public override void Send(ExecutionCommand command)
{
var strategy = this.childrenByInstrument[command.Order.Instrument.Id].First.Data as SellSideInstrumentStrategy;
switch (command.Type)
{
case ExecutionCommandType.Send:
strategy.OnSendCommand(command);
return;
case ExecutionCommandType.Cancel:
strategy.OnCancelCommand(command);
return;
case ExecutionCommandType.Replace:
strategy.OnReplaceCommand(command);
return;
default:
return;
}
}
public void Cancel(Order order)
{
if (order.IsNotSent)
throw new ArgumentException($"Can not cancel order that is not sent {order}");
var command = new ExecutionCommand(ExecutionCommandType.Cancel, order)
{
DateTime = this.framework.Clock.DateTime,
OrderId = order.Id,
ClOrderId = order.ClOrderId,
ProviderOrderId = order.ProviderOrderId,
ProviderId = order.ProviderId,
RouteId = order.RouteId,
PortfolioId = order.PortfolioId
};
command.DateTime = order.DateTime;
command.Instrument = order.Instrument;
command.InstrumentId = order.InstrumentId;
command.Provider = order.Provider;
command.Portfolio = order.Portfolio;
command.Side = order.Side;
command.OrdType = order.Type;
command.TimeInForce = order.TimeInForce;
command.Price = order.Price;
command.StopPx = order.StopPx;
command.Qty = order.Qty;
command.OCA = order.OCA;
command.Text = order.Text;
command.Account = order.Account;
command.ClientID = order.ClientID;
command.ClientId = order.ClientId;
Messages.Add(command);
order.OnExecutionCommand(command);
this.framework.EventServer.OnExecutionCommand(command);
if (IsPersistent)
Server?.Save(command, -1);
order.Provider.Send(command);
}
private void HandleReplace(ExecutionCommand command)
{
var order = command.Order;
if (this.summariesByOrderId[order.Id] != null && IsOrderDone(this.summariesByOrderId[order.Id].OrdStatus))
{
this.ExecOrderReplaceReject(order, "Order already done");
return;
}
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
ExecType = ExecType.ExecReplace,
OrdStatus = OrderStatus.Replaced,
CurrencyId = order.Instrument.CurrencyId,
OrdType = order.Type,
Side = order.Side,
CumQty = order.CumQty,
LastQty = 0.0,
LeavesQty = command.Qty - order.CumQty,
LastPx = 0.0,
AvgPx = 0.0
};
report.OrdType = order.Type;
report.Price = command.Price;
report.StopPx = command.StopPx;
report.OrdQty = command.Qty;
report.TimeInForce = order.TimeInForce;
report.Text = order.Text;
this.summariesByOrderId[order.Id] = new ReportSummary(report);
EmitExecutionReport(report, Queued);
}
private void method_7(ExecutionCommand executionCommand_0)
{
}
public virtual void OnReplaceCommand(ExecutionCommand command)
{
// noop
}
internal void OnExecutionCommand(ExecutionCommand command) => OnEvent(command);
public ExecutionCommand(ExecutionCommand command)
: this()
{
Type = command.Type;
Id = command.Id;
ProviderId = command.ProviderId;
RouteId = command.RouteId;
AlgoId = command.AlgoId;
PortfolioId = command.PortfolioId;
InstrumentId = command.InstrumentId;
TransactTime = command.TransactTime;
DateTime = command.DateTime;
Instrument = command.Instrument;
Provider = command.Provider;
Portfolio = command.Portfolio;
Side = command.Side;
OrdType = command.OrdType;
TimeInForce = command.TimeInForce;
ExpireTime = command.ExpireTime;
Price = command.Price;
StopPx = command.StopPx;
Qty = command.Qty;
OCA = command.OCA;
Text = command.Text;
Account = command.Account;
ClientID = command.ClientID;
Fields = new ObjectTable(command.Fields);
}
public override void Send(ExecutionCommand command)
{
if (IsDisconnected)
Connect();
switch (command.Type)
{
case ExecutionCommandType.Send:
HandleSend(command.Order);
return;
case ExecutionCommandType.Cancel:
HandleCancel(command.Order);
