protected IPosition GetExisitingPosition(IOrder order)
{
var key = PositionKey.Create(order.Portfolio, order.SecurityMasterId);
var existingPosition = this.positionService.GetPositionByKey(key);
return(existingPosition);
}
private void ProcessBuyOrder(IOrder order, PositionKey key)
{
IPosition position;
if (this.positions.TryGetValue(key, out position))
{
var pos = this.CreatePositionFromSource(position);
pos.AvgPrice = ((position.AvgPrice * position.Quantity) + (order.Quantity * order.Price)) / (order.Quantity + position.Quantity);
if (position.IsShort)
{
pos.IsShort = position.Quantity > order.Quantity;
pos.Quantity = Math.Abs(position.Quantity - order.Quantity);
}
else
{
pos.IsShort = false;
pos.Quantity += order.Quantity;
}
this.positions[key] = pos;
}
else
{
position = this.ToPosition(order);
this.positions.Add(key, position);
}
}
public IPosition GetPositionByKey(PositionKey key)
{
IPosition result;
if (this.positions.TryGetValue(key, out result))
{
return(result);
}
return(null);
}
public void SubmitOrder(IOrder order)
{
if (order == null)
{
return;
}
var key = PositionKey.Create(order.Portfolio, order.SecurityMasterId);
switch (order.OrderType)
{
case OrderType.Buy:
this.ProcessBuyOrder(order, key);
break;
case OrderType.Sell:
this.ProcessSellOrder(order, key);
break;
}
}