public void NewExecutionSellSide_UpdateTrade_OverallPositionIsNegative()
{
// Create Trade Processor
TradeProcessor tradeProcessor = new TradeProcessor(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated);
// Create Order Object
Order order = new Order(OrderExecutionProvider.Simulated);
{
// Create Fill Object
Fill fill = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fill.ExecutionId = "1";
fill.ExecutionSide = OrderSide.SELL;
fill.ExecutionSize = 40;
// Create Execution Object
Execution execution = new Execution(fill, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(execution);
}
{
// Create Fill Object
Fill fillTwo = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillTwo.ExecutionId = "2";
fillTwo.ExecutionSide = OrderSide.BUY;
fillTwo.ExecutionSize = 20;
// Create Execution Object
Execution executionTwo = new Execution(fillTwo, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionTwo);
}
// Get Trades Map
var tradeMap = tradeProcessor.OpenTrades;
// Get Open Trade
Trade trade = tradeMap.Values.First();
Assert.AreEqual(-20, tradeProcessor.Position, "Overall Position");
Assert.AreEqual(TradeSide.Sell, trade.TradeSide, "Trade Side");
Assert.AreEqual(20, trade.ExecutionDetails["2"], "Execution Size");
Assert.AreEqual(false, trade.IsComplete(), "Trade.IsComplete");
}
/// <summary>
/// Called when new Execution is received
/// </summary>
/// <param name="execution">Order Execution Object</param>
public void NewExecutionArrived(Execution execution)
{
try
{
if (Logger.IsDebugEnabled)
{
Logger.Debug("New Execution received " + execution, _type.FullName, "NewExecutionArrived");
}
// Create Object
Dictionary <Security, TradeProcessor> tradeProcessorsBySecurityMap;
// Get Trade Processor object for the received Execution Message's Provider
if (!_tradeProcessorMap.TryGetValue(execution.OrderExecutionProvider, out tradeProcessorsBySecurityMap))
{
if (Logger.IsDebugEnabled)
{
Logger.Debug("New Trade Processor created for:" + execution.OrderExecutionProvider, _type.FullName, "NewExecutionArrived");
}
// Initialize a new Trade Processor object
TradeProcessor tradeProcessorObject = new TradeProcessor(execution.Fill.Security, execution.OrderExecutionProvider);
// Initialize local Map
tradeProcessorsBySecurityMap = new Dictionary <Security, TradeProcessor>();
// Add to local Map
tradeProcessorsBySecurityMap.Add(execution.Fill.Security, tradeProcessorObject);
// Add to Global Map
_tradeProcessorMap.Add(execution.OrderExecutionProvider, tradeProcessorsBySecurityMap);
// Forward Execution to Trade Processor
tradeProcessorObject.NewExecutionArrived(execution);
}
else
{
TradeProcessor tradeProcessorObject;
// Get Trade Processor object for the received Execution Message's Security
if (!tradeProcessorsBySecurityMap.TryGetValue(execution.Fill.Security, out tradeProcessorObject))
{
if (Logger.IsDebugEnabled)
{
Logger.Debug("New Trade Processor created for:" + execution.Fill.Security, _type.FullName, "NewExecutionArrived");
}
// Initialize a new Trade Processor object
tradeProcessorObject = new TradeProcessor(execution.Fill.Security, execution.OrderExecutionProvider);
// Add to local Map
tradeProcessorsBySecurityMap.Add(execution.Fill.Security, tradeProcessorObject);
}
// Forward Execution to Trade Processor
tradeProcessorObject.NewExecutionArrived(execution);
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "NewExecutionArrived");
}
}
public void NewExecutionBuySideMultiple_OpenNewTradeMultipleAndUpdateTrade_OverallPositionIsNegativeWithSingleOpenOrderOnSellSide()
{
// Create Trade Processor
TradeProcessor tradeProcessor = new TradeProcessor(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated);
// Create Order Object
Order order = new Order(OrderExecutionProvider.Simulated);
{
// Create Fill Object
Fill fill = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fill.ExecutionId = "1";
fill.ExecutionSide = OrderSide.BUY;
fill.ExecutionSize = 40;
// Create Execution Object
Execution execution = new Execution(fill, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(execution);
}
{
// Create Fill Object
Fill fillTwo = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillTwo.ExecutionId = "2";
fillTwo.ExecutionSide = OrderSide.BUY;
fillTwo.ExecutionSize = 30;
// Create Execution Object
