public Alert ExitAlertCreate(Bar exitBar, Position position, double stopOrLimitPrice, string signalName,
Direction direction, MarketLimitStop exitMarketLimitStop)
{
this.checkThrowEntryBarIsValid(exitBar);
this.checkThrowPositionToCloseIsValid(position);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (exitMarketLimitStop == MarketLimitStop.Market)
{
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(exitMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
double exitPriceScript = exitBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, exitMarketLimitStop);
Alert alert = new Alert(exitBar, position.Shares, exitPriceScript, signalName,
direction, exitMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
alert.PositionAffected = position;
// moved to CallbackAlertFilled - we can exit by TP or SL - and position has no clue which Alert was filled!!!
//position.ExitCopyFromAlert(alert);
alert.PositionAffected.ExitAlertAttach(alert);
return(alert);
}
private double getStreamingPriceForMarketOrder(MarketLimitStop entryMarketLimitStop,
Direction direction, out OrderSpreadSide priceSpreadSide)
{
double priceForMarketAlert = -1;
priceSpreadSide = OrderSpreadSide.Unknown;
switch (entryMarketLimitStop)
{
case MarketLimitStop.Market:
priceForMarketAlert = this.executor.DataSource.StreamingProvider.StreamingDataSnapshot
.GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(
this.executor.Bars.Symbol, direction, out priceSpreadSide, false);
break;
case MarketLimitStop.AtClose:
string msg = "[" + direction + "]At[" + entryMarketLimitStop + "]"
+ " when LastBar[" + (this.executor.Bars.Count - 1) + "]; No way I can bring you a future price,"
+ " even by executing your order right now"
+ "; can't do inequivalent repacement to LastBar.Close";
throw new Exception(msg);
//break;
case MarketLimitStop.Stop:
case MarketLimitStop.Limit:
case MarketLimitStop.StopLimit:
string msg2 = "STREAMING_BID_ASK_IS_IRRELEVANT_FOR_STOP_OR_LIMIT_ALERT [" + direction + "]At[" + entryMarketLimitStop + "]"
+ " when LastBar[" + (this.executor.Bars.Count - 1) + "]";
throw new Exception(msg2);
default:
throw new Exception("no handler for MarketLimitStop.[" + entryMarketLimitStop + "]");
}
return(priceForMarketAlert);
}
public Alert EntryAlertCreate(Bar entryBar, double stopOrLimitPrice, string entrySignalName,
Direction direction, MarketLimitStop entryMarketLimitStop)
{
this.checkThrowEntryBarIsValid(entryBar);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (entryMarketLimitStop == MarketLimitStop.Market)
{
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(entryMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
// ALREADY_ALIGNED_AFTER GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming
double entryPriceScript = entryBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, entryMarketLimitStop);
double shares = this.executor.PositionSizeCalculate(entryBar, entryPriceScript);
Alert alert = new Alert(entryBar, shares, entryPriceScript, entrySignalName,
direction, entryMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
return(alert);
}
public Alert(Bar bar, double qty, double priceScript, string signalName,
Direction direction, MarketLimitStop marketLimitStop, OrderSpreadSide orderSpreadSide,
Strategy strategy) : this()
{
if (direction == Direction.Unknown)
{
string msg = "ALERT_CTOR_DIRECTION_MUST_NOT_BE_UNKNOWN: when creating an Alert, direction parameter can't be null";
throw new Exception(msg);
}
if (bar == null)
{
string msg = "ALERT_CTOR_BAR_MUST_NOT_BE_NULL: when creating an Alert, bar parameter can't be null";
