private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = CTPProvider.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
CommType = commType,
Commission = commission,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(EFIXField.OrdType) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(EFIXField.TimeInForce) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(EFIXField.OrderQty) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(EFIXField.Price) ? record.Order.ReplaceOrder.Price : record.Order.Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(EFIXField.StopPx) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx;
record.LeavesQty = ((int)report.OrderQty) - record.CumQty;
}
else
{
report.OrdType = record.Order.OrdType;
report.TimeInForce = record.Order.TimeInForce;
report.OrderQty = record.Order.OrderQty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
}
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
public void EmitExecutionReport(SingleOrder order, double price, int quantity)
{
OrderRecord record = orderRecords[order];
EmitExecutionReport(record, OrdStatus.Undefined, price, quantity, "");
}
public void EmitExecutionReport(SingleOrder order, OrdStatus status, string text)
{
OrderRecord record = orderRecords[order];
EmitExecutionReport(record, status, 0.0, 0, text);
}