//
//
// *************************************
// **** ProcessFillConfirm ****
// *************************************
private void ProcessFillConfirm(FillEventArgs fillEvent)
{
Order orderToModify;
Order orderToReturn = null;
if (m_OrdersById.TryGetValue(fillEvent.OrderId, out orderToModify))
{
lock (m_Lock)
{
orderToModify.ExecutedQty += fillEvent.Fill.Qty;
if (fillEvent.isComplete)
{
orderToModify.OrderStateConfirmed = OrderState.Dead;
}
}
if (fillEvent.isComplete)
{
m_ParentOrderBook.TryDelete(fillEvent.OrderId);
}
// Trigger fill event
fillEvent.OrderBookID = m_ParentOrderBook.BookID; // assign the correct id now that we know it.
m_ParentOrderBook.OnOrderFilled(fillEvent); // fire fill event for my subscribers
// Trigger order state change
if (m_ParentOrderBook.TryGet(fillEvent.OrderId, out orderToReturn, true))
{
OrderEventArgs orderEvent = new OrderEventArgs();
orderEvent.Order = orderToReturn;
orderEvent.Fill = fillEvent.Fill;
orderEvent.OrderBookID = m_ParentOrderBook.BookID;
m_ParentOrderBook.OnOrderStateChanged(orderEvent);
}
}
}
//
/// <summary>
/// After any order status updated and after we have already updated our quoting orders,
/// this event is fired first before all others.
/// </summary>
public void OnOrderFilled(FillEventArgs fillEventArgs)
{
if (this.OrderFilled != null)
{
this.OrderFilled(this, fillEventArgs);
}
}
//
//
//
//
//
//
// *************************************
// **** OrderFilled() ****
// *************************************
public bool OrderFilled(FillEventArgs fillEventArgs)
{
int bookId;
if (m_OrderIDToBookMap.TryGetValue(fillEventArgs.OrderId, out bookId))
{
OrderBook orderBook;
if (m_OrderBooks.TryGetValue(bookId, out orderBook))
{ // we have this order book
if (orderBook.IsReady)
{
fillEventArgs.OrderBookID = bookId;
orderBook.OnOrderFilled(fillEventArgs);
}
}
}
return(false);
}
//
//
// *************************************************
// **** ProcessRequest() ****
// *************************************************
// orderReq.Data[0] = InstrumentName
// orderReq.Data[1] = orderId
// orderReq.Data[2] = orderside
// orderReq.Data[3] = Order/fill/other data?
/// <summary>
/// /// Threadsafe method to request manipulation of an internal order.
/// </summary>
/// <param name="orderId"></param>
/// <param name="orderSide"></param>
/// <param name="orderReq"></param>
public void ProcessRequest(int orderId, int orderSide, RequestEventArg <OrderRequestType> orderReq)
{
Order order;
switch (orderReq.RequestType)
{
case OrderRequestType.None:
break;
//
// Add
//
case OrderRequestType.AddConfirm:
order = (Order)orderReq.Data[3];
ProcessAddConfirm(order);
break;
case OrderRequestType.AddReject:
ProcessAddReject(orderId);
break;
//
// Delete
//
case OrderRequestType.DeleteConfirm:
ProcessDeleteConfirm(orderId);
break;
case OrderRequestType.DeleteRequest:
ProcessDeleteRequest(orderId);
break;
case OrderRequestType.DeleteReject:
// TODO
break;
//
// Fills
//
case OrderRequestType.FillConfirm:
FillEventArgs fillEvent = (FillEventArgs)orderReq.Data[3];
ProcessFillConfirm(fillEvent);
break;
//
// Change
//
case OrderRequestType.ChangeRequest:
order = (Order)orderReq.Data[3];
ProcessChangeRequest(order);
break;
case OrderRequestType.ChangeConfirm:
order = (Order)orderReq.Data[3];
ProcessChangeConfirm(order);
break;
case OrderRequestType.ChangeReject:
ProcessChangeReject(orderId);
break;
//
// Unknown
//
case OrderRequestType.Unknown:
order = (Order)orderReq.Data[3];
ProcessUknownOrder(order);
break;
default:
break;
}
}