throw new Exception(msg);
}
if (bar.ParentBars == null)
{
string msg = "ALERT_CTOR_PARENT_BARS_MUST_NOT_BE_NULL: when creating an Alert, bar.ParentBars can't be null";
throw new Exception(msg);
}
this.Bars = bar.ParentBars;
this.PlacedBar = bar;
this.PlacedBarIndex = bar.ParentBarsIndex;
this.Symbol = bar.Symbol;
this.BarsScaleInterval = this.Bars.ScaleInterval;
if (this.Bars.SymbolInfo != null)
{
SymbolInfo symbolInfo = this.Bars.SymbolInfo;
this.SymbolClass = (string.IsNullOrEmpty(symbolInfo.SymbolClass) == false) ? symbolInfo.SymbolClass : "UNKNOWN_CLASS";
this.MarketOrderAs = symbolInfo.MarketOrderAs;
}
this.AccountNumber = "UNKNOWN_ACCOUNT";
if (this.DataSource.BrokerProvider != null && this.DataSource.BrokerProvider.AccountAutoPropagate != null &&
string.IsNullOrEmpty(this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber) != false)
{
this.AccountNumber = this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber;
}
this.Qty = qty;
this.PriceScript = priceScript;
this.SignalName = signalName;
this.Direction = direction;
this.MarketLimitStop = marketLimitStop;
this.OrderSpreadSide = orderSpreadSide;
this.Strategy = strategy;
if (this.Strategy != null)
{
this.StrategyID = this.Strategy.Guid;
this.StrategyName = this.Strategy.Name;
}
if (this.Strategy.Script != null)
{
string msg = "Looks like a manual Order submitted from the Chart";
return;
}
}
public Order(Alert alert, bool fromAutoTrading,
bool forceOverwriteAlertOrderFollowedToNewlyCreatedOrder = false) : this()
{
if (alert == null)
{
string msg = "Order(): alert=null (serializer will get upset) for " + this.ToString();
throw new Exception(msg);
}
if (alert.OrderFollowed != null && forceOverwriteAlertOrderFollowedToNewlyCreatedOrder == false)
{
string msg = "I refuse to create one more order for an alert.OrderFollowed!=null; alert[" + alert + "] alert.OrderFollowed[" + alert.OrderFollowed + "]";
alert.OrderFollowed.AppendMessage(msg);
throw new Exception(msg);
}
this.PriceRequested = alert.PriceScript;
this.QtyRequested = alert.Qty;
this.FromAutoTrading = fromAutoTrading;
//this.TimeCreatedServer = alert.TimeCreatedLocal;
// due to serverTime lagging, replacements orders are born before the original order...
this.TimeCreatedBroker = alert.Bars.MarketInfo.ConvertLocalTimeToServer(DateTime.Now);
//this.PositionFollowed = new Position() when order.State becomes OrderState.Filled;
this.SpreadSide = alert.OrderSpreadSide;
//this.ExtendedOrderType = alert.ExtendedOrderType;
// Bid/Ask Dictionaries are synchronized => no exceptions
if (alert.DataSource != null && alert.DataSource.StreamingProvider != null)
{
this.CurrentBid = alert.DataSource.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(alert.Symbol);
this.CurrentAsk = alert.DataSource.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(alert.Symbol);
}
this.Alert = alert;
alert.OrderFollowed = this;
//MOVED_TO OrderProcessor::CreatePropagateOrderFromAlert() for {if (alert.IsExitAlert) alert.PositionAffected.EntryAlert.OrderFollowed.DerivedOrdersAdd(newborn);}
// if (alert.PositionAffected != null && alert.PositionAffected.EntryAlert != null && alert.PositionAffected.EntryAlert.OrderFollowed != null) {
// alert.PositionAffected.EntryAlert.OrderFollowed.DerivedOrdersAdd(this);
// // TODO will also have to notify ExecutionForm on this Order, which will close a Position
// }
alert.MreOrderFollowedIsNotNull.Set(); // Order is fully constructed, all properties assigned, go read them
}
public Order() // called by Json.Deserialize(); what if I'll make it protected?
