private void ProcessChangeOrder(CreateOrChangeOrder order)
{
SendExecutionReport(order, "E", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
SendExecutionReport(order, "5", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
private void ProcessCancelOrder(CreateOrChangeOrder cancelOrder)
{
var origOrder = cancelOrder.OriginalOrder;
var randomOrder = random.Next(0, 10) < 5 ? cancelOrder : origOrder;
SendExecutionReport(randomOrder, "6", 0.0, 0, 0, 0, (int)origOrder.Size, TimeStamp.UtcNow);
SendPositionUpdate(cancelOrder.Symbol, ProviderSimulator.GetPosition(cancelOrder.Symbol));
SendExecutionReport(randomOrder, "4", 0.0, 0, 0, 0, (int)origOrder.Size, TimeStamp.UtcNow);
SendPositionUpdate(cancelOrder.Symbol, ProviderSimulator.GetPosition(cancelOrder.Symbol));
}
private void ProcessCreateOrder(CreateOrChangeOrder order)
{
SendExecutionReport(order, "A", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
if (order.Symbol.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.StopLoss))
{
SendExecutionReport(order, "A", "D", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
else
{
SendExecutionReport(order, "0", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
}
public override void OnPhysicalFill(PhysicalFill fill, CreateOrChangeOrder order)
{
if (order.Symbol.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop))
{
order.Type = order.Type == OrderType.BuyStop ? OrderType.BuyMarket : OrderType.SellMarket;
var marketOrder = Factory.Utility.PhysicalOrder(order.Action, order.OrderState,
order.Symbol, order.Side, order.Type, OrderFlags.None, 0,
order.Size, order.LogicalOrderId,
order.LogicalSerialNumber,
order.BrokerOrder, null, TimeStamp.UtcNow);
SendExecutionReport(marketOrder, "0", 0.0, 0, 0, 0, (int)marketOrder.Size, TimeStamp.UtcNow);
}
if (debug)
{
log.Debug("Converting physical fill to FIX: " + fill);
}
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
var orderStatus = fill.CumulativeSize == fill.TotalSize ? "2" : "1";
SendExecutionReport(order, orderStatus, "F", fill.Price, fill.TotalSize, fill.CumulativeSize, fill.Size, fill.RemainingSize, fill.UtcTime);
}