private void OnOrderCancelled(Order order, OrderFlags flags)
{
var record = GetPositionRecord(order.Side, flags);
record.CumCancelCount++;
OnOrderRejected(order, flags);
}
public PositionRecord GetPositionRecord(OrderSide side, OrderFlags flags)
{
if (flags.IsOpen)
{
return(side == OrderSide.Buy ? Long : Short);
}
return(side == OrderSide.Buy ? Short : Long);
}
private void OnOrderRejected(Order order, OrderFlags flags)
{
var record = GetPositionRecord(order.Side, flags);
var leavesQty = order.LeavesQty;
if (flags.IsOpen)
{
record.OrderRejectedOpen(leavesQty);
}
else if (flags.IsCloseToday)
{
record.OrderRejectedCloseToday(leavesQty);
}
else
{
record.OrderRejectedClose(leavesQty);
}
}
private void OnPendingNewOrder(Order order, OrderFlags flags)
{
var qty = order.Qty;
var record = GetPositionRecord(order.Side, flags);
if (flags.IsOpen)
{
record.NewOrderOpen(qty);
}
else if (flags.IsCloseToday)
{
record.NewOrderCloseToday(qty);
}
else
{
record.NewOrderClose(qty);
}
}
public void ProcessExecutionReport(ExecutionReport report, OrderFlags flags)
{
switch (report.ExecType)
{
case ExecType.ExecRejected:
OnOrderRejected(report.Order, flags);
break;
case ExecType.ExecCancelled:
OnOrderCancelled(report.Order, flags);
break;
//case ExecType.ExecNew:
// OnPendingNewOrder(report.Order, flags);
// break;
case ExecType.ExecTrade:
OnOrderFilled(report.Order, flags);
break;
}
}
private void OnOrderFilled(Order order, OrderFlags flags)
{
var index = order.Reports.Count - 1;
var lastQty = order.Reports[index].LastQty;
var lastPrice = order.Reports[index].LastPx;
var record = GetPositionRecord(order.Side, flags);
if (flags.IsOpen)
{
record.FilledOpen(lastQty, lastPrice);
}
else if (flags.IsCloseToday)
{
record.FilledCloseToday(lastQty, lastPrice);
}
else
{
record.FilledClose(lastQty, lastPrice);
}
}
public void ProcessSend(Order order, OrderFlags flags)
{
OnPendingNewOrder(order, flags);
}