{
this.GUID = newGUID();
this.messages = new ConcurrentQueue <OrderStateMessage>();
this.ExtendedOrderType = "";
this.PriceRequested = 0;
this.PriceFill = 0;
this.QtyRequested = 0;
this.QtyFill = 0;
//this.PositionFollowed = null;
//this.AccountPositionFollowed = null;
this.State = OrderState.Unknown;
this.SernoSession = 0; //QUIK
this.SernoExchange = 0; //QUIK
this.IsReplacement = false;
this.ReplacementForGUID = "";
this.ReplacedByGUID = "";
this.IsKiller = false;
this.VictimGUID = "";
this.KillerGUID = "";
this.StateImageIndex = 0;
this.StateUpdateLastTimeLocal = DateTime.MinValue;
this.FromAutoTrading = false;
this.SlippageFill = 0;
this.SlippageIndex = 0;
this.CurrentAsk = 0;
this.CurrentBid = 0;
this.SpreadSide = OrderSpreadSide.Unknown;
this.MreActiveCanCome = new ManualResetEvent(false);
this.DerivedOrders = new List <Order>();
this.DerivedOrdersGuids = new List <string>();
}
private double getStreamingPriceForMarketOrder(MarketLimitStop entryMarketLimitStop,
Direction direction, out OrderSpreadSide priceSpreadSide) {
double priceForMarketAlert = -1;
priceSpreadSide = OrderSpreadSide.Unknown;
switch (entryMarketLimitStop) {
case MarketLimitStop.Market:
priceForMarketAlert = this.executor.DataSource.StreamingProvider.StreamingDataSnapshot
.GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(
this.executor.Bars.Symbol, direction, out priceSpreadSide, false);
break;
case MarketLimitStop.AtClose:
string msg = "[" + direction + "]At[" + entryMarketLimitStop + "]"
+ " when LastBar[" + (this.executor.Bars.Count - 1) + "]; No way I can bring you a future price,"
+ " even by executing your order right now"
+ "; can't do inequivalent repacement to LastBar.Close";
throw new Exception(msg);
//break;
case MarketLimitStop.Stop:
case MarketLimitStop.Limit:
case MarketLimitStop.StopLimit:
string msg2 = "STREAMING_BID_ASK_IS_IRRELEVANT_FOR_STOP_OR_LIMIT_ALERT [" + direction + "]At[" + entryMarketLimitStop + "]"
+ " when LastBar[" + (this.executor.Bars.Count - 1) + "]";
throw new Exception(msg2);
default:
throw new Exception("no handler for MarketLimitStop.[" + entryMarketLimitStop + "]");
}
return priceForMarketAlert;
}
public virtual double GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(string symbol, Direction direction
, out OrderSpreadSide oss, bool forceCrossMarket)
{
double priceLastQuote = this.LastQuoteGetPriceForMarketOrder(symbol);
if (priceLastQuote == 0)
{
string msg = "QuickCheck ZERO priceLastQuote=" + priceLastQuote + " for Symbol=[" + symbol + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double currentBid = this.BestBidGetForMarketOrder(symbol);
double currentAsk = this.BestAskGetForMarketOrder(symbol);
if (currentBid == 0)
{
string msg = "ZERO currentBid=" + currentBid + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
;
Assembler.PopupException(msg);
//throw new Exception(msg);
}
if (currentAsk == 0)
{
string msg = "ZERO currentAsk=" + currentAsk + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double price = 0;
oss = OrderSpreadSide.ERROR;
SymbolInfo symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfo(symbol);
MarketOrderAs spreadSide;
if (forceCrossMarket)
{
spreadSide = MarketOrderAs.LimitCrossMarket;
}
else
{
spreadSide = (symbolInfo == null) ? MarketOrderAs.LimitCrossMarket : symbolInfo.MarketOrderAs;
}
if (spreadSide == MarketOrderAs.ERROR || spreadSide == MarketOrderAs.Unknown)
{
string msg = "Set Symbol[" + symbol + "].SymbolInfo.LimitCrossMarket; should not be spreadSide[" + spreadSide + "]";
Assembler.PopupException(msg);
throw new Exception(msg);
//return;
}
switch (direction)
{
case Direction.Buy:
case Direction.Cover:
switch (spreadSide)
{
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.AskTidal;
price = currentAsk;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.BidCrossed;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MaxPrice;
price = currentAsk;
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentAsk; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
case Direction.Short:
case Direction.Sell:
switch (spreadSide)
{
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.BidTidal;
price = currentBid;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.AskCrossed;
