public OrderState Update(OrderUpdate update, out Fill fill)
{
Assert.True(Status != OrderStatus.Finished);
Assert.True(update.Status != OrderStatus.Created, "Invalid update {0} for order {1}", update, this);
fill = null;
bool changed = false;
// Do we have a new OrderID assigned by the exchange?
if (update.OrderID != null && update.OrderID != _orderID)
{
_log.Info("Updating OrderID from {0} to {1} for order {2}", _orderID ?? "null", update.OrderID, _state);
// This will throw if we already have an order with the same ID. The update will be ignored.
_orders.AddOrder(update.OrderID, this);
if (_orderID != null)
{
_orders.RemoveOrder(_orderID);
}
_orderID = update.OrderID;
}
// Have the status changed?
if (update.Status.HasValue && update.Status != Status)
{
_state.Status = update.Status.Value;
changed = true;
if (Status == OrderStatus.Finished)
{
Finish();
}
}
// Orders that aren't Created or Finished must have OrderID.
if (Status != OrderStatus.Finished && Status != OrderStatus.Created && _orderID == null)
{
// This can happen if we sent a New Order Request to the exchange and the
// reply doesn't contain OrderID.
_log.Warn("Removing order with unknown ID: ", this);
changed = true;
Finish();
}
// Orders in state Created can't have OrderID.
if (Status == OrderStatus.Created && _orderID != null)
{
// This can happen if we sent a New Order Request to the exchange and the
// reply doesn't contain order status.
_log.Warn("Removing order in unknown status: ", this);
changed = true;
Finish();
}
if (update.Price.HasValue && update.Price != _state.Price)
{
_state.Price = update.Price;
changed = true;
}
if (update.LeftQuantity.HasValue && update.LeftQuantity != _state.LeftQuantity)
{
_state.LeftQuantity = update.LeftQuantity.Value;
changed = true;
}
if (update.FillQuantity.HasValue && update.FillQuantity.Value > _state.FillQuantity)
{
// This is a so called "similated" fill. It's used only if ClientConfig.SimulateFills
// is true.
fill = new Fill()
{
Side = _state.Side,
Symbol = _state.Symbol,
Quantity = update.FillQuantity.Value - _state.FillQuantity,
Price = update.AverageFillPrice.HasValue ? update.AverageFillPrice.Value :
_state.Price.HasValue ? _state.Price.Value : 0m
};
_state.FillQuantity = update.FillQuantity.Value;
changed = true;
}
// TODO: update FillQuantity.
return(changed ? (OrderState)_state.Clone() : null);
}
