to 2nd account
pt.DefaultAccount = a2;
// verify I can query default and it's correct
Assert.AreEqual(s2, pt[sym].Size);
// verify I can query 1st account and correct
Assert.AreEqual(s1, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2, pt[sym, a2].Size);
// get fill in sym for 1st account
TradeImpl f = new TradeImpl(sym, p, s1);
f.Account = a1;
pt.Adjust(f);
// get fill in sym for 2nd account
TradeImpl f2 = new TradeImpl(sym, p, s2);
f2.Account = a2;
pt.Adjust(f2);
// verify that I can querry 1st account and correct
Assert.AreEqual(s1 * 2, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2 * 2, pt[sym, a2].Size);
// reset
pt.Clear();
// ensure I can query first and second account and get flat symbols
Assert.AreEqual(0, pt[sym].Size);
Assert.AreEqual(0, pt[sym, a1].Size);
Assert.AreEqual(0, pt[sym, a2].Size);
Assert.IsTrue(pt[sym, a1].isFlat);
Assert.IsTrue(pt[sym, a2].isFlat);
Assert.IsTrue(pt[sym].isFlat);
Assert.AreEqual(string.Empty, pt.DefaultAccount);
}
public override void GotFill(Trade fill)
{
base.GotFill(fill);
// make sure every fill is tracked against a position
track_positions.Adjust(fill);
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
//senddebug("GotFill(): sym: " + fill.symbol + " size:" + fill.xsize + " price: " + fill.xprice + " time: " + fill.xtime + " side: " + fill.side + " id: " + fill.id);
}
public override void GotFill(Trade fill)
{
D("fill: " + fill.ToString());
pt.Adjust(fill);
decimal openpl = Calc.OpenPL(pairs.Aprice, pt[pairs.Asym]) + Calc.OpenPL(pairs.Bprice, pt[pairs.Bsym]);
if ((openpl > _profit) || (openpl < _loss))
{
shutdown();
}
if (pt[Asym].isFlat && pt[Bsym].isFlat)
{
entrysignal = false;
exitsignal = false;
}
}
void dofillupdate(ref structSTITradeUpdate t)
{
Trade f = new TradeImpl();
f.symbol = t.bstrSymbol;
f.Account = t.bstrAccount;
long id = 0;
if (long.TryParse(t.bstrClOrderId, out id))
{
f.id = id;
}
else
{
f.id = t.nOrderRecordId;
}
f.xprice = (decimal)t.fExecPrice;
f.xsize = t.nQuantity;
long now = Convert.ToInt64(t.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.side = t.bstrSide == "B";
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
f.ex = t.bstrDestination;
pt.Adjust(f);
tl.newFill(f);
if (VerboseDebugging)
{
debug("new trade sent: " + f.ToString() + " " + f.id);
}
}
public void ClosedPL()
{
const string sym = "RYN";
PositionTracker pt = new PositionTracker();
Position p = new PositionImpl(sym, 44.39m, 800, 0);
pt.Adjust(p);
System.IO.StreamReader sr = new System.IO.StreamReader("TestPositionClosedPL.txt");
string[] file = sr.ReadToEnd().Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
foreach (string line in file)
{
Trade t = TradeImpl.FromString(line);
pt.Adjust(t);
}
Assert.AreEqual(-66, pt[sym].ClosedPL);
}
/// <summary>
/// Called whenever we got a trade signal
/// </summary>
/// <param name="f"></param>
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
int sizebefore = _pt[fill.symbol].Size;
_pt.Adjust(fill);
bool isclosing = (sizebefore) * fill.xsize < 0;
if (isclosing)
{
decimal pl = Calc.Sum(Calc.AbsoluteReturn(_pt));
TotalProfit = pl;
}
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
#if DEBUG
string line = FormatLog(_pt[0].ToString());
debugWriter.WriteLine(line);
#endif
}
public static decimal GetPortfolioPlot(string title, decimal start, int startdate, int starttime, int enddate, int endtime, List <Trade> trades, ref ChartControl c)
{
var cureq = start;
if (trades.Count == 0)
{
return(GetPortfolioPlot(title, start, startdate, starttime, enddate, endtime, ref c));
}
c.NewBarList(new BarListImpl(title));
var tradessorted = SortTrades(trades);
c.newPoint(title, cureq, 0, tradessorted[0].xdate, 100);
// plot money made
PositionTracker pt = new PositionTracker();
foreach (var t in tradessorted)
{
var pl = pt.Adjust(t);
cureq += pl;
c.newPoint(title, cureq, t.xtime, t.xdate, 100);
}
c.redraw();
// set final equity
