internal List <HiddenOrderEntry> GetStopOrders(
string user, string accountId, string instrument, OrderSide orderSide)
{
return(HiddenOrders.Find(order =>
order.User.Equals(user) &&
order.AccountId.Equals(accountId) &&
order.Instrument.Equals(instrument) &&
order.Side == orderSide
).ToList());
}
public object FindOpenOrderCreatedByVersionNumber(long cancelOrderCreatedOnVersionNumber)
{
var targetOrder = OrderBook.Find(
Builders <OrderBookEntry> .Filter.Eq(e => e.CreatedOnVersionId, cancelOrderCreatedOnVersionNumber)
).SingleOrDefault();
if (targetOrder != null)
{
return(targetOrder);
}
else
{
// There has to be one or the other
var hiddenOrder = HiddenOrders.Find(
Builders <HiddenOrderEntry> .Filter.Eq(e => e.CreatedOnVersionId, cancelOrderCreatedOnVersionNumber)
).Single();
return(hiddenOrder);
}
}
/// <summary>
/// Cancels an active order, inserting a relevant order history entry.
/// </summary>
/// <param name="cancelOrderCreatedOnVersionNumber">Version number of creation of the order to be canceled</param>
/// <param name="orderHistoryTime">Time of the cancellation event</param>
/// <param name="openOrder">Found open order</param>
/// <returns>Remaining unmatched order amount of paid coin depending on side</returns>
internal decimal CancelOrderByCreatedOnVersionNumber(
long cancelOrderCreatedOnVersionNumber,
DateTime orderHistoryTime,
out object openOrder)
{
decimal remainingUnmatchedAmount;
openOrder = FindOpenOrderCreatedByVersionNumber(cancelOrderCreatedOnVersionNumber);
if (openOrder is OrderBookEntry limitOrder)
{
InsertOrderHistoryEntry(limitOrder.FilledQty, limitOrder, OrderStatus.Cancelled, orderHistoryTime);
remainingUnmatchedAmount = limitOrder.Qty - limitOrder.FilledQty;
if (limitOrder.Side == OrderSide.Buy)
{
remainingUnmatchedAmount *= limitOrder.LimitPrice;
}
OrderBook.DeleteOne(
Builders <OrderBookEntry> .Filter.Eq(e => e.Id, limitOrder.Id)
);
}
else if (openOrder is HiddenOrderEntry stopOrder)
{
InsertOrderHistoryEntry(stopOrder, OrderStatus.Cancelled, orderHistoryTime);
remainingUnmatchedAmount = stopOrder.Qty;
if (stopOrder.Side == OrderSide.Buy)
{
remainingUnmatchedAmount *= stopOrder.StopPrice;
}
HiddenOrders.DeleteOne(
Builders <HiddenOrderEntry> .Filter.Eq(e => e.Id, stopOrder.Id)
);
}
else
{
throw new Exception(
$"Couldn't cancel order created on version number {cancelOrderCreatedOnVersionNumber}, as there was no such order open");
}
return(remainingUnmatchedAmount);
}
internal void CreateOrder(CreateOrderEventEntry createOrder)
{
_logger.LogDebug("Called create order @ version number " + createOrder.VersionNumber);
switch (createOrder.Type)
{
case OrderType.Limit:
var limitOrder = new OrderBookEntry
{
EntryTime = createOrder.EntryTime,
CreatedOnVersionId = createOrder.VersionNumber,
User = createOrder.User,
AccountId = createOrder.AccountId,
Instrument = createOrder.Instrument,
Qty = createOrder.Qty,
Side = createOrder.Side,
FilledQty = 0m,
LimitPrice = createOrder.LimitPrice.Value,
// TODO from stop loss and take profit
//ChildrenIds
DurationType = createOrder.DurationType,
Duration = createOrder.Duration,
};
OrderBook.InsertOne(limitOrder);
break;
case OrderType.Stop:
var stopOrder = new HiddenOrderEntry
{
EntryTime = createOrder.EntryTime,
CreatedOnVersionId = createOrder.VersionNumber,
User = createOrder.User,
AccountId = createOrder.AccountId,
Instrument = createOrder.Instrument,
Qty = createOrder.Qty,
Side = createOrder.Side,
StopPrice = createOrder.StopPrice.Value,
// TODO from stop loss and take profit
//ChildrenIds
DurationType = createOrder.DurationType,
Duration = createOrder.Duration,
};
HiddenOrders.InsertOne(stopOrder);
break;
case OrderType.Market:
OrderHistory.InsertOne(
new OrderHistoryEntry
{
CreateTime = createOrder.EntryTime,
CloseTime = createOrder.EntryTime,
User = createOrder.User,
AccountId = createOrder.AccountId,
Instrument = createOrder.Instrument,
Qty = createOrder.Qty,
Side = createOrder.Side,
// Closed market order
Type = OrderType.Market,
// The market order will be filled by the following match orders
FilledQty = createOrder.FilledMarketOrderQty,
// The most expensive accepted limit price will be shown to the user
LimitPrice = createOrder.LimitPrice.Value,
StopPrice = null,
// TODO from stop loss and take profit
//ChildrenIds
DurationType = createOrder.DurationType,
Duration = createOrder.Duration,
Status = OrderStatus.Filled,
}
);
break;
default:
throw new ArgumentOutOfRangeException(nameof(createOrder.Type));
}
_logger.LogDebug("Persisted create order @ version number " + createOrder.VersionNumber);
}
