private void AdjustSessions()
{
foreach (var kvp in symbolMap)
{
string symbol = kvp.Key;
SymbolProperties symbolProperties = kvp.Value;
if (symbolProperties.TimeZone == null || symbolProperties.TimeZone.Length == 0)
{
continue;
}
if (symbolProperties.DisplayTimeZone == "Local" ||
symbolProperties.DisplayTimeZone == "UTC")
{
// Convert session times from Exchange to UTC.
SymbolTimeZone timeZone = new SymbolTimeZone(symbolProperties);
timeZone.SetExchangeTimeZone();
int startOffset = (int)timeZone.UtcOffset(new TimeStamp());
int endOffset = (int)timeZone.UtcOffset(new TimeStamp());
Elapsed utcSessionStart = symbolProperties.SessionStart - new Elapsed(0, 0, startOffset);
Elapsed utcSessionEnd = symbolProperties.SessionEnd - new Elapsed(0, 0, endOffset);
// Convert UTCI session times to either Local or UTC as chosen
// by the DisplayTimeZone property.
timeZone = new SymbolTimeZone(symbolProperties);
startOffset = (int)timeZone.UtcOffset(new TimeStamp());
endOffset = (int)timeZone.UtcOffset(new TimeStamp());
symbolProperties.SessionStart = utcSessionStart + new Elapsed(0, 0, startOffset);
symbolProperties.SessionEnd = utcSessionEnd + new Elapsed(0, 0, endOffset);
}
}
}
public void SendFill(PacketFIX4_4 packetFIX)
{
if (debug)
{
log.Debug("SendFill( " + packetFIX.ClientOrderId + ")");
}
var symbolInfo = Factory.Symbol.LookupSymbol(packetFIX.Symbol);
var timeZone = new SymbolTimeZone(symbolInfo);
if (GetSymbolStatus(symbolInfo))
{
var algorithm = GetAlgorithm(symbolInfo.BinaryIdentifier);
var order = GetPhysicalOrder(packetFIX.ClientOrderId);
var fillPosition = packetFIX.LastQuantity * SideToSign(packetFIX.Side);
TimeStamp executionTime;
if (UseLocalFillTime)
{
executionTime = TimeStamp.UtcNow;
}
else
{
executionTime = new TimeStamp(packetFIX.TransactionTime);
}
var configTime = executionTime;
configTime.AddSeconds(timeZone.UtcOffset(executionTime));
var fill = Factory.Utility.PhysicalFill(fillPosition, packetFIX.LastPrice, configTime, executionTime, order, false);
if (debug)
{
log.Debug("Sending physical fill: " + fill);
}
algorithm.ProcessFill(fill, packetFIX.OrderQuantity, packetFIX.CumulativeQuantity, packetFIX.LeavesQuantity);
}
}
public void SendFill(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (debug)
{
log.Debug("SendFill( " + packetFIX.ClientOrderId + ")");
}
var symbolInfo = Factory.Symbol.LookupSymbol(packetFIX.Symbol);
var timeZone = new SymbolTimeZone(symbolInfo);
SymbolAlgorithm algorithm;
if (!TryGetAlgorithm(symbolInfo.BinaryIdentifier, out algorithm))
{
log.Info("Fill received but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
return;
}
var fillPosition = packetFIX.LastQuantity * SideToSign(packetFIX.Side);
if (GetSymbolStatus(symbolInfo))
{
CreateOrChangeOrder order;
if (OrderStore.TryGetOrderById(clientOrderId, out order))
{
TimeStamp executionTime;
if (UseLocalFillTime)
{
executionTime = TimeStamp.UtcNow;
}
else
{
executionTime = new TimeStamp(packetFIX.TransactionTime);
}
var configTime = executionTime;
configTime.AddSeconds(timeZone.UtcOffset(executionTime));
var fill = Factory.Utility.PhysicalFill(fillPosition, packetFIX.LastPrice, configTime, executionTime, order.BrokerOrder, false, packetFIX.OrderQuantity, packetFIX.CumulativeQuantity, packetFIX.LeavesQuantity, IsRecovered, true);
if (debug)
{
log.Debug("Sending physical fill: " + fill);
}
algorithm.OrderAlgorithm.ProcessFill(fill);
algorithm.OrderAlgorithm.ProcessOrders();
TrySendStartBroker(symbolInfo, "position sync on fill");
}
else
{
algorithm.OrderAlgorithm.IncreaseActualPosition(fillPosition);
log.Notice("Fill id " + packetFIX.ClientOrderId + " not found. Must have been a manual trade.");
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalFill(packetFIX.ClientOrderId);
}
}
}
}
// This method is for performance. It only update the UTC offset on weekend boundaries.
private long GetUtcOffset(TimeStamp tickTime)
{
if (tickTime.Internal >= nextOffsetUpdate.Internal)
{
if (timeZone == null)
{
timeZone = new SymbolTimeZone(symbol);
timeZone.SetExchangeTimeZone();
}
utcOffset = timeZone.UtcOffset(tickTime);
nextOffsetUpdate = utcTime;
int dayOfWeek = nextOffsetUpdate.GetDayOfWeek();
nextOffsetUpdate.AddDays(7 - dayOfWeek);
nextOffsetUpdate.SetDate(nextOffsetUpdate.Year, nextOffsetUpdate.Month, nextOffsetUpdate.Day);
}
return(utcOffset);
}
/// <inheritdoc/>
public void SetTime(TimeStamp utcTime)
{
binary.UtcTime = utcTime.Internal;
if (utcTime.Internal >= nextUtcOffsetUpdate.Internal)
{
if (timeZone == null)
{
if (binary.Symbol == 0)
{
throw new ApplicationException("Please call SetSymbol() prior to SetTime() method.");
}
SymbolInfo symbol = Factory.Symbol.LookupSymbol(binary.Symbol);
timeZone = new SymbolTimeZone(symbol);
}
utcOffset = timeZone.UtcOffset(UtcTime);
nextUtcOffsetUpdate = utcTime;
int dayOfWeek = nextUtcOffsetUpdate.GetDayOfWeek();
nextUtcOffsetUpdate.AddDays(7 - dayOfWeek);
nextUtcOffsetUpdate.SetDate(nextUtcOffsetUpdate.Year, nextUtcOffsetUpdate.Month, nextUtcOffsetUpdate.Day);
}
localTime = new TimeStamp(binary.UtcTime);
localTime.AddSeconds(utcOffset);
}
