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); }