return(cureq);
}
void tl_gotPosition(Position pos)
{
if (RewriteSecuritySymbols)
{
Security sec;
if (allbaskets.TryGetSecurityAnySymbol(pos.symbol, out sec))
{
pos = new PositionImpl(sec.FullName, pos.AvgPrice, pos.Size, pos.ClosedPL, pos.Account);
}
}
debug(pos.symbol + " new position: " + pos.ToString());
pt.Adjust(pos);
if (actpos != null)
{
actpos.GotPosition(pos);
}
if (rpos != null)
{
try
{
rpos.GotPosition(pos);
}
catch (Exception ex)
{
debug(rname + " got position error: " + ex.Message + ex.StackTrace + " on position : " + pos.ToString());
status(rname + " position error, see debug for details.");
}
}
}
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
track_positions.Adjust(fill);
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
senddebug("GotFill(): sym: " + fill.symbol + " size:" + fill.xsize + " price: " + fill.xprice + " time: " + fill.xtime + " side: " + fill.side + " id: " + fill.id);
// get index for this symbol
//int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
//if (idx < 0) return;
// stop waiting
//_wait[fill.symbol] = false;
}
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
pt.Adjust(fill);
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
}
public void ClosedPL()
{
const string sym = "RYN";
ForexSecurity ts = new ForexSecurity(sym);
IAccount acc = new SimAccount("TST");
acc.Securities.AddSecurity(ts);
PositionTracker pt = new PositionTracker(acc);
Position p = new PositionImpl(ts, 44.39m, 800, 0, acc);
pt.Adjust(p);
Position p2 = new PositionImpl(ts, 44.39m, -800, 0, acc);
pt.Adjust(p2);
Assert.Equal(0, pt[sym].GrossPnL);
}
Position[] ServerBlackwood_newPosList(string account)
{
foreach (BWStock s in m_Session.GetOpenPositions())
{
Position p = new PositionImpl(s.Symbol, (decimal)s.Price, s.Size, (decimal)s.ClosedPNL);
pt.Adjust(p);
}
return(pt.ToArray());
}
public override void GotFill(TradeLink.API.Trade fill)
{
// keep track of position
D(fill.symbol + " fill: " + fill.ToString());
_pt.Adjust(fill);
// ensure fill comes from this response
int idx = _entrysignal.getindex(fill.symbol);
if (idx < 0)
{
return;
}
// reset signals if we're flat (allows re-entry)
if (_pt[fill.symbol].isFlat)
{
_entrysignal[fill.symbol] = false;
_exitsignal[fill.symbol] = false;
}
}
public void InitAndAdjust()
{
const string sym = "IBM";
// startup position tracker
PositionTracker pt = new PositionTracker();
PositionTracker pt2 = new PositionTracker();
// give pt our initial position
Position init = new PositionImpl(sym, 0, 0);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
Trade fill = new TradeImpl(sym, 100, 100);
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.AreEqual(100, pt[sym].Size);
Assert.AreEqual(100, pt2[sym].Size);
}
public void Adjust()
{
const string s = "IBM";
TradeImpl t1 = new TradeImpl(s, 100, 100);
PositionTracker pt = new PositionTracker();
// make we have no position yet
Assert.IsTrue(pt[t1.symbol].isFlat);
// send some adjustments
decimal cpl = 0;
cpl += pt.Adjust(t1);
cpl += pt.Adjust(t1);
// verify that adjustments took hold
Assert.AreEqual(0, cpl);
Assert.AreEqual(200, pt[t1.symbol].Size);
}
void tl_gotFill(Trade t)
{
// keep track of position
_pt.Adjust(t);
// get requesting responses if any
int[] idxs = new int[0];
// if no requestors, ignore symbol
if (!_symidx.TryGetValue(t.Sec.FullName, out idxs))
{
return;
}
// send trade notification to any valid requesting responses
foreach (int idx in idxs)
{
if (_reslist[idx].isValid)
{
_reslist[idx].GotFill(t);
}
}
}
public override void GotFill(TradeLink.API.Trade fill)
{
// keep track of position
D(fill.symbol + " fill: " + fill.ToString());
track_positions.Adjust(fill);
// ensure fill comes from this response
int idx = track_symbols.getindex(fill.symbol); // dimon: imho this is ugly (error prone) method. What if 2 strategies working with same symbol simultaneously? it all will go to hell..
