public void Add(Fill fill)
{
Fills.Add(fill);
Qty += fill.Qty;
Commission += fill.Commission;
Price = Fills.Sum(f => f.Qty*f.Price)/Qty;
}
public Fill(Fill fill)
{
DateTime = fill.DateTime;
Order = fill.Order;
Instrument = fill.Instrument;
OrderId = fill.OrderId;
InstrumentId = fill.InstrumentId;
CurrencyId = fill.CurrencyId;
Side = fill.Side;
Qty = fill.Qty;
Price = fill.Price;
Commission = fill.Commission;
Text = fill.Text;
}
public void Add(Fill fill)
{
Fills.Add(fill);
if (Amount == 0)
this.fill = fill;
if (fill.Side == OrderSide.Buy)
QtyBought += fill.Qty;
else
QtySold += fill.Qty;
this.method_0(fill);
Amount = QtyBought - QtySold;
}
public void Add(Fill fill)
{
Fill fill2 = this.interface0_0.Peek();
if (fill2 == null)
{
this.instrument_0 = fill.Instrument;
this.timeSeries_0.Clear();
this.timeSeries_0.Add(this.portfolio_0.framework.Clock.DateTime, this.method_4(this.instrument_0));
}
if (fill2 != null && (!this.method_3(fill2) || !this.method_3(fill)) && (this.method_3(fill2) || this.method_3(fill)))
{
if (this.fill_0 != null)
{
fill = this.method_1(fill);
}
double num = fill.Qty;
while (num > 0.0 && (fill2 = this.interface0_0.Peek()) != null)
{
if (fill2.Qty > num)
{
this.fill_0 = new Fill(fill);
return;
}
this.BotEqOqmKI(this.method_2(fill2, fill, fill2.Qty));
this.interface0_0.Pop();
this.double_0 -= Math.Round(fill2.Qty, 5);
num -= Math.Round(fill2.Qty, 5);
if (this.double_0 > 0.0 && num > 0.0)
{
fill = this.method_0(fill, num);
}
}
if (num > 0.0)
{
this.double_0 = num;
Fill fill3 = this.method_0(fill, num);
this.interface0_0.Push(fill3);
}
if (this.fill_0 != null)
{
this.fill_0 = null;
}
return;
}
this.interface0_0.Push(fill);
this.double_0 += fill.Qty;
}
public OnFill(Portfolio portfolio, Fill fill)
{
Portfolio = portfolio;
Fill = fill;
}
public void Push(Fill fill) => this.queue.Enqueue(fill);
protected override void OnFill(Fill fill)
{
Log(fill, fillGroup);
}
protected virtual void OnFill(Fill fill)
{
}
public AccountTransaction(Fill fill) : this(fill.DateTime, fill.CashFlow, fill.CurrencyId, fill.Text)
{
}
private Fill method_0(Fill fill_1, double double_1)
{
Fill fill = new Fill(fill_1);
fill.Commission *= double_1 / fill.Qty;
fill.Qty = double_1;
return fill;
}
protected override void OnFill(Fill fill)
{
// Add fill to fill group.
