public Fill(DateTime dateTime, Order order, Instrument instrument, byte currencyId, OrderSide side, double qty, double price, string text = "")
{
DateTime = dateTime;
Order = order;
Instrument = instrument;
OrderId = order.Id;
InstrumentId = instrument.Id;
CurrencyId = currencyId;
Side = side;
Qty = qty;
Price = price;
Text = text;
}
public ExecutionMessage(ExecutionMessage executionMessage) : base(executionMessage)
{
Id = executionMessage.Id;
this.order = executionMessage.Order;
OrderId = executionMessage.OrderId;
ClOrderId = executionMessage.ClOrderId;
ProviderOrderId = executionMessage.ProviderOrderId;
this.instrument = executionMessage.Instrument;
InstrumentId = executionMessage.InstrumentId;
ClientId = executionMessage.ClientId;
IsLoaded = executionMessage.IsLoaded;
CurrencyId = executionMessage.CurrencyId;
Fields = new ObjectTable(executionMessage.Fields);
}
public void Register(Order order)
{
if (order.Id != -1)
{
Console.WriteLine($"OrderManager::Register Error Order is already registered : id = {order.Id}");
return;
}
lock (this.obj)
order.Id = this.counter++;
if (this.framework.Mode == FrameworkMode.Realtime && string.IsNullOrEmpty(order.ClOrderId))
order.ClOrderId = $"{this.framework.Clock.DateTime} {order.Id}";
}
public override void OnOrder(Order order)
{
if (order.Text == "TakeProfit")
order.OCA = (++OCACount).ToString();
if (order.Text == "StopLoss")
order.OCA = OCACount.ToString();
if (order.Text == "StopLoss")
stopLossOrder = order;
if (order.Text == "StopExit" || order.Text == "StopSession")
framework.OrderManager.Cancel(stopLossOrder);
base.OnOrder(order);
}
public void Cancel(Order order)
{
if (order.IsNotSent)
throw new ArgumentException($"Can not cancel order that is not sent {order}");
var command = new ExecutionCommand(ExecutionCommandType.Cancel, order)
{
DateTime = this.framework.Clock.DateTime,
OrderId = order.Id,
ClOrderId = order.ClOrderId,
ProviderOrderId = order.ProviderOrderId,
ProviderId = order.ProviderId,
RouteId = order.RouteId,
PortfolioId = order.PortfolioId
};
command.DateTime = order.DateTime;
command.Instrument = order.Instrument;
command.InstrumentId = order.InstrumentId;
command.Provider = order.Provider;
command.Portfolio = order.Portfolio;
command.Side = order.Side;
command.OrdType = order.Type;
command.TimeInForce = order.TimeInForce;
command.Price = order.Price;
command.StopPx = order.StopPx;
command.Qty = order.Qty;
command.OCA = order.OCA;
command.Text = order.Text;
command.Account = order.Account;
command.ClientID = order.ClientID;
command.ClientId = order.ClientId;
Messages.Add(command);
order.OnExecutionCommand(command);
this.framework.EventServer.OnExecutionCommand(command);
if (IsPersistent)
Server?.Save(command, -1);
order.Provider.Send(command);
}
public void Replace(Order order, double price, double stopPx, double qty)
{
OrderManager.Replace(order, price, stopPx, qty);
}
public void Replace(Order order, double price)
{
OrderManager.Replace(order, price);
}
public ExecutionCommand(ExecutionCommandType type, Order order)
: this()
{
Type = type;
Order = order;
OrderId = order.Id;
ProviderId = order.ProviderId;
RouteId = order.RouteId;
AlgoId = order.AlgoId;
PortfolioId = order.PortfolioId;
InstrumentId = order.InstrumentId;
TransactTime = order.TransactTime;
DateTime = order.DateTime;
Instrument = order.Instrument;
Provider = order.Provider;
Portfolio = order.Portfolio;
Side = order.Side;
OrdType = order.Type;
TimeInForce = order.TimeInForce;
ExpireTime = order.ExpireTime;
Price = order.Price;
StopPx = order.StopPx;
Qty = order.Qty;
MinQty = order.MinQty;
PegDifference = order.PegDifference;
ExecInst = order.ExecInst;
OCA = order.OCA;
Text = order.Text;
Account = order.Account;
ClientID = order.ClientID;
Fields = new ObjectTable(order.Fields);
}
public Order SellOrder(Instrument instrument, double qty, string text = "")
{
Order order = new Order(this.method_1(instrument), this.Portfolio, instrument, OrderType.Market, OrderSide.Sell, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
OrderManager.Register(order);
return order;
}
public Order SellPegged(IExecutionProvider provider, Instrument instrument, double qty, double offset, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.Pegged, OrderSide.Sell, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.StopPx = offset;
order.Text = text;
this.Send(order);
return order;
}
protected virtual void OnOrderCancelRejected(Order order)
{
}
protected virtual void OnOrderExpired(Order order)
{
}
protected virtual void OnOrderPartiallyFilled(Order order)
{
}
protected virtual void OnOrderFilled(Order order)
{
}
protected virtual void OnOrderStatusChanged(Order order)
{
}
protected virtual void OnNewOrder(Order order)
{
}
protected virtual void OnPendingNewOrder(Order order)
{
}
public Order Buy(IExecutionProvider provider, Instrument instrument, double qty, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.Market, OrderSide.Buy, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
this.Send(order);
return order;
}
public Order Sell(IExecutionProvider provider, Instrument instrument, OrderType type, double qty, double price, double stopPx, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, type, OrderSide.Sell, qty, price, stopPx, TimeInForce.Day, 0, "");
order.StrategyId = Id;
order.Text = text;
this.Send(order);
return order;
}
protected virtual void OnOrderReplaceRejected(Order order)
{
}
public Order SellStopLimit(IExecutionProvider provider, Instrument instrument, double qty, double stopPx, double price, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.StopLimit, OrderSide.Sell, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
order.StopPx = stopPx;
order.Price = price;
this.Send(order);
return order;
}
protected virtual void OnOrderDone(Order order)
{
}
public Order BuyStopLimitOrder(Instrument instrument, double qty, double stopPx, double price, string text = "")
{
Order order = new Order(this.method_1(instrument), this.Portfolio, instrument, OrderType.StopLimit, OrderSide.Buy, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
order.StopPx = stopPx;
order.Price = price;
OrderManager.Register(order);
return order;
}
public OrderProcessor(SpreadSellSide strategy, ExecutionCommand command)
{
// Add current processor to SellSide processor's list.
strategy.processors.AddLast(this);
// Init OrderProcessor fields.
this.strategy = strategy;
this.command = command;
order = command.Order;
spreadInstrument = order.Instrument;
orders = new Dictionary<Order, Leg>();
// Send leg orders if order type is market.
if (order.Type == OrderType.Market)
SendLegOrders();
}
public void Send(Order order)
{
OrderManager.Send(order);
}
private void method_8(Order order_0, Bid bid_0, Ask ask_0)
{
}
private void method_6(Order order_0)
{
}
public void Cancel(Order order)
{
OrderManager.Cancel(order);
}
private void UpdateExitLimit()
{
if (exitOrder != null && !exitOrder.IsDone)
Cancel(exitOrder);
if (HasPosition(Instrument))
{
if (Position.Side == PositionSide.Long)
exitOrder = SellLimitOrder(Instrument, Qty, sma.Last, "Exit");
else
exitOrder = BuyLimitOrder(Instrument, Qty, sma.Last, "Exit");
Send(exitOrder);
}
}
public void Reject(Order order)
{
OrderManager.Reject(order);
}