if (idx < 0)
{
return;
}
// reset signals if we're flat (allows re-entry)
if (track_positions[fill.symbol].isFlat)
{
track_symbols[fill.symbol] = false;
track_exitsignals[fill.symbol] = false;
}
}
private void ClientGotInitialPosition(Position obj)
{
System.Windows.Application.Current.Dispatcher.Invoke(() =>
{
if (_positiontracker.IsTracked(obj.FullSymbol))
{
int pos = PositionTable.Select(row => row.Symbol).ToList().IndexOf(obj.FullSymbol); // should exist
PositionTable[pos].AvgPrice = obj.AvgPrice;
PositionTable[pos].Size = obj.Size;
PositionTable[pos].ClosePL = obj.ClosedPL;
PositionTable[pos].OpenPL = obj.OpenPL;
}
else
{
int count = PositionTable.Count;
// ?? A first chance exception system notsupportedexception presentationframework dll ??
PositionTable.Add(new PositionEntry(count, obj.FullSymbol, obj.AvgPrice, obj.Size, obj.ClosedPL, obj.OpenPL));
}
});
_positiontracker.Adjust(obj);
}
/// <summary>
/// Converts a list of trades to an array of delimited string data also containing closedPL,
/// suitable for output to file for reading by excel, R, matlab, etc.
/// </summary>
/// <param name="tradelist"></param>
/// <param name="delimiter"></param>
/// <returns></returns>
public static string[] TradesToClosedPL(List <Trade> tradelist, char delimiter)
{
List <string> rowoutput = new List <string>();
PositionTracker pt = new PositionTracker(null);
foreach (TradeImpl t in tradelist)
{
string r = t.ToString(delimiter, false) + delimiter;
string s = t.Symbol;
int csize = 0;
var cpl = pt.Adjust(t);
var opl = Calc.OpenPL(t.Xprice, pt[s]);
if (cpl != 0)
{
csize = t.Xsize; // if we closed any pl, get the size
}
string[] pl = { opl.ToString("0.00#####", CultureInfo.InvariantCulture), cpl.ToString("0.00#####", CultureInfo.InvariantCulture), pt[s].Size.ToString(CultureInfo.InvariantCulture), csize.ToString(CultureInfo.InvariantCulture), pt[s].AvgPrice.ToString("0.00#####", CultureInfo.InvariantCulture) };
r += string.Join(delimiter.ToString(), pl);
rowoutput.Add(r);
}
return(rowoutput.ToArray());
}
/// <summary>
/// Called whenever we got a trade signal
/// </summary>
/// <param name="f"></param>
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
int sizebefore = _pt[fill.symbol].Size;
_pt.Adjust(fill);
bool isclosing = (sizebefore) * fill.xsize < 0;
if (isclosing)
{
decimal pl = Calc.Sum(Calc.AbsoluteReturn(_pt));
_totalprofit = pl;
}
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
}
void MessageCache_CacheEvent(int action, int row)
{
switch (action)
{
case 1: //CN_Submit
break;
case 4: //CN_Insert
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderReferenceNumber = String.Empty;
Order o = new OrderImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
o.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
v("order side: " + cv.ToString());
if (cv.ToString() == "BUY")
{
o.side = true;
}
else if (cv.ToString() == "SELL")
{
o.side = false;
}
else if (cv.ToString().Contains("SHORT"))
{
o.side = false;
}
}
_messageCache.VBGetCell(row, "QUANTITY", ref cv, ref err);
if (!(cv == null))
{
o.size = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "PRICE", ref cv, ref err);
if (!(cv == null))
{
