public RunnerChangeStub WithTraded(double?price, double?size)
{
Traded ??= new List <List <double?> >();
var priceSize = new List <double?> {
price, size
};
Traded.Add(priceSize);
return(this);
}
private void Match()
{
if (Status != SecurityTradingStatus.Open)
{
return;
}
var fills = new List <Fill>();
var time = DateTime.UtcNow;
int maxTradePrice = int.MinValue;
int minTradePrice = int.MaxValue;
var buy = WorkingOrders(Side.Buy).FirstOrDefault();
var sell = WorkingOrders(Side.Sell).FirstOrDefault();
while (buy != null && sell != null && buy.Price >= sell.Price)
{
Order resting = buy.Id < sell.Id ? buy : sell;
Order aggressor = buy == resting ? sell : buy;
fills.AddRange(Match(resting, aggressor));
maxTradePrice = Math.Max(maxTradePrice, resting.Price.Value);
minTradePrice = Math.Min(minTradePrice, resting.Price.Value);
buy = WorkingOrders(Side.Buy).FirstOrDefault();
sell = WorkingOrders(Side.Sell).FirstOrDefault();
}
// remove FAK orders (should only ever be one)
foreach (var order in WorkingOrders())
{
if (order.TimeInForce == TimeInForce.FillAndKill)
{
ExpireOrder(order);
Console.WriteLine($"FAK expired: {order.Id}");
}
}
CheckStops(maxTradePrice, minTradePrice);
if (fills.Count > 0)
{
Traded?.Invoke(this, new TradedEventArgs(time, Security, fills));
}
}