void order_ExecutionReport(object sender, ExecutionReportEventArgs args)
{
SingleOrder order = sender as SingleOrder;
ExecutionReport report = args.ExecutionReport;
//Console.WriteLine("Execution report type : " + report.ExecType);
if (report.ExecType == ExecType.Fill || report.ExecType == ExecType.PartialFill)
{
//Console.WriteLine("Fill report, average fill price = {0}@{1:#.00}", report.OrderQty, report.AvgPx);
//Console.WriteLine( "*** {0} Report {1} cum {2} leaves {3} last {4} total {5} ",
// instrument.Symbol, report.OrdStatus, report.CumQty, report.LeavesQty, report.LastQty, report.OrderQty );
switch (order.Side)
{
case Side.Buy:
PositionFilled += (int)Math.Round(report.LastQty);
break;
case Side.Sell:
PositionFilled -= (int)Math.Round(report.LastQty);
break;
}
}
if (report.ExecType == ExecType.Fill)
{
if (ordersTag.ContainsKey(order.ClOrdID))
{
EOrderTag tag = (EOrderTag)ordersTag[order.ClOrdID];
if (EOrderTag.Entry == tag)
{
AvgEntryPrice = report.AvgPx;
switch (EntrySignal)
{
case ESignal.Long:
HardStopPrice = AvgEntryPrice - HardStopDelta; // this may not work if we have multiple partial fills
SoftStopPrice = AvgEntryPrice - TrailingStopDelta;
break;
case ESignal.Short:
HardStopPrice = AvgEntryPrice + HardStopDelta; // this may not work if we have multiple partial fills
SoftStopPrice = AvgEntryPrice + TrailingStopDelta;
break;
}
}
}
}
}
void order_StatusChanged(object sender, EventArgs e)
{
SingleOrder order = sender as SingleOrder;
//Console.WriteLine( "*** {0} Status {1} cum {2} leaves {3} last {4} total {5}",
// instrument.Symbol, order.OrdStatus, order.CumQty, order.LeavesQty, order.LastQty, order.OrderQty );
bool CheckStop = false;
switch (order.OrdStatus)
{
case OrdStatus.PartiallyFilled:
if (0 != order.LeavesQty)
{
Console.WriteLine("*** {0} Remaining quantity = {1}", instrument.Symbol, order.LeavesQty);
}
if (!ordersPartiallyFilled.ContainsKey(order.ClOrdID))
{
if (ordersSubmitted.ContainsKey(order.ClOrdID))
{
ordersSubmitted.Remove(order.ClOrdID);
}
ordersPartiallyFilled.Add(order.ClOrdID, order);
}
//CheckStop = true; // need to fix this sometime
break;
case OrdStatus.Filled:
//Console.WriteLine("Average fill price = {0}@{1:#.00} {2} {3}", order.OrderQty, order.AvgPx, order.Side, order.OrdStatus);
if (ordersSubmitted.ContainsKey(order.ClOrdID))
{
ordersSubmitted.Remove(order.ClOrdID);
}
if (ordersPartiallyFilled.ContainsKey(order.ClOrdID))
{
ordersPartiallyFilled.Remove(order.ClOrdID);
}
ordersFilled.Add(order.ClOrdID, order);
CheckStop = true; // HardStopPrice on set on 'Filled'
break;
case OrdStatus.Cancelled:
if (ordersSubmitted.ContainsKey(order.ClOrdID))
{
ordersSubmitted.Remove(order.ClOrdID);
}
ordersCancelled.Add(order.ClOrdID, order);
break;
case OrdStatus.PendingCancel:
// not used during simulation
// signalled during realtime trading
break;
default:
Console.WriteLine("*** {0} Order status changed to : {1}", instrument.Symbol, order.OrdStatus.ToString());
break;
}
if (CheckStop)
{
if (ordersTag.ContainsKey(order.ClOrdID))
{
EOrderTag tag = (EOrderTag)ordersTag[order.ClOrdID];
if (EOrderTag.Entry == tag)
{
SetHardStop();
}
if (EOrderTag.HardStop == tag)
{
State = EState.CleanUp;
}
}
}
OutStandingOrdersExist = ((0 != ordersSubmitted.Count) || (0 != ordersPartiallyFilled.Count));
//Console.WriteLine( "{0} status {1} {2} {3} {4}", order.ClOrdID, order.OrdStatus,
// OutStandingOrdersExist, ordersSubmitted.Count, ordersPartiallyFilled.Count );
}
