private void closeOpenOrder(OpenOrder openOrder, double commissionAmount) {
openOrdersById.remove(openOrder.getOrderId());
if (Double.isNaN(commissionAmount) || commissionAmount <= 0.0) {
commissionAmount =
commission.calculate(openOrder.getQuantityFilled(), openOrder.getAvgFillPrice());
}
openOrder.setCommission(commissionAmount);
logger.info("{} {}", openOrder.isFilled() ? "Filled" : "Partially filled", openOrder);
Position position = portfolio.getPosition(openOrder.getSymbol());
double[] values =
position.update(
openOrder.getFillDate(),
openOrder.getQuantityFilled(),
openOrder.getAvgFillPrice(),
openOrder.getCommission());
logTrade(openOrder, position.getQuantity(), values[0], values[1], values[2]);
for (OrderListener listener : orderListeners) {
try {
listener.onOrderFilled(openOrder, position);
} catch (Throwable t) {
logger.error(t.getMessage(), t);
}
}
}
@Override
public void openOrder(int orderId, Contract contract, Order order, OrderState orderState) {
try {
if (logger.isDebugEnabled())
logger.debug(
"openOrder: {} {} {} {}",
new Object[] {
orderId, Util.toString(contract), Util.toString(order), Util.toString(orderState)
});
OpenOrder openOrder = openOrdersById.get(orderId);
if (openOrder != null) {
if ((openOrder.isFilled() || (!openOrder.isOpen() && openOrder.getQuantityFilled() > 0))
&& orderState.m_commission != Double.MAX_VALUE) {
closeOpenOrder(openOrder, orderState.m_commission);
}
} else {
if ("PendingSubmit".equals(orderState.m_status)
|| "PreSubmitted".equals(orderState.m_status)
|| "Submitted".equals(orderState.m_status)) {
openOrder = toOpenOrder(contract, order);
openOrdersById.put(orderId, openOrder);
logger.info("Added {}", openOrder);
}
}
} catch (Throwable t) {
logger.error(t.getMessage(), t);
}
}
@Override
public void orderStatus(
int orderId,
String status,
int filled,
int remaining,
double avgFillPrice,
int permId,
int parentId,
double lastFillPrice,
int clientId,
String whyHeld) {
try {
if (logger.isDebugEnabled())
logger.debug(
"orderStatus: {} {} {} {} {} {} {} {} {} {}",
new Object[] {
orderId,
status,
filled,
remaining,
avgFillPrice,
permId,
parentId,
lastFillPrice,
clientId,
whyHeld
});
if ("Cancelled".equals(status)) {
OpenOrder openOrder = openOrdersById.remove(orderId);
if (openOrder != null) {
openOrder.setCancelled();
logger.info("Cancelled {}", openOrder);
for (OrderListener listener : orderListeners) {
try {
listener.onOrderCancelled(openOrder);
} catch (Throwable t) {
logger.error(t.getMessage(), t);
}
}
if ((openOrder.isFilled()
|| (!openOrder.isOpen() && openOrder.getQuantityFilled() > 0))) {
closeOpenOrder(openOrder, 0);
}
} else {
logger.warn("Cancelled order {}, no matching order found!", orderId);
}
}
} catch (Throwable t) {
// Do not allow exceptions come back to the socket -- it will cause
// disconnects
logger.error(t.getMessage(), t);
}
}
protected void logTrade(
OpenOrder openOrder, int position, double costBasis, double realized, double unrealized) {
Object[] params =
new Object[] {
openOrder.getFillDate(),
"TRADE",
openOrder.getAction(),
openOrder.getType(),
openOrder.getQuantityFilled(),
openOrder.getSymbol(),
openOrder.getSymbol().getCurrency(),
openOrder.getAvgFillPrice(),
position,
Util.round(costBasis, 4),
Util.round(realized, 4),
Util.round(unrealized, 4),
Util.round(openOrder.getCommission(), 4),
openOrder.getReference() != null ? openOrder.getReference() : "",
accountCode
};
blotter.info(
MarkerFactory.getMarker("TRADE"), "{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}", params);
}