price = currentAsk; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MinPrice;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentBid; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
default:
string msg = "no handler for direction[" + direction + "]";
throw new Exception(msg);
}
if (double.IsNaN(price))
{
Debugger.Break();
}
symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfoOrNew(symbol);
price = symbolInfo.AlignOrderPriceToPriceLevel(price, direction, MarketLimitStop.Market);
return(price);
}
public virtual double GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(string symbol, Direction direction
, out OrderSpreadSide oss, bool forceCrossMarket) {
double priceLastQuote = this.LastQuoteGetPriceForMarketOrder(symbol);
if (priceLastQuote == 0) {
string msg = "QuickCheck ZERO priceLastQuote=" + priceLastQuote + " for Symbol=[" + symbol + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double currentBid = this.BestBidGetForMarketOrder(symbol);
double currentAsk = this.BestAskGetForMarketOrder(symbol);
if (currentBid == 0) {
string msg = "ZERO currentBid=" + currentBid + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
;
Assembler.PopupException(msg);
//throw new Exception(msg);
}
if (currentAsk == 0) {
string msg = "ZERO currentAsk=" + currentAsk + " for Symbol=[" + symbol + "]"
+ " while priceLastQuote=[" + priceLastQuote + "]"
+ " from streamingProvider[" + this.streamingProvider.Name + "].StreamingDataSnapshot";
Assembler.PopupException(msg);
//throw new Exception(msg);
}
double price = 0;
oss = OrderSpreadSide.ERROR;
SymbolInfo symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfo(symbol);
MarketOrderAs spreadSide;
if (forceCrossMarket) {
spreadSide = MarketOrderAs.LimitCrossMarket;
} else {
spreadSide = (symbolInfo == null) ? MarketOrderAs.LimitCrossMarket : symbolInfo.MarketOrderAs;
}
if (spreadSide == MarketOrderAs.ERROR || spreadSide == MarketOrderAs.Unknown) {
string msg = "Set Symbol[" + symbol + "].SymbolInfo.LimitCrossMarket; should not be spreadSide[" + spreadSide + "]";
Assembler.PopupException(msg);
throw new Exception(msg);
//return;
}
switch (direction) {
case Direction.Buy:
case Direction.Cover:
switch (spreadSide) {
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.AskTidal;
price = currentAsk;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.BidCrossed;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MaxPrice;
price = currentAsk;
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentAsk; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
case Direction.Short:
case Direction.Sell:
switch (spreadSide) {
case MarketOrderAs.LimitTidal:
oss = OrderSpreadSide.BidTidal;
price = currentBid;
break;
case MarketOrderAs.LimitCrossMarket:
oss = OrderSpreadSide.AskCrossed;
price = currentAsk; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketMinMaxSentToBroker:
oss = OrderSpreadSide.MinPrice;
price = currentBid; // Unknown (Order default) becomes CrossMarket
break;
case MarketOrderAs.MarketZeroSentToBroker:
oss = OrderSpreadSide.MarketPrice;
price = currentBid; // looks like default, must be crossmarket to fill it right now
break;
default:
string msg2 = "no handler for spreadSide[" + spreadSide + "] direction[" + direction + "]";
throw new Exception(msg2);
}
break;
default:
string msg = "no handler for direction[" + direction + "]";
throw new Exception(msg);
}
if (double.IsNaN(price)) {
Debugger.Break();
}
symbolInfo = Assembler.InstanceInitialized.RepositoryCustomSymbolInfo.FindSymbolInfoOrNew(symbol);
price = symbolInfo.AlignOrderPriceToPriceLevel(price, direction, MarketLimitStop.Market);
return price;
}
public Alert(Bar bar, double qty, double priceScript, string signalName,
Direction direction, MarketLimitStop marketLimitStop, OrderSpreadSide orderSpreadSide,
Strategy strategy) : this() {
if (direction == Direction.Unknown) {
string msg = "ALERT_CTOR_DIRECTION_MUST_NOT_BE_UNKNOWN: when creating an Alert, direction parameter can't be null";
throw new Exception(msg);
}
if (bar == null) {
string msg = "ALERT_CTOR_BAR_MUST_NOT_BE_NULL: when creating an Alert, bar parameter can't be null";
throw new Exception(msg);
}
if (bar.ParentBars == null) {
string msg = "ALERT_CTOR_PARENT_BARS_MUST_NOT_BE_NULL: when creating an Alert, bar.ParentBars can't be null";
