private bool updateOrder(Order order, IExecutionReportMessage er)
{
// stupid protocol...but this is what the API sends...
if (er.ExecType == ExecTypeEnum.etPartiallyFilled ||
er.ExecType == ExecTypeEnum.etFilled)
{
order.avgPx = (order.avgPx * order.cumQty + er.OrderQty * er.Price) / (order.cumQty + er.OrderQty);
order.cumQty += er.OrderQty;
}
else if (er.ExecType == ExecTypeEnum.etReplaced)
{
if (!PriceUtils.isZero(er.OrderQty))
{
order.quantity = er.OrderQty;
}
if (!PriceUtils.isZero(er.Price))
{
order.price = er.Price;
}
}
ExecType? execType = FieldConverter.convert(er.ExecType, order);
OrdStatus?ordStatus = FieldConverter.convert(er.OrderStatus, order);
if (null != execType && null != ordStatus)
{
order.exchangeOrderId = er.OrderID;
order.ordStatus = ordStatus ?? order.ordStatus;
order.execType = execType ?? order.execType;
order.lastMsg = er.Text;
return(true);
}
return(false);
}
public void amendOrder(String exchangeOrderId, double price, double qty)
{
logger.Info("Amend Order: " + "exchangeOrderId=" + exchangeOrderId + "; price=" + price + "; qty=" + qty);
Order order;
if (!orders.TryGetValue(exchangeOrderId, out order))
{
throw new DownStreamException("Amend order not found: " + exchangeOrderId);
}
if (PriceUtils.EqualGreaterThan(qty, order.quantity))
{
throw new DownStreamException("Can't amend quantity up: " + exchangeOrderId);
}
if (PriceUtils.EqualLessThan(qty, order.cumQty))
{
throw new DownStreamException("Can't amend quantity to equal or less than filled quantity: " + exchangeOrderId);
}
if (!PriceUtils.isZero(price) && !PriceUtils.Equal(price, order.price) &&
!PriceUtils.isZero(qty) && !PriceUtils.Equal(qty, order.quantity))
{
throw new DownStreamException("Can't amend both price and quantity: " + exchangeOrderId);
}
if (price == order.price && qty == order.quantity)
{
throw new DownStreamException("Can't amend price and qty to same value: " + exchangeOrderId);
}
OrderMessage.ReplaceOrderMessage replaceOrderMessage = new OrderMessage.ReplaceOrderMessage();
replaceOrderMessage.AE = user;
replaceOrderMessage.Account = account;
replaceOrderMessage.BrokerID = brokerID;
replaceOrderMessage.Symbol = order.symbol;
replaceOrderMessage.OrderID = order.exchangeOrderId;
replaceOrderMessage.Side = FieldConverter.convert(order.orderSide);
if (!PriceUtils.isZero(price) && !PriceUtils.Equal(price, order.price))
{
replaceOrderMessage.Price = price;
}
if (!PriceUtils.isZero(qty) && !PriceUtils.Equal(qty, order.quantity))
{
replaceOrderMessage.OrderQty = (int)qty;
}
replaceOrderMessage.Data = formatData(replaceOrderMessage.OrderQty, order.account);
replaceOrderMessage.NID = exchangeConnection.GenerateUniqueID(this.market, OrderMessage.MessageTypeEnum.mtReplace);
exchangeConnection.ReplaceOrder(replaceOrderMessage);
}
