/// <summary>
/// Processes a new fill, eventually creating new trades
/// </summary>
/// <param name="fill">The new fill order event</param>
/// <param name="conversionRate">The current security market conversion rate into the account currency</param>
/// <param name="feeInAccountCurrency">The current order fee in the account currency</param>
/// <param name="multiplier">The contract multiplier</param>
public void ProcessFill(OrderEvent fill,
decimal conversionRate,
decimal feeInAccountCurrency,
decimal multiplier = 1.0m)
{
// If we have multiple fills per order, we assign the order fee only to its first fill
// to avoid counting the same order fee multiple times.
var orderFee = 0m;
if (!_ordersWithFeesAssigned.Contains(fill.OrderId))
{
orderFee = feeInAccountCurrency;
_ordersWithFeesAssigned.Add(fill.OrderId);
}
switch (_groupingMethod)
{
case FillGroupingMethod.FillToFill:
ProcessFillUsingFillToFill(fill.Clone(), orderFee, conversionRate, multiplier);
break;
case FillGroupingMethod.FlatToFlat:
ProcessFillUsingFlatToFlat(fill.Clone(), orderFee, conversionRate, multiplier);
break;
case FillGroupingMethod.FlatToReduced:
ProcessFillUsingFlatToReduced(fill.Clone(), orderFee, conversionRate, multiplier);
break;
}
}
public virtual Symbol NextSymbol(SecurityType securityType, string market)
{
if (securityType == SecurityType.Option || securityType == SecurityType.Future)
{
throw new ArgumentException("Please use NextOption or NextFuture for SecurityType.Option and SecurityType.Future respectively.");
}
// let's make symbols all have 3 chars as it's acceptable for all permitted security types in this method
var ticker = NextUpperCaseString(3, 3);
// by chance we may generate a ticker that actually exists, and if map files exist that match this
// ticker then we'll end up resolving the first trading date for use in the SID, otherwise, all
// generated symbol will have a date equal to SecurityIdentifier.DefaultDate
var symbol = Symbol.Create(ticker, securityType, market);
if (_symbols.Add(symbol))
{
return(symbol);
}
// lo' and behold, we created a duplicate --recurse to find a unique value
// this is purposefully done as the last statement to enable the compiler to
// unroll this method into a tail-recursion loop :)
return(NextSymbol(securityType, market));
}
/// <summary>
/// Generates random symbol, used further down for asset
/// </summary>
/// <param name="securityType">security type</param>
/// <param name="market">market</param>
/// <param name="ticker">Optionally can provide a ticker to use</param>
/// <returns>Random symbol</returns>
public Symbol NextSymbol(SecurityType securityType, string market, string ticker = null)
{
if (securityType == SecurityType.Option || securityType == SecurityType.Future)
{
throw new ArgumentException("Please use OptionSymbolGenerator or FutureSymbolGenerator for SecurityType.Option and SecurityType.Future respectively.");
}
if (ticker == null)
{
// we must return a Symbol matching an entry in the Symbol properties database
// if there is a wildcard entry, we can generate a truly random Symbol
// if there is no wildcard entry, the symbols we can generate are limited by the entries in the database
if (SymbolPropertiesDatabase.ContainsKey(market, SecurityDatabaseKey.Wildcard, securityType))
{
// let's make symbols all have 3 chars as it's acceptable for all security types with wildcard entries
ticker = NextUpperCaseString(3, 3);
}
else
{
ticker = NextTickerFromSymbolPropertiesDatabase(securityType, market);
}
}
// by chance we may generate a ticker that actually exists, and if map files exist that match this
// ticker then we'll end up resolving the first trading date for use in the SID, otherwise, all
// generated Symbol will have a date equal to SecurityIdentifier.DefaultDate
var symbol = Symbol.Create(ticker, securityType, market);
if (_symbols.Add(symbol))
{
return(symbol);
}
// lo' and behold, we created a duplicate --recurse to find a unique value
// this is purposefully done as the last statement to enable the compiler to
// unroll this method into a tail-recursion loop :)
return(NextSymbol(securityType, market));
}