Execution executionTwo = new Execution(fillTwo, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionTwo);
}
{
// Create Fill Object
Fill fillThree = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillThree.ExecutionId = "3";
fillThree.ExecutionSide = OrderSide.SELL;
fillThree.ExecutionSize = 80;
// Create Execution Object
Execution executionThree = new Execution(fillThree, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionThree);
}
// Get Trades Map
var tradeMap = tradeProcessor.OpenTrades;
// Open Trade Count
var openTradeCount = tradeMap.Count;
// Get Open Trade Size
int tradeThreeSize = tradeMap[3].TradeSize;
Assert.AreEqual(-10, tradeProcessor.Position, "Overall Position");
Assert.AreEqual(1, openTradeCount, "Open Trade Count");
Assert.AreEqual(TradeSide.Sell, tradeMap[3].TradeSide, "Trade Three Side");
Assert.AreEqual(-10, tradeThreeSize, "Trade Three Size");
Assert.AreEqual(false, tradeMap[3].IsComplete(), "Trade Three Completion Status");
}
public void NewExecutionSellSideMultiple_OpenNewTradeMultipleAndUpdateTrade_OverallPositionIsBalanced()
{
// Create Trade Processor
TradeProcessor tradeProcessor = new TradeProcessor(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated);
// Create Order Object
Order order = new Order(OrderExecutionProvider.Simulated);
{
// Create Fill Object
Fill fill = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fill.ExecutionId = "1";
fill.ExecutionSide = OrderSide.SELL;
fill.ExecutionSize = 40;
// Create Execution Object
Execution execution = new Execution(fill, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(execution);
}
{
// Create Fill Object
Fill fillTwo = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillTwo.ExecutionId = "2";
fillTwo.ExecutionSide = OrderSide.SELL;
fillTwo.ExecutionSize = 50;
// Create Execution Object
Execution executionTwo = new Execution(fillTwo, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionTwo);
}
{
// Create Fill Object
Fill fillThree = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillThree.ExecutionId = "3";
fillThree.ExecutionSide = OrderSide.BUY;
fillThree.ExecutionSize = 90;
// Create Execution Object
Execution executionThree = new Execution(fillThree, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionThree);
}
// Get Trades Map
var tradeMap = tradeProcessor.OpenTrades;
// Open Trade Count
var openTradeCount = tradeMap.Count;
Assert.AreEqual(0, tradeProcessor.Position, "Overall Position");
Assert.AreEqual(0, openTradeCount, "Open Trade Count");
}
public void NewExecutionBuySideMultiple_OpenNewTradeMultiple_OverallPositionIsPositive()
{
// Create Trade Processor
TradeProcessor tradeProcessor = new TradeProcessor(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated);
// Create Order Object
Order order = new Order(OrderExecutionProvider.Simulated);
{
// Create Fill Object
Fill fill = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fill.ExecutionId = "1";
fill.ExecutionSide = OrderSide.BUY;
fill.ExecutionSize = 40;
// Create Execution Object
Execution execution = new Execution(fill, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(execution);
}
{
// Create Fill Object
Fill fillTwo = new Fill(new Security()
{
Symbol = "GOOG"
}, OrderExecutionProvider.Simulated, "1");
fillTwo.ExecutionId = "2";
fillTwo.ExecutionSide = OrderSide.BUY;
fillTwo.ExecutionSize = 40;
// Create Execution Object
Execution executionTwo = new Execution(fillTwo, order);
// Update Trade Processor
tradeProcessor.NewExecutionArrived(executionTwo);
}
// Get Trades Map
var tradeMap = tradeProcessor.OpenTrades;
// Open Trade Count
var openTradeCount = tradeMap.Count;
// Get Open Trade Size
int tradeOneSize = tradeMap[1].TradeSize;
int tradeTwoSize = tradeMap[2].TradeSize;
Assert.AreEqual(80, tradeProcessor.Position, "Overall Position");
Assert.AreEqual(2, openTradeCount, "Open Trade Count");
Assert.AreEqual(TradeSide.Buy, tradeMap[1].TradeSide, "Trade One Side");
Assert.AreEqual(TradeSide.Buy, tradeMap[2].TradeSide, "Trade Two Side");
Assert.AreEqual(40, tradeOneSize, "Trade One Size");
Assert.AreEqual(40, tradeTwoSize, "Trade Two Size");
Assert.AreEqual(false, tradeMap[1].IsComplete(), "Trade One Completion Status");
Assert.AreEqual(false, tradeMap[2].IsComplete(), "Trade Two Completion Status");
}