public void processExecution(ExecutionMessage message)
{
IAppOrderManager orderManager = appStgManager.getAppOrderManager();
String[] stgNames = appStgManager.getStgNames();
if (!appStgManager.getAppOrderManager().AppOrderStore.ContainsKey(message.Execution.OrderId))
{
return;
}
if (!orderManager.isExecutionProcessed(message.Execution.ExecId))
{
AppExecution execution = orderManager.updateAppOrderExecution(message);
IAppOrder order = orderManager.AppOrderStore[message.Execution.OrderId];
AppOrder cloneOrder = (AppOrder)order.Clone();
if (AppObjectUtil.isOrderClosed(cloneOrder))
{
orderManager.closeOpenAppOrder(order.StrategyIndex, order);
}
orderManager.updatePosition(order.StrategyIndex, execution);
String stgName = stgNames[order.StrategyIndex];
AppPosition stgPosition = orderManager.StoreStgPositions[stgName];
log.Info("Total PnL : " + stgPosition.TotalPnL);
orderManager.markExeProcessed(message.Execution.ExecId);
//***New for send order executed email***
IAppEventManager appEventManager = appStgManager.getAppEventManager();
appEventManager.putOrderExeEvents(message, stgName);
/*TSAppExecution execution = appForm.StrategyManager.updateAppOrderExecution(message);
* TSAppOrder order = appForm.StrategyManager.AppOrderStore[message.Execution.OrderId];
* TSAppOrder cloneOrder = (TSAppOrder)order.Clone();
* if (StrategyManager.isOrderClosed(cloneOrder))
* {
* appForm.StrategyManager.closeOpenAppOrder(order.StrategyIndex, order);
* //appForm.StrategyManager.removeOpenAppOrder(order.StrategyIndex, order);
* //appForm.StrategyManager.addClosedAppOrder(order.StrategyIndex, order);
* }
* appForm.StrategyManager.updatePosition(order.StrategyIndex, execution);
* String stgName = appForm.StrategyManager.StgNames[order.StrategyIndex];
* AppPosition stgPosition = appForm.StrategyManager.StoreStgPositions[stgName];
* log.Info("Total PnL : " + stgPosition.TotalPnL);
* //log.Info("Total PnL : " + appForm.StrategyManager.StgPositions[order.StrategyIndex].TotalPnL);
* appForm.StrategyManager.markExeProcessed(message.Execution.ExecId);*/
}
log.Info("Order Executed");
log.Info("*********************************************");
}
public void test_updatePosition()
{
List <IAppExecution> lstExecution = createExecution_for_updatePosition();
IAppStrategyManager stgManager = getStgManager();
IAppOrderManager orderManager = new AppOrderManager(stgManager);
int stgIndex = 2;
int numExe = 5;
int[] accBuyQ = new int[numExe];
int[] accSellQ = new int[numExe];
int[] netQ = new int[numExe];
double[] accBuyMoney = new double[numExe];
double[] accSellMoney = new double[numExe];
double[] totalPnL = new double[numExe];
accBuyQ[0] = 0;
accSellQ[0] = 6;
netQ[0] = -6;
accBuyMoney[0] = 0;
accSellMoney[0] = 6 * 22100;
totalPnL[0] = 0;
accBuyQ[1] = 3;
accSellQ[1] = 6;
netQ[1] = -3;
accBuyMoney[1] = 3 * 22000;
accSellMoney[1] = 6 * 22100;
totalPnL[1] = 0;
accBuyQ[2] = 6;
accSellQ[2] = accSellQ[1];
netQ[2] = 0;
accBuyMoney[2] = accBuyMoney[1] + 3 * 21900;
accSellMoney[2] = accSellMoney[1];
totalPnL[2] = 6 * 22100 - (3 * 22000 + 3 * 21900);
accBuyQ[3] = 7;
accSellQ[3] = accSellQ[2];
netQ[3] = 1;
accBuyMoney[3] = accBuyMoney[2] + 23000;
accSellMoney[3] = accSellMoney[2];
totalPnL[3] = totalPnL[2];
accBuyQ[4] = accBuyQ[3];
accSellQ[4] = 7;
netQ[4] = 0;
accBuyMoney[4] = accBuyMoney[3];
accSellMoney[4] = accSellMoney[3] + 23500;
totalPnL[4] = totalPnL[3] + (23500 - 23000);
orderManager.updatePosition(stgIndex, lstExecution[0]);
String[] stgNames = stgManager.getStgNames();
String stgName = stgNames[stgIndex];
AppPosition position = orderManager.StoreStgPositions[stgName];
Assert.AreEqual(accSellQ[0], position.AccSellQ);
Assert.AreEqual(accSellMoney[0], position.AccSellMoney);
Assert.AreEqual(netQ[0], position.NetQ);
orderManager.updatePosition(stgIndex, lstExecution[1]);
Assert.AreEqual(accBuyQ[1], position.AccBuyQ);
Assert.AreEqual(accBuyMoney[1], position.AccBuyMoney);
Assert.AreEqual(netQ[1], position.NetQ);
Assert.AreEqual(totalPnL[1], position.TotalPnL);
orderManager.updatePosition(stgIndex, lstExecution[2]);
Assert.AreEqual(accBuyQ[2], position.AccBuyQ);
Assert.AreEqual(accBuyMoney[2], position.AccBuyMoney);
Assert.AreEqual(netQ[2], position.NetQ);
Assert.AreEqual(totalPnL[2], position.TotalPnL);
orderManager.updatePosition(stgIndex, lstExecution[3]);
Assert.AreEqual(accBuyQ[3], position.AccBuyQ);
Assert.AreEqual(accBuyMoney[3], position.AccBuyMoney);
Assert.AreEqual(netQ[3], position.NetQ);
Assert.AreEqual(totalPnL[3], position.TotalPnL);
orderManager.updatePosition(stgIndex, lstExecution[4]);
Assert.AreEqual(accSellQ[4], position.AccSellQ);
Assert.AreEqual(accSellMoney[4], position.AccSellMoney);
Assert.AreEqual(netQ[4], position.NetQ);
Assert.AreEqual(totalPnL[4], position.TotalPnL);
}