return;
case ExecutionCommandType.Replace:
HandleReplace(command);
return;
default:
return;
}
}
public virtual void OnSendCommand(ExecutionCommand command)
{
}
public virtual void OnReplaceCommand(ExecutionCommand command)
{
}
protected void Reject(ExecutionCommand command, string format, params object[] args)
{
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = command.Order,
OrderId = command.OrderId,
Instrument = command.Instrument,
InstrumentId = command.InstrumentId,
CurrencyId = command.Instrument.CurrencyId,
OrdType = command.Order.Type,
Side = command.Order.Side,
OrdQty = command.Order.Qty,
Price = command.Order.Price,
StopPx = command.Order.StopPx,
TimeInForce = command.Order.TimeInForce,
AvgPx = command.Order.AvgPx,
CumQty = command.Order.CumQty,
LeavesQty = command.Order.LeavesQty
};
switch (command.Type)
{
case ExecutionCommandType.Send:
report.ExecType = ExecType.ExecRejected;
report.OrdStatus = OrderStatus.Rejected;
break;
case ExecutionCommandType.Cancel:
report.ExecType = ExecType.ExecCancelReject;
report.OrdStatus = command.Order.Status;
break;
case ExecutionCommandType.Replace:
report.ExecType = ExecType.ExecReplaceReject;
report.OrdStatus = command.Order.Status;
break;
}
report.Text = format != null ? string.Format(format, args) : report.Text;
EmitExecutionReport(report, true);
}
public override void OnSendCommand(ExecutionCommand command)
{
Order order;
OrderInfo orderInfo = new OrderInfo(command);
for (int i = 0; i < command.Qty; i++)
{
if (command.Side == OrderSide.Buy)
{
order = BuyOrder(command.Instrument, 1, "VWAP Buy");
}
else
{
order = SellOrder(command.Instrument, 1, "VWAP Sell");
}
orderTable[order] = orderInfo;
Send(order);
}
}
public void OnExecutionCommand(ExecutionCommand command)
{
Commands.Add(command);
Messages.Add(command);
}
public virtual void Send(ExecutionCommand command)
{
Console.WriteLine("Provider::Send is not implemented in the base class");
}
public Order(ExecutionCommand command)
{
if (command.Type != ExecutionCommandType.Send)
throw new Exception($"Order::Order Can not create order from execution command of type different than Send : {command.Type}");
Id = command.OrderId;
ClOrderId= command.ClOrderId;
AlgoId = command.AlgoId;
ProviderOrderId = command.ProviderOrderId;
ProviderId = command.ProviderId;
RouteId = command.RouteId;
PortfolioId = command.PortfolioId;
StrategyId = command.StrategyId;
InstrumentId = command.InstrumentId;
TransactTime = command.TransactTime;
DateTime = command.DateTime;
Side = command.Side;
Type = command.OrdType;
TimeInForce = command.TimeInForce;
ExpireTime = command.ExpireTime;
Price = command.Price;
StopPx = command.StopPx;
Qty = command.Qty;
Text = command.Text;
Account = command.Account;
ClientID = command.ClientID;
ClientId = command.ClientId;
}
private void EmitFilled(Order order, ExecutionCommand command)
{
// Create execution report for BuySide strategy.
Instrument instrument = command.Instrument;
ExecutionReport execution = new ExecutionReport();
execution.AvgPx = order.AvgPx;
execution.Commission = 0;
execution.CumQty = order.CumQty;
execution.DateTime = framework.Clock.DateTime;
execution.ExecType = ExecType.ExecTrade;
execution.Instrument = instrument;
execution.LastPx = order.AvgPx;
execution.LastQty = command.Qty;
execution.LeavesQty = 0;
execution.Order = command.Order;
execution.OrdQty = command.Qty;
execution.OrdStatus = OrderStatus.Filled;
execution.OrdType = command.Order.Type;
execution.Price = command.Order.Price;
execution.Side = command.Order.Side;
execution.StopPx = command.Order.StopPx;
execution.Text = command.Order.Text;
// Emit execution report to BuySide strategy.