throw new Exception(msg);
}
this.Bars = bar.ParentBars;
this.PlacedBar = bar;
this.PlacedBarIndex = bar.ParentBarsIndex;
this.Symbol = bar.Symbol;
this.BarsScaleInterval = this.Bars.ScaleInterval;
if (this.Bars.SymbolInfo != null) {
SymbolInfo symbolInfo = this.Bars.SymbolInfo;
this.SymbolClass = (string.IsNullOrEmpty(symbolInfo.SymbolClass) == false) ? symbolInfo.SymbolClass : "UNKNOWN_CLASS";
this.MarketOrderAs = symbolInfo.MarketOrderAs;
}
this.AccountNumber = "UNKNOWN_ACCOUNT";
if (this.DataSource.BrokerProvider != null && this.DataSource.BrokerProvider.AccountAutoPropagate != null
&& string.IsNullOrEmpty(this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber) != false) {
this.AccountNumber = this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber;
}
this.Qty = qty;
this.PriceScript = priceScript;
this.SignalName = signalName;
this.Direction = direction;
this.MarketLimitStop = marketLimitStop;
this.OrderSpreadSide = orderSpreadSide;
this.Strategy = strategy;
if (this.Strategy != null) {
this.StrategyID = this.Strategy.Guid;
this.StrategyName = this.Strategy.Name;
}
if (this.Strategy.Script != null) {
string msg = "Looks like a manual Order submitted from the Chart";
return;
}
}
public Order(Alert alert, bool fromAutoTrading,
bool forceOverwriteAlertOrderFollowedToNewlyCreatedOrder = false) : this() {
if (alert == null) {
string msg = "Order(): alert=null (serializer will get upset) for " + this.ToString();
throw new Exception(msg);
}
if (alert.OrderFollowed != null && forceOverwriteAlertOrderFollowedToNewlyCreatedOrder == false) {
string msg = "I refuse to create one more order for an alert.OrderFollowed!=null; alert[" + alert + "] alert.OrderFollowed[" + alert.OrderFollowed + "]";
alert.OrderFollowed.AppendMessage(msg);
throw new Exception(msg);
}
this.PriceRequested = alert.PriceScript;
this.QtyRequested = alert.Qty;
this.FromAutoTrading = fromAutoTrading;
//this.TimeCreatedServer = alert.TimeCreatedLocal;
// due to serverTime lagging, replacements orders are born before the original order...
this.TimeCreatedBroker = alert.Bars.MarketInfo.ConvertLocalTimeToServer(DateTime.Now);
//this.PositionFollowed = new Position() when order.State becomes OrderState.Filled;
this.SpreadSide = alert.OrderSpreadSide;
//this.ExtendedOrderType = alert.ExtendedOrderType;
// Bid/Ask Dictionaries are synchronized => no exceptions
if (alert.DataSource != null && alert.DataSource.StreamingProvider != null) {
this.CurrentBid = alert.DataSource.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(alert.Symbol);
this.CurrentAsk = alert.DataSource.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(alert.Symbol);
}
this.Alert = alert;
alert.OrderFollowed = this;
//MOVED_TO OrderProcessor::CreatePropagateOrderFromAlert() for {if (alert.IsExitAlert) alert.PositionAffected.EntryAlert.OrderFollowed.DerivedOrdersAdd(newborn);}
// if (alert.PositionAffected != null && alert.PositionAffected.EntryAlert != null && alert.PositionAffected.EntryAlert.OrderFollowed != null) {
// alert.PositionAffected.EntryAlert.OrderFollowed.DerivedOrdersAdd(this);
// // TODO will also have to notify ExecutionForm on this Order, which will close a Position
// }
alert.MreOrderFollowedIsNotNull.Set(); // Order is fully constructed, all properties assigned, go read them
}
public Order() { // called by Json.Deserialize(); what if I'll make it protected?
this.GUID = newGUID();
this.messages = new ConcurrentQueue<OrderStateMessage>();
this.ExtendedOrderType = "";
this.PriceRequested = 0;
this.PriceFill = 0;
this.QtyRequested = 0;
this.QtyFill = 0;
//this.PositionFollowed = null;
//this.AccountPositionFollowed = null;
this.State = OrderState.Unknown;
this.SernoSession = 0; //QUIK
this.SernoExchange = 0; //QUIK
this.IsReplacement = false;
this.ReplacementForGUID = "";
this.ReplacedByGUID = "";
this.IsKiller = false;
this.VictimGUID = "";
this.KillerGUID = "";
this.StateImageIndex = 0;
this.StateUpdateLastTimeLocal = DateTime.MinValue;
this.FromAutoTrading = false;
this.SlippageFill = 0;
this.SlippageIndex = 0;
this.CurrentAsk = 0;
this.CurrentBid = 0;
this.SpreadSide = OrderSpreadSide.Unknown;
this.MreActiveCanCome = new ManualResetEvent(false);
this.DerivedOrders = new List<Order>();
this.DerivedOrdersGuids = new List<string>();
}
