internal static OrderHitStatus HitAutoClosePrice(Order order, Quotation newQuotation, DateTime baseTime)
{
if (order.AutoLimitPrice != null || order.AutoStopPrice != null)
{
bool isBuyForClose = !order.IsBuy;
Price marketPrice = HitCommon.CalculateMarketPrice(isBuyForClose, newQuotation);
if (order.AutoLimitPrice != null)
{
int result = Price.Compare(marketPrice, order.AutoLimitPrice, !newQuotation.IsNormal);
if ((!isBuyForClose && result >= 0) || (isBuyForClose && result <= 0)) //Sell High Buy Low
{
return(OrderHitStatus.ToAutoLimitClose);
}
}
if (order.AutoStopPrice != null)
{
int result = Price.Compare(marketPrice, order.AutoStopPrice, !newQuotation.IsNormal);
if ((!isBuyForClose && result <= 0) || (isBuyForClose && result >= 0)) //Sell Low Buy High
{
return(OrderHitStatus.ToAutoStopClose);
}
}
}
return(OrderHitStatus.None);
}
internal static OrderHitStatus HitSpotOrder(Order order, HitOrderSettings hitOrderSettings, Quotation quotation, DateTime baseTime)
{
if (!order.ShouldSportOrderDelayFill && order.HitStatus.IsFinal())
{
return(OrderHitStatus.None);
}
Price marketPrice = HitCommon.CalculateMarketPrice(order.IsBuy, quotation);
if (ShouldCancelSpotOrder(order, marketPrice, quotation.IsNormal))
{
return(OrderHitStatus.ToCancel);
}
if (order.DQMaxMove <= 0)
{
return(OrderHitStatus.None);
}
if (!hitOrderSettings.IncreaseHitCount())
{
return(OrderHitStatus.None);
}
Price bestPrice = CalculateBestPriceForSportOrder(order, marketPrice);
if (bestPrice != null)
{
order.BestPrice = bestPrice;
order.BestTime = baseTime;
}
if (order.ShouldAutoFill && !order.ShouldSportOrderDelayFill && Math.Abs(order.HitCount) >= order.Instrument().HitTimes)
{
return(OrderHitStatus.ToAutoFill);
}
return(OrderHitStatus.Hit);
}
internal static OrderHitStatus HitMarketAndLimitOrder(Order order, HitOrderSettings hitOrderSettings, Quotation newQuotation, DateTime baseTime, bool ignoreHitTimes)
{
Price marketPrice = HitCommon.CalculateMarketPrice(order.IsBuy, newQuotation);
if (!IsHitPrice(order, newQuotation, marketPrice))
{
return(OrderHitStatus.None);
}
if (!hitOrderSettings.IncreaseHitCount())
{
return(OrderHitStatus.None);
}
if (ShouldUseNewHitPrice(order, newQuotation))
{
order.BestPrice = marketPrice;
order.BestTime = baseTime;
}
else
{
return(OrderHitStatus.None);
}
return(order.CalculateLimitMarketHitStatus(ignoreHitTimes));
}