void fillOrderMaybe(Order order, Tick tick, Converter <Order, double> fillPrice, bool isClose)
{
if (order.canFill(tick.price, isClose))
{
fillAt(order, fillPrice(order), tick.time);
}
}
void fillOrders(Symbol symbol, Tick tick, Converter <Order, double> fillPrice, bool isClose)
{
var fillable = accept(orders(symbol), order => isFillable(order, symbol, tick.price, isClose));
fillable = sort(fillable, (a, b) => {
var fillA = Math.Abs(tick.price - fillPrice(a));
var fillB = Math.Abs(tick.price - fillPrice(b));
var priceOrder = fillB.CompareTo(fillA);
return(priceOrder != 0 ? priceOrder : a.id.CompareTo(b.id));
});
each(fillable, order => fillOrderMaybe(order, tick, fillPrice, isClose));
}
internal void processTick(Tick tick, Symbol symbol)
{
lock (partialBars) {
trades.Clear();
var price = tick.price;
var runClose = bridge.runOnClose() && !hasRunLiveClose && now().CompareTo(symbol.closeAt()) >= 0;
fillOrders(symbol, tick, order => price, runClose);
bridge.processTick(symbol, tick);
gottenTicks = true;
if (runClose)
{
hasRunLiveClose = true;
}
}
}
protected override void onNewTick(Bar partialBar, Tick tick)
{
}
public abstract void processTick(Symbol symbol, Tick tick);
void fillOrdersNotOpen(Symbol symbol, Tick tick, bool isClose)
{
fillOrders(symbol, tick, order => order.fillPrice(tick.price, false), isClose);
}
protected override void onNewTick(Bar partialBar, Tick tick)
{
placeOrders();
}
public virtual void tickProcessed(Symbol symbol, Tick tick)
{
}
public override void tickProcessed(Symbol symbol, Tick tick)
{
positionMonitor.publishAll();
systemHeartbeat[symbol].tickProcessed(tick);
}