Log(fill, fillGroups[fill.Instrument]);
}
public override void OnFill(Fill fill)
{
Log(fill, fillChartGroup);
}
internal void OnFill(Portfolio portfolio, Fill fill, bool queued)
{
var e = new OnFill(portfolio, fill);
if (queued)
this.queue.Enqueue(e);
else
OnEvent(e);
}
public void Push(Fill fill) => this.stack.Push(fill);
private void method_0(Fill fill_1)
{
if (Amount == 0)
{
this.double_3 = fill_1.Value;
AvgPx = fill_1.Price;
return;
}
if ((Side == PositionSide.Long && fill_1.Side == OrderSide.Buy) || (this.Side == PositionSide.Short && fill_1.Side == OrderSide.Sell))
{
this.double_3 += fill_1.Value;
if (Instrument.Factor != 0)
{
AvgPx = this.double_3 / (this.Qty + fill_1.Qty) / Instrument.Factor;
return;
}
AvgPx = this.double_3 / (this.Qty + fill_1.Qty);
return;
}
else
{
if (this.Qty == fill_1.Qty)
{
PnL += this.method_2(fill_1.Price, fill_1.Qty);
this.double_3 = 0.0;
this.AvgPx = 0.0;
return;
}
if (this.Qty > fill_1.Qty)
{
PnL += this.method_2(fill_1.Price, fill_1.Qty);
this.double_3 -= this.method_1(fill_1.Qty * this.AvgPx);
return;
}
PnL += this.method_2(fill_1.Price, this.Qty);
double num = fill_1.Qty - this.Qty;
this.double_3 = this.method_1(num * fill_1.Price);
if (Instrument.Factor != 0)
{
this.AvgPx = this.double_3 / num / Instrument.Factor;
return;
}
this.AvgPx = this.double_3 / num;
return;
}
}
private Fill method_1(Fill fill_1)
{
Fill fill = new Fill(fill_1);
if (this.fill_0 != null)
{
if (fill.Instrument.Factor != 0.0)
{
fill.Price = (fill_1.Value + this.fill_0.Value) / (fill_1.Qty + this.fill_0.Qty) / fill.Instrument.Factor;
}
else
{
fill.Price = (fill_1.Value + this.fill_0.Value) / (fill_1.Qty + this.fill_0.Qty);
}
fill.Qty = fill_1.Qty + this.fill_0.Qty;
fill.Commission = fill_1.Commission + this.fill_0.Commission;
}
this.fill_0 = null;
return fill;
}
private TradeInfo method_2(Fill fill_1, Fill fill_2, double double_1)
{
TradeInfo tradeInfo = new TradeInfo();
tradeInfo.Instrument = fill_1.Instrument;
tradeInfo.EntryDate = fill_1.DateTime;
tradeInfo.EntryPrice = fill_1.Price;
tradeInfo.EntryCost = fill_1.Commission * double_1 / fill_1.Qty;
tradeInfo.ExitDate = fill_2.DateTime;
tradeInfo.ExitPrice = fill_2.Price;
tradeInfo.ExitCost = fill_2.Commission * double_1 / fill_2.Qty;
tradeInfo.Qty = double_1;
tradeInfo.IsLong = this.method_3(fill_1);
tradeInfo.BaseCurrencyId = this.portfolio_0.Account.CurrencyId;
double num = (tradeInfo.Instrument.Factor == 0.0) ? 1.0 : tradeInfo.Instrument.Factor;
double max = this.timeSeries_0.GetMax(tradeInfo.EntryDate, tradeInfo.ExitDate);
double min = this.timeSeries_0.GetMin(tradeInfo.EntryDate, tradeInfo.ExitDate);
if (tradeInfo.IsLong)
{
tradeInfo.MAE = num * tradeInfo.Qty * (min - tradeInfo.EntryPrice) - (tradeInfo.EntryCost + tradeInfo.ExitCost);
tradeInfo.MFE = num * tradeInfo.Qty * (max - tradeInfo.EntryPrice) - (tradeInfo.EntryCost + tradeInfo.ExitCost);
tradeInfo.ETD = tradeInfo.MFE - tradeInfo.NetPnL;
}
else
{
tradeInfo.MAE = num * tradeInfo.Qty * (max - tradeInfo.EntryPrice) * -1.0 - (tradeInfo.EntryCost + tradeInfo.ExitCost);
tradeInfo.MFE = num * tradeInfo.Qty * (min - tradeInfo.EntryPrice) * -1.0 - (tradeInfo.EntryCost + tradeInfo.ExitCost);
tradeInfo.ETD = tradeInfo.MFE - tradeInfo.NetPnL;
}
return tradeInfo;
}
public void Add(Fill fill, bool updateParent = true)
{
Add(new AccountTransaction(fill), updateParent);
}
private bool method_3(Fill fill_1)
{
return fill_1.Side == OrderSide.Buy;
}
public Transaction(Fill fill)
{
Add(fill);
}
public void Push(Fill fill) => this.queue.Enqueue(fill);
protected override void OnFill(Fill fill)
{
Group[] instrumentGroups = null;
// Add fill to fill group (index 1).
if (groups.TryGetValue(fill.Instrument, out instrumentGroups))
Log(fill, instrumentGroups[1]);
}
public void Push(Fill fill) => this.stack.Push(fill);
protected override void OnFill(Fill fill)
{
// Add fill to group.
Log(fill, fillGroup);
}
private bool method_3(Fill fill_1)
{
return(fill_1.Side == OrderSide.Buy);
}