/// <summary>
/// Build the description of the orders needed to fulfill an <see cref="InvestorInstruction" /> which
/// is aggregated within an <see cref="InstructionExecutionContext" /> instance.
/// </summary>
/// <param name="instructionExecutionContext">The <see cref="InstructionExecutionContext" /> instance that aggregates the <see cref="InvestorInstruction" />.</param>
/// <returns>
/// An <see cref="OrderBasket" /> containing all the orders to be routed in order to fulfill the initial <see cref="InvestorInstruction" />.
/// </returns>
public OrderBasket Solve(InstructionExecutionContext instructionExecutionContext)
{
var ordersDescription = new List<OrderDescription>();
// Checks liquidities available to weighted average for execution
int remainingQuantityToBeExecuted = instructionExecutionContext.Quantity;
var requestedPrice = instructionExecutionContext.Price;
var validMarkets = this.GetValidMarkets(requestedPrice);
var availableQuantityOnMarkets = this.ComputeAvailableQuantityForThisPrice(validMarkets);
if (availableQuantityOnMarkets == 0)
{
return new OrderBasket(new List<OrderDescription>());
}
var ratio = remainingQuantityToBeExecuted / (decimal)availableQuantityOnMarkets;
// ReSharper disable once LoopCanBeConvertedToQuery
foreach (var marketInfo in validMarkets)
{
var convertedMarketQuantity = Math.Round(marketInfo.Market.SellQuantity * ratio, 2, MidpointRounding.AwayFromZero);
var quantityToExecute = Convert.ToInt32(convertedMarketQuantity);
if (quantityToExecute > 0)
{
ordersDescription.Add(new OrderDescription(marketInfo.Market, instructionExecutionContext.Way, quantityToExecute, requestedPrice, instructionExecutionContext.AllowPartialExecution));
}
}
return new OrderBasket(ordersDescription);
}
public void Route(InvestorInstructionDto investorInstructionDto)
{
// 1. Digest Investment instructions
// 2. Prepare order book (solver)
// 3. Send and monitor
// 4. Feedback investor
var investorInstruction = this.CreateInvestorInstruction(investorInstructionDto.UniqueIdentifier, null, investorInstructionDto.Way, investorInstructionDto.Quantity, investorInstructionDto.Price, investorInstructionDto.AllowPartialExecution, investorInstructionDto.GoodTill);
var executionState = new InstructionExecutionContext(investorInstruction);
this.RouteImpl(investorInstruction, executionState);
}
//// TODO: remove investor instruction as arg here?
private void RouteImpl(InvestorInstruction investorInstruction, InstructionExecutionContext instructionExecutionContext)
{
var solver = new MarketSweepSolver(this.marketSnapshotProvider);
var orderBasket = solver.Solve(instructionExecutionContext);
EventHandler<DealExecutedEventArgs> handler = (executedOrder, args) => instructionExecutionContext.Executed(args.Quantity);
EventHandler<OrderFailedEventArgs> failHandler = (s, failure) => this.SendOrderFailed(investorInstruction, failure, instructionExecutionContext);
investorInstruction.Executed += (sender, e) => this.investorInstruction_Executed(sender, e);
orderBasket.OrderExecuted += handler;
orderBasket.OrderFailed += failHandler;
orderBasket.Send();
orderBasket.OrderExecuted -= handler;
orderBasket.OrderFailed -= failHandler;
}
private void SendOrderFailed(InvestorInstruction investorInstruction, OrderFailedEventArgs reason, InstructionExecutionContext instructionExecutionContext)
{
this.marketSnapshotProvider.MarketFailed(reason.Market);
if (investorInstruction.GoodTill != null &&
investorInstruction.GoodTill > DateTime.Now &&
instructionExecutionContext.Quantity > 0)
{
// retries
this.RouteImpl(investorInstruction, instructionExecutionContext);
}
else
{
Action<string> failureCallback;
if (this.failureCallbacks.TryGetValue(investorInstruction.IdentifierDto, out failureCallback))
{
failureCallback(reason.Reason);
}
}
}