EmitExecutionReport(execution);
}
public override void OnSendCommand(ExecutionCommand command)
{
// Logic for send command.
if (command.Type == ExecutionCommandType.Send)
{
Order order;
// Create and send order to current futures contract.
switch (command.Order.Type)
{
case OrderType.Market:
if (command.Side == OrderSide.Buy)
order = BuyOrder(currentFuturesContract, command.Qty, command.Text);
else
order = SellOrder(currentFuturesContract, command.Qty, command.Text);
orderTable[order] = command;
Send(order);
break;
case OrderType.Limit:
if (command.Side == OrderSide.Buy)
order = BuyLimitOrder(currentFuturesContract, command.Qty, command.Price, command.Text);
else
order = SellLimitOrder(currentFuturesContract, command.Qty, command.Price, command.Text);
orderTable[order] = command;
Send(order);
break;
default:
break;
}
}
}
public virtual RiskReport OnExecutionCommand(ExecutionCommand command)
{
return null;
}
public OrderInfo(ExecutionCommand command)
{
Command = command;
}
private void HandleReplace(ExecutionCommand command)
{
var order = command.Order;
if (this.summariesByOrderId[order.Id] != null && IsOrderDone(this.summariesByOrderId[order.Id].OrdStatus))
{
this.ExecOrderReplaceReject(order, "Order already done");
return;
}
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
ExecType = ExecType.ExecReplace,
OrdStatus = OrderStatus.Replaced,
CurrencyId = order.Instrument.CurrencyId,
OrdType = order.Type,
Side = order.Side,
CumQty = order.CumQty,
LastQty = 0.0,
LeavesQty = command.Qty - order.CumQty,
LastPx = 0.0,
AvgPx = 0.0
};
report.OrdType = order.Type;
report.Price = command.Price;
report.StopPx = command.StopPx;
report.OrdQty = command.Qty;
report.TimeInForce = order.TimeInForce;
report.Text = order.Text;
this.summariesByOrderId[order.Id] = new ReportSummary(report);
EmitExecutionReport(report, Queued);
}
public void Send(Order order)
{
if (!order.IsNotSent)
throw new ArgumentException($"Can not send order that has been already sent {order}");
this.framework.EventServer.OnSendOrder(order);
if (order.Id == -1)
Register(order);
if (order.IsOCA)
{
List<Order> list;
this.ordersByOCAList.TryGetValue(order.OCA, out list);
this.ordersByOCAList[order.OCA] = list = list ?? new List<Order>();
list.Add(order);
}
Orders.Add(order);
this.ordersById[order.Id] = order;
if (this.framework.Mode == FrameworkMode.Realtime)
this.ordersByClOrderId[order.ClOrderId] = order;
order.DateTime = this.framework.Clock.DateTime;
order.Status = OrderStatus.PendingNew;
var command = new ExecutionCommand(ExecutionCommandType.Send, order)
{
DateTime = order.DateTime,
Id = order.Id,
OrderId = order.Id,
ClOrderId = order.ClOrderId,
ProviderOrderId = order.ProviderOrderId,
ProviderId = order.ProviderId,
RouteId = order.RouteId,
PortfolioId = order.PortfolioId,
TransactTime = order.TransactTime,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
Provider = order.Provider,
Portfolio = order.Portfolio,
Side = order.Side,
OrdType = order.Type,
TimeInForce = order.TimeInForce,
Price = order.Price,
StopPx = order.StopPx,
Qty = order.Qty,
OCA = order.OCA,
Text = order.Text,
Account = order.Account,
ClientID = order.ClientID,
ClientId = order.ClientId
};
Messages.Add(command);
order.OnExecutionCommand(command);
this.framework.EventServer.OnExecutionCommand(command);
this.framework.EventServer.OnPendingNewOrder(order, true);
if (IsPersistent)
Server?.Save(command, -1);
order.Provider.Send(command);
}
public virtual void OnCancelCommand(ExecutionCommand command)
{
}
public void Replace(Order order, double price, double stopPx, double qty)
{
if (order.IsNotSent)
throw new ArgumentException($"Can not replace order that is not sent {order}");
var command = new ExecutionCommand(ExecutionCommandType.Replace, order)
{
DateTime = this.framework.Clock.DateTime,
