/// <summary>
/// Calculate the VWAP price
/// </summary>
/// <returns></returns>
private double GetVWAP(string Symbol, enumOrderType orderType, enumSide side)
{
double VWAP = 0;
if (orderType.Equals(enumOrderType.Market))
{
VWAP = Convert.ToDouble(Int16.MinValue); // For a market type, return a -32768
}
else
{
List <ExchangeOrder> liveOrders = null;
int qty = 0;
if (side.Equals(enumSide.Buy) && Sells.ContainsKey(Symbol))
{
liveOrders = Sells[Symbol];
}
if (side.Equals(enumSide.Sell) && Buys.ContainsKey(Symbol))
{
liveOrders = Buys[Symbol];
}
if (liveOrders == null)
{
VWAP = Convert.ToDouble(Int16.MaxValue);
}
foreach (ExchangeOrder eo in liveOrders)
{
VWAP += eo.Offer * eo.Volume;
qty += eo.Volume;
}
if (!qty.Equals(0.0))
{
VWAP /= qty;
}
else
{
throw new DivideByZeroException(string.Format("Quantity becomes ZERO in GetVWAP, how come! Sybmol {0}, Side {1}", Symbol, side));
}
}
return(VWAP);
}
/// <summary>
///
/// </summary>
/// <param name="order"></param>
/// <param name="AdminMode">PlaceSell supports AdminMode to add company</param>
public enumStatus PlaceSell(Order order, bool AdminMode = false)
{
if (!AdminMode && !CanSell(order))
{
ServerLog.LogError("Exchange: ShortSell is not allowed");
return(enumStatus.Rejected);
}
if (MatchMeDB.Instance.AddOrder(order).Equals(enumStatus.OrderPlaced))
{
order.OrderStatus = enumStatus.PendingNew;
MatchMeDB.Instance.UpdateOrder(order);
}
if (!order.OrderSide.Equals(enumSide.Sell))
{
ServerLog.LogError("Exchange: This is for the sell Orders, don't insert Others to here");
return(enumStatus.OrderPlaceError);
}
ExchangeOrder newExOrder = new ExchangeOrder(order.Volume, order.Price, order.Id, order.Created);
List <ExchangeOrder> matchedBuy = new List <ExchangeOrder>();
MatchSell(order.Symbol, newExOrder, out matchedBuy);
Order orderInDB = new Order(MatchMeDB.Instance.Orders[order.Id]);
int matchedQuantity = matchedBuy != null && matchedBuy.Count > 0 ? matchedBuy.Sum(a => a.Volume) : 0;
if (newExOrder.Volume.Equals(matchedQuantity))
{
orderInDB.OrderStatus = enumStatus.Filled;
}
else
{
orderInDB.OrderStatus = matchedQuantity > 0 ? enumStatus.PartiallyFilled : enumStatus.New;
if (!Sells.ContainsKey(order.Symbol))
{
Sells[order.Symbol] = new List <ExchangeOrder>();
}
Sells[order.Symbol].Add(newExOrder);
}
MatchMeDB.Instance.UpdateOrder(orderInDB);
if (matchedQuantity > 0)
{
//Update balance and position;
User user = new User(MatchMeDB.Instance.Users[orderInDB.UserID]);
user.Balance -= newExOrder.Volume.Equals(matchedQuantity) ? matchedQuantity * order.Price + Config.Commission
: matchedQuantity * order.Price;
MatchMeDB.Instance.UpdateUser(user);
Position position = MatchMeDB.Instance.GetPosition(orderInDB.UserID, orderInDB.Symbol);
position.Quantity -= matchedQuantity;
MatchMeDB.Instance.UpdatePosition(position);
}
foreach (ExchangeOrder matched in matchedBuy)
{
Order matchedInDB = new Order(MatchMeDB.Instance.Orders[matched.OrderId]);
if (matchedInDB.Volume.Equals(matched.Volume))
{
matchedInDB.OrderStatus = enumStatus.Filled;
int index = buys[order.Symbol].Select(a => a.Id).ToList().IndexOf(matched.Id);
buys[order.Symbol].RemoveAt(index);
}
else
{
int index = buys[order.Symbol].Select(a => a.Id).ToList().IndexOf(matched.Id);
buys[order.Symbol][index].Volume -= matched.Volume;
matchedInDB.OrderStatus = enumStatus.PartiallyFilled;
matchedInDB.Volume -= matched.Volume;
}
User user = new User(MatchMeDB.Instance.Users[matchedInDB.UserID]);
user.Balance -= user.UserName.Equals(Config.AdminUser) ? 0 :
matchedInDB.Volume.Equals(matched.Volume) ? (matched.Volume * matched.Offer + Config.Commission) : matched.Volume * matched.Offer;
MatchMeDB.Instance.UpdateUser(user);
MatchMeDB.Instance.UpdateOrder(matchedInDB);
Position position = MatchMeDB.Instance.GetPosition(matchedInDB.UserID, matchedInDB.Symbol);
position.Quantity += matched.Volume;
MatchMeDB.Instance.UpdatePosition(position);
}
return(enumStatus.OrderPlaced);
//****************Jing Mai**********
//if (!AdminMode)
//{
// sells[order.Symbol].OrderBy(x => x.Offer).ThenBy(x => x.Created);
// order.OrderStatus = enumStatus.PendingNew;
// for (int vol = 1; vol <= order.Volume; vol++)
// {
// string MatcherOrderId = MatchMe(eo, order);
// if (!string.IsNullOrEmpty(MatcherOrderId))
// FillOrders(order.Id, MatcherOrderId);
// }
//}
}