o.price = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "STOPPRICE", ref cv, ref err);
if (!(cv == null))
{
o.stopp = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
o.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
orderReferenceNumber = cv.ToString();
}
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "Open")
{
o.id = row;
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
o.time = ((int)(rem % 10000)) * 100 + xsec;
o.date = (int)((rem - o.time) / 10000);
o.size = o.side ? o.UnsignedSize : o.UnsignedSize * -1;
OrderIdDict.Add(orderReferenceNumber, (long)row);
if (_onotified.Contains((int)row))
{
return;
}
_onotified.Add(o.id);
tl.newOrder(o);
v("order ack received and sent: " + o.ToString());
}
else if (cv.ToString() == "Canceled")
{
long id = OrderIdDict[orderReferenceNumber];
tl.newCancel(id);
v("order cancel ack received and sent: " + id);
}
else if (cv.ToString() == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
{
f.id = id;
}
else
{
f.id = _idt.AssignId;
}
f.id = id;
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (cv != null)
{
f.xprice = decimal.Parse(cv.ToString());
}
else
{
v(f.symbol + " error getting EXECPRICE, err: " + err + " retrying...");
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (cv != null)
{
f.xprice = decimal.Parse(cv.ToString());
}
else
{
v(f.symbol + " error getting EXECPRICE, err: " + err + " retrying new method...");
_messageCache.VBGetCell(row, "EXECVALUE", ref cv, ref err);
bool ok = false;
decimal val = 0;
int usize = Math.Abs(f.xsize);
if (cv != null)
{
if (decimal.TryParse(cv.ToString(), out val))
{
if ((val != 0) && (usize != 0))
{
ok = true;
f.xprice = val / usize;
}
else
{
}
}
}
if (!ok)
{
v(f.symbol + " error inferring EXECPRICE, usize: " + usize + " execval: " + val);
}
}
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
else
{
_messageCache.VBGetCell(row, "EXECSIDE", ref cv, ref err);
}
if (!(cv == null))
{
if (cv.ToString().Contains("BUY"))
{
f.side = true;
}
else if (cv.ToString().Contains("SELL") ||
cv.ToString().Contains("SHORT"))
{
f.side = false;
}
else
{
v("invalid fill side: " + cv.ToString());
}
}
f.xtime = Util.ToTLDate();
f.xdate = Util.ToTLTime();
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
{
debug("ignoring invalid fill: " + f.ToString());
}
}
}
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
break;
case 5: //CN_Update
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderStatus = null;
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
orderStatus = cv.ToString();
}
if (orderStatus == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
{
f.id = id;
}
else
{
f.id = _idt.AssignId;
}
f.id = id;
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (!(cv == null))
{
f.xprice = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "BUY")
{
f.side = true;
}
else if (cv.ToString() == "SELL")
{
f.side = false;
}
}
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
{
debug("ignoring invalid fill: " + f.ToString());
}
}
if (orderStatus == "Partial")
{
}
}
catch (Exception exc)
{
debug(exc.Message);
}
}
break;
case 8: //CN_Remove
break;
}
}
public override void GotFill(Trade fill)
{
_pt.Adjust(fill);
}