Id = order.Id,
OrderId = order.Id,
ClOrderId = order.ClOrderId,
ProviderOrderId = order.ProviderOrderId,
ProviderId = order.ProviderId,
RouteId = order.RouteId,
PortfolioId = order.PortfolioId,
TransactTime = order.TransactTime,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
Provider = order.Provider,
Portfolio = order.Portfolio,
Side = order.Side,
OrdType = order.Type,
TimeInForce = order.TimeInForce,
Price = order.Price,
StopPx = order.StopPx,
Qty = order.Qty,
OCA = order.OCA,
Text = order.Text,
Account = order.Account,
ClientID = order.ClientID,
ClientId = order.ClientId
};
Messages.Add(command);
order.OnExecutionCommand(command);
this.framework.EventServer.OnExecutionCommand(command);
if (IsPersistent)
Server?.Save(command, -1);
order.Provider.Send(command);
}
public override void Send(ExecutionCommand command)
{
var sellSideInstrumentStrategy_ = this.idArray_1[command.Order.Instrument.Id];
switch (command.Type)
{
case ExecutionCommandType.Send:
sellSideInstrumentStrategy_.OnSendCommand(command);
return;
case ExecutionCommandType.Cancel:
sellSideInstrumentStrategy_.OnCancelCommand(command);
return;
case ExecutionCommandType.Replace:
sellSideInstrumentStrategy_.OnReplaceCommand(command);
return;
default:
return;
}
}
public override void OnSendCommand(ExecutionCommand command)
{
Order order = command.Order;
// Create ExecNew report.
ExecutionReport report = new ExecutionReport();
report.DateTime = framework.Clock.DateTime;
report.Order = order;
report.Instrument = order.Instrument;
report.OrdQty = order.Qty;
report.ExecType = ExecType.ExecNew;
report.OrdStatus = OrderStatus.New;
report.OrdType = order.Type;
report.Side = order.Side;
// Send report to BuySide strategy.
EmitExecutionReport(report);
// Create new order processor.
new OrderProcessor(this, command);
}
public override object Read(BinaryReader reader, byte version)
{
var e = new ExecutionCommand();
e.Id = reader.ReadInt32();
e.Type = (ExecutionCommandType)reader.ReadByte();
e.DateTime = new DateTime(reader.ReadInt64());
e.TransactTime = new DateTime(reader.ReadInt64());
e.OrderId = reader.ReadInt32();
e.InstrumentId = reader.ReadInt32();
e.ProviderId = reader.ReadByte();
e.RouteId = reader.ReadByte();
e.PortfolioId = reader.ReadInt32();
e.ClientId = reader.ReadInt32();
e.Side = (OrderSide)reader.ReadByte();
e.OrdType = (OrderType)reader.ReadByte();
e.TimeInForce = (TimeInForce)reader.ReadByte();
e.ExpireTime = new DateTime(reader.ReadInt64());
e.Price = reader.ReadDouble();
e.StopPx = reader.ReadDouble();
e.Qty = reader.ReadDouble();
if (version >= 1)
{
e.MinQty = reader.ReadDouble();
e.PegDifference = reader.ReadDouble();
e.ExecInst = reader.ReadString();
}
e.OCA = reader.ReadString();
e.Text = reader.ReadString();
if (reader.ReadBoolean())
e.Account = reader.ReadString();
if (reader.ReadBoolean())
e.ClientID = reader.ReadString();
if (reader.ReadBoolean())
{
e.Fields = (ObjectTable)this.streamerManager.Deserialize(reader);
}
e.AlgoId = reader.ReadInt32();
e.ClOrderId = reader.ReadString();
return e;
}
public override void OnReplaceCommand(ExecutionCommand command)
{
Console.WriteLine("{0} Replace command is not supported.", GetType().Name);
}
public virtual void OnCancelCommand(ExecutionCommand command)
{
// noop
}
public void OnExecutionCommand(ExecutionCommand command)
{
Commands.Add(command);
Messages.Add(command);
}
public virtual void OnSendCommand(ExecutionCommand command)
{
// noop
}
public virtual RiskReport OnExecutionCommand(ExecutionCommand command)
{
return(null);
}
public override void OnCancelCommand(ExecutionCommand command)
{
// Search for needed order processor.
foreach (OrderProcessor processor in processors)
{
if (processor.Order == command.Order)
{
// Cancel leg orders.
processor.CancelLegOrders();
// Remove order processor.
