public void PerfectMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google","GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 10, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 10;
fill2.originalOrder = order2;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 0);
}
public void LopsidedMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google", "GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 5, Order.Side.SELL);
Order order3 = new Order(p, 25, Order.Side.BUY);
Order order4 = new Order(p, 7, Order.Side.SELL);
Order order5 = new Order(p, 12, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 5;
fill2.originalOrder = order2;
Fill fill3 = new Fill();
fill3.price = 100;
fill3.qty = 20;
fill3.originalOrder = order3;
Fill fill4 = new Fill();
fill4.price = 100;
fill4.qty = 6;
fill4.originalOrder = order4;
Fill fill5 = new Fill();
fill5.price = 100;
fill5.qty = 12;
fill5.originalOrder = order5;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
fills.Add(fill3);
fills.Add(fill4);
fills.Add(fill5);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 3);
}
//##################################
//The following events will be called be called
//when the broker manager triggers an event
//##################################
public void fillReceived(Fill fill)
{
int key = -1;
if(fill != null && fill.originalOrder != null)
key = fill.originalOrder.internalId;
else
log.Error("Did not receive a valid fill message");
//make sure the fill is for one of my orders
if(myOpenOrders.ContainsKey(key))
{
log.Info("Received a fill for order " + key);
myOpenOrders.Remove(key);
}
}
public void fillReceived(Fill fill)
{
if (fill == null && fill.originalOrder == null)
log.Error("Did not receive a valid fill message");
//add orders to the list of unmatched orders
unmatchedOrders.Add(fill);
//update the positions
int qty = fill.qty;
if(fill.originalOrder.side.Equals(Order.Side.SELL))
qty *= -1;
if (positions.ContainsKey(fill.originalOrder.product))
{
qty += positions[fill.originalOrder.product];
positions.Remove(fill.originalOrder.product);
}
positions.Add(fill.originalOrder.product, qty);
//Keep track of the fills for each order
if (orderToFillMap.ContainsKey(fill.originalOrder))
orderToFillMap[fill.originalOrder].Add(fill);
else
{
List<Fill> fillList = new List<Fill>();
fillList.Add(fill);
orderToFillMap.Add(fill.originalOrder, fillList);
}
//match the new fills
List<Trade> trades = tradeMatcher.match(unmatchedOrders);
matchedTrades.AddRange(trades);
//If a trade was matched, inform those that are interested
if(TradeMatched != null && trades != null && trades.Count() > 0)
TradeMatched(trades);
if (PositionChange != null)
PositionChange(fill.originalOrder.product, qty);
}
public void fillReceived(Fill fill)
{
win.addUpdateOrder(createOrderGridItem(fill.originalOrder));
}
public void fillReceived(Object sender, ExecDetailsEventArgs e)
{
if(openOrderContracts.ContainsKey(e.OrderId))
{
FlexTrade.Fill fill = new FlexTrade.Fill();
//Get the open orders based on the order ID
Krs.Ats.IBNet.Order krsOrder = openOrders[e.OrderId];
FlexTrade.Order ftOrder = ordersOrgFormat[e.OrderId];
ftOrder.status = Order.OrderStatus.FILL;
ftOrder.fillPrices.Add(e.Execution.Price);
ftOrder.fillQuantities.Add(e.Execution.Shares);
//if completely filled, remove the orders from the list of open orders
if (ftOrder.fillQuantities.Sum() == ftOrder.orderQuantity)
{
ordersOrgFormat[e.OrderId].status = Order.OrderStatus.FILL;
openOrders.Remove(e.OrderId);
ordersOrgFormat.Remove(e.OrderId);
openOrderContracts.Remove(e.OrderId);
}
else
ordersOrgFormat[e.OrderId].status = Order.OrderStatus.PARTIAL_FILL;
//Set the execution values in the order
fill.originalOrder = ftOrder;
fill.price = e.Execution.Price;
fill.qty = e.Execution.Shares;
fill.time = DateTime.UtcNow;
if (FillUpdate != null && fill != null)
FillUpdate(fill);
}
}
//##################################
//The following events will be called be called
//when the broker manager triggers an event
//##################################
public void fillReceived(Fill fill)
{
Order key = null;
if(fill != null && fill.originalOrder != null)
key = fill.originalOrder;
else
log.Error("Did not receive a valid fill message");
//if (myFills.Contains(key.internalId))
//{
// myFills.
//}
}
//When we detect the signal, we perform these actions
private void tradeOnSignal(Fill fill)
{
LimitOrder hedgeOrder;
List<Order> ordersToCancel = new List<Order>();
//determine which of the orders where filled, and add the orders
//that werent filled to a list. Also, based on the type of fill,
//determine which order needs to be submitted
if (fill.originalOrder.product.Equals(productA))
{
//This was a fill for product A, so cancel the orders for B
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_B]);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_B]);
if (fill.originalOrder.side.Equals(Order.Side.BUY))
{
//This was a buy of A, so cancel the sell of A and submit a hedge to buy B
hedgeOrder = new LimitOrder(productB, fill.qty, Order.Side.SELL, fill.price - sellSpread);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_A]);
}
else
{
//This was a sell of A, so cancel the buy of A and submit a hedge to sell B
hedgeOrder = new LimitOrder(productB, fill.qty, Order.Side. BUY, fill.price - buySpread);
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_A]);
}
}
else
{
//This was a fill for product B, so cancel the orders for A
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_A]);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_A]);
if (fill.originalOrder.side.Equals(Order.Side.BUY))
{
//This was a buy of B, so cancel the sell of B and submit a hedge to buy A
hedgeOrder = new LimitOrder(productA, fill.qty, Order.Side.SELL, fill.price - sellSpread);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_B]);
}
else
{
//This was a sell of B, so cancel the buy of B and submit a hedge to sell A
hedgeOrder = new LimitOrder(productA, fill.qty, Order.Side.BUY, fill.price - buySpread);
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_B]);
}
}
//cancel the orders that aren't a part of this trade
cancelOrders(ordersToCancel);
//TODO: What happens if this was a partial fill?
//submit hedge orders
getFirstBroker().submitOrder(hedgeOrder);
}