MatchingEngineAdapter

MatchingEngineAdapter

public MatchingEngineAdapter()

matchingEngineAdapter = MatchingEngineAdapter()

Initializes a new instance.

OrderIdGenerator

public IncrementalIdGenerator OrderIdGenerator { get; set; }

value = matchingEngineAdapter.OrderIdGenerator
matchingEngineAdapter.OrderIdGenerator = value

Order ID generator.

PortfolioManager

public virtual EmulatedPortfolioManager PortfolioManager { get; }

value = matchingEngineAdapter.PortfolioManager

Portfolio manager for