public static CommonObjects.Order ToCommonOrder(Com.Lmax.Api.Order.Order order, string symbol, string brokerName)
{
var orderPrice = order.StopReferencePrice.HasValue ? order.StopReferencePrice.Value : 0m;
if (order.OrderType == Com.Lmax.Api.Order.OrderType.LIMIT && order.LimitPrice.HasValue)
{
orderPrice = order.LimitPrice.Value;
}
else if (order.OrderType == Com.Lmax.Api.Order.OrderType.STOP_ORDER && order.StopPrice.HasValue)
{
orderPrice = order.StopPrice.Value;
}
return(new CommonObjects.Order(order.InstructionId, symbol)
{
AccountId = order.AccountId.ToString(),
AvgFillPrice = order.FilledQuantity != 0 ? orderPrice : 0,
BrokerName = brokerName,
BrokerID = order.OrderId,
CancelledQuantity = order.CancelledQuantity,
Commission = order.Commission,
CurrentPrice = orderPrice,
FilledQuantity = order.FilledQuantity,
OpenDate = GetDateFromTicksString(order.InstructionId),
OpenQuantity = order.FilledQuantity,
OrderSide = order.Quantity > 0 ? Side.Buy : Side.Sell,
OrderType = ToCommonOrderType(order.OrderType),
Price = order.OrderType != Com.Lmax.Api.Order.OrderType.MARKET ? orderPrice : 0,
Quantity = order.Quantity,
SLOffset = order.StopLossOffset,
TimeInForce = ToCommonTIF(order.TimeInForce),
TPOffset = order.StopProfitOffset,
PlacedDate = DateTime.UtcNow
});
}
private static OrderState GetStateForOrder(Order.Order order)
{
if (order.CancelledQuantity == 0 && order.FilledQuantity == 0 && order.Quantity != 0)
{
return(OrderState.Working);
}
if (order.FilledQuantity != 0)
{
return(OrderState.Filled);
}
return(OrderState.Unknown);
}
private void NotifyExecutions(Com.Lmax.Api.Order.Order order)
{
foreach (ExecutionBuilder executionBuilder in (IEnumerable <ExecutionBuilder>) this._executionEventHandler.GetExecutionBuilders())
{
executionBuilder.Order(order);
Execution execution = executionBuilder.NewInstance();
if (OrderStateEventHandler.IsExecutionForOrder(order, execution) && this.ExecutionEvent != null)
{
this.ExecutionEvent(execution);
}
}
this._executionEventHandler.Clear();
}
private void OrderEventListener(Order.Order order)
{
OrderState stateForOrder = GetStateForOrder(order);
Console.WriteLine("State for order: {0:d}, state: {1}", order.InstructionId, stateForOrder);
if (order.InstructionId == _buyOrderTracker.InstructionId)
{
_buyOrderTracker.OrderState = stateForOrder;
}
else if (order.InstructionId == _sellOrderTracker.InstructionId)
{
_sellOrderTracker.OrderState = stateForOrder;
}
}
private static bool IsExecutionForOrder(Com.Lmax.Api.Order.Order order, Execution execution)
{
Decimal quantity = order.Quantity;
int num1 = quantity.CompareTo(new Decimal(0));
quantity = execution.Quantity;
int num2 = quantity.CompareTo(new Decimal(0));
int num3;
if (num1 != num2)
{
Decimal num4 = order.Quantity;
int num5 = num4.CompareTo(new Decimal(0));
num4 = execution.CancelledQuantity;
int num6 = num4.CompareTo(new Decimal(0));
num3 = num5 == num6 ? 1 : 0;
}
else
{
num3 = 1;
}
return(num3 != 0);
}
private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
{
return;
}
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset?expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId {
Native = lmaxOrder.InstrumentId
},
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To <string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
HasOrderInfo = true,
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}
private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
return;
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset? expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId { Native = lmaxOrder.InstrumentId },
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To<string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc)
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}
public ExecutionBuilder Order(Com.Lmax.Api.Order.Order order)
{
this._order = order;
return(this);
}
public override void EndElement(string endElement)
{
if (!"order".Equals(endElement))
{
return;
}
OrderBuilder orderBuilder = new OrderBuilder();
string stringValue;
this.TryGetValue("instructionId", out stringValue);
long longValue1;
this.TryGetValue("instrumentId", out longValue1);
long longValue2;
this.TryGetValue("accountId", out longValue2);
Decimal dec1;
this.TryGetValue("quantity", out dec1);
Decimal dec2;
this.TryGetValue("matchedQuantity", out dec2);
Decimal dec3;
this.TryGetValue("cancelledQuantity", out dec3);
Decimal dec4;
this.TryGetValue("commission", out dec4);
orderBuilder.InstructionId(stringValue).OrderId(this.GetStringValue("orderId")).InstrumentId(longValue1).AccountId(longValue2).Quantity(dec1).FilledQuantity(dec2).CancelledQuantity(dec3).OrderType(this.GetStringValue("orderType")).Commission(dec4).TimeInForce(this.GetStringValue("timeInForce"));
Decimal dec5;
if (this.TryGetValue("price", out dec5))
{
orderBuilder.Price(dec5);
}
Decimal dec6;
if (this.TryGetValue("stopReferencePrice", out dec6))
{
orderBuilder.StopReferencePrice(dec6);
}
Decimal dec7;
if (this.TryGetValue("stopProfitOffset", out dec7))
{
orderBuilder.StopProfitOffset(dec7);
}
Decimal dec8;
if (this.TryGetValue("stopLossOffset", out dec8))
{
orderBuilder.StopLossOffset(dec8);
}
Com.Lmax.Api.Order.Order order = orderBuilder.NewInstance();
if (this.ShouldEmitOrder(order) && this.OrderEvent != null)
{
this.OrderEvent(order);
}
this.NotifyExecutions(order);
this.ResetAll();
}
private bool ShouldEmitOrder(Com.Lmax.Api.Order.Order order)
{
return(this._executionEventHandler.GetExecutionBuilders().Count == 0 || OrderStateEventHandler.IsExecutionForOrder(order, this._executionEventHandler.GetExecutionBuilders()[0].NewInstance()));
}
