private void TryRemovePhysicalFill(PhysicalFill fill)
{
if (SyncTicks.Enabled)
{
tickSync.RemovePhysicalFill(fill);
}
}
public void AddPhysicalFill(PhysicalFill fill)
{
var value = Interlocked.Increment(ref physicalFills);
if (trace)
{
log.Trace(symbol + ": AddPhysicalFill(" + value + "," + fill + "," + fill.Order + ")");
}
}
private void OnPhysicalFill(PhysicalFill fill, int totalSize, int cumulativeSize, int remainingSize)
{
if (debug)
{
log.Debug("Converting physical fill to FIX: " + fill);
}
SendPositionUpdate(fill.Order.Symbol, GetPosition(fill.Order.Symbol));
var orderStatus = cumulativeSize == totalSize ? "2" : "1";
SendExecutionReport(fill.Order, orderStatus, fill.Price, totalSize, cumulativeSize, fill.Size, remainingSize, fill.UtcTime, null);
}
public override void OnPhysicalFill(PhysicalFill fill, CreateOrChangeOrder order)
{
if (order.Symbol.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop))
{
order.Type = order.Type == OrderType.BuyStop ? OrderType.BuyMarket : OrderType.SellMarket;
var marketOrder = Factory.Utility.PhysicalOrder(order.Action, order.OrderState,
order.Symbol, order.Side, order.Type, OrderFlags.None, 0,
order.Size, order.LogicalOrderId,
order.LogicalSerialNumber,
order.BrokerOrder, null, TimeStamp.UtcNow);
SendExecutionReport(marketOrder, "0", 0.0, 0, 0, 0, (int)marketOrder.Size, TimeStamp.UtcNow);
}
if (debug)
{
log.Debug("Converting physical fill to FIX: " + fill);
}
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
var orderStatus = fill.CumulativeSize == fill.TotalSize ? "2" : "1";
SendExecutionReport(order, orderStatus, "F", fill.Price, fill.TotalSize, fill.CumulativeSize, fill.Size, fill.RemainingSize, fill.UtcTime);
}
public void ProcessFill(PhysicalFill physical, int totalSize, int cumulativeSize, int remainingSize)
{
if (debug)
{
log.Debug("ProcessFill() physical: " + physical);
}
// log.Warn( "ProcessFill() physical: " + physical);
physicalOrders.Remove(physical.Order);
var isCompletePhysicalFill = physical.Order.Size == 0;
if (isCompletePhysicalFill)
{
if (debug)
{
log.Debug("Physical order completely filled: " + physical.Order);
}
physicalOrders.Remove(physical.Order);
}
else
{
if (debug)
{
log.Debug("Physical order partially filled: " + physical.Order);
}
}
LogicalFillBinary fill;
try {
var logical = FindLogicalOrder(physical.Order.LogicalOrderId);
desiredPosition += physical.Size;
if (debug)
{
log.Debug("Adjusting symbol position to desired " + desiredPosition + ", physical fill was " + physical.Size);
}
var position = logical.StrategyPosition + physical.Size;
if (debug)
{
log.Debug("Creating logical fill with position " + position + " from strategy position " + logical.StrategyPosition);
}
fill = new LogicalFillBinary(
position, physical.Price, physical.Time, physical.UtcTime, physical.Order.LogicalOrderId, physical.Order.LogicalSerialNumber, logical.Position, physical.IsSimulated);
} catch (ApplicationException) {
if (debug)
{
log.Debug("Leaving symbol position at desired " + desiredPosition + ", since this was an adjustment market order.");
}
if (debug)
{
log.Debug("Skipping logical fill for an adjustment market order.");
}
if (debug)
{
log.Debug("Performing extra compare.");
}
lock ( performCompareLocker) {
PerformCompareInternal();
}
TryRemovePhysicalFill(physical);
return;
}
if (debug)
{
log.Debug("Fill price: " + fill);
}
ProcessFill(fill, isCompletePhysicalFill);
}
public abstract void OnPhysicalFill(PhysicalFill fill, CreateOrChangeOrder order);
public void ProcessFill(PhysicalFill fill)
{
}