if (processor.IsDone)
processors.Remove(processor);
return;
}
}
}
public void Register(ExecutionCommand command)
{
if (command.Id != -1)
{
Console.WriteLine($"OrderManager::Register Error Order is already registered : id = {command.Id}");
return;
}
lock (this.obj)
command.Id = this.counter++;
if (this.framework.Mode == FrameworkMode.Realtime && string.IsNullOrEmpty(command.ClOrderId))
command.ClOrderId = this.framework.Clock.DateTime + " " + command.OrderId;
}
public OrderProcessor(SpreadSellSide strategy, ExecutionCommand command)
{
// Add current processor to SellSide processor's list.
strategy.processors.AddLast(this);
// Init OrderProcessor fields.
this.strategy = strategy;
this.command = command;
order = command.Order;
spreadInstrument = order.Instrument;
orders = new Dictionary<Order, Leg>();
// Send leg orders if order type is market.
if (order.Type == OrderType.Market)
SendLegOrders();
}
public override void Send(ExecutionCommand command)
{
var strategy = this.childrenByInstrument[command.Order.Instrument.Id].First.Data as SellSideInstrumentStrategy;
switch (command.Type)
{
case ExecutionCommandType.Send:
strategy.OnSendCommand(command);
return;
case ExecutionCommandType.Cancel:
strategy.OnCancelCommand(command);
return;
case ExecutionCommandType.Replace:
strategy.OnReplaceCommand(command);
return;
default:
return;
}
}
public override void Send(ExecutionCommand command)
{
switch (command.Type)
{
case ExecutionCommandType.Send:
method_5(command.Order);
return;
case ExecutionCommandType.Cancel:
method_6(command.Order);
return;
case ExecutionCommandType.Replace:
method_7(command);
return;
default:
return;
}
}
internal void OnExecutionCommand(ExecutionCommand command) => OnEvent(command);
public void Send(Order order)
{
if (!order.IsNotSent)
{
throw new ArgumentException($"Can not send order that has been already sent {order}");
}
this.framework.EventServer.OnSendOrder(order);
if (order.Id == -1)
{
Register(order);
}
if (order.IsOCA)
{
List <Order> list;
this.ordersByOCAList.TryGetValue(order.OCA, out list);
this.ordersByOCAList[order.OCA] = list = list ?? new List <Order>();
list.Add(order);
}
Orders.Add(order);
this.ordersById[order.Id] = order;
if (this.framework.Mode == FrameworkMode.Realtime)
{
this.ordersByClOrderId[order.ClOrderId] = order;
}
order.DateTime = this.framework.Clock.DateTime;
order.Status = OrderStatus.PendingNew;
var command = new ExecutionCommand(ExecutionCommandType.Send, order)
{
DateTime = order.DateTime,
Id = order.Id,
OrderId = order.Id,
ClOrderId = order.ClOrderId,
ProviderOrderId = order.ProviderOrderId,
ProviderId = order.ProviderId,
RouteId = order.RouteId,
PortfolioId = order.PortfolioId,
TransactTime = order.TransactTime,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
Provider = order.Provider,
Portfolio = order.Portfolio,
Side = order.Side,
OrdType = order.Type,
TimeInForce = order.TimeInForce,
Price = order.Price,
StopPx = order.StopPx,
Qty = order.Qty,
OCA = order.OCA,
Text = order.Text,
Account = order.Account,
ClientID = order.ClientID,
ClientId = order.ClientId
};
Messages.Add(command);
order.OnExecutionCommand(command);
this.framework.EventServer.OnExecutionCommand(command);
this.framework.EventServer.OnPendingNewOrder(order, true);
if (IsPersistent)
{
Server?.Save(command, -1);
}
order.Provider.Send(command);
}
public virtual void Send(ExecutionCommand command)
{
switch (command.Type)
{
case ExecutionCommandType.Send:
this.OnSendCommand(command);
return;
case ExecutionCommandType.Cancel:
this.OnCancelCommand(command);
return;
case ExecutionCommandType.Replace:
this.OnReplaceCommand(command);
return;
default:
return;
}
}
public virtual void Send(ExecutionCommand command)
{
Console.WriteLine("Provider::Send is not implemented in the base class");
}
private void method_7(ExecutionCommand executionCommand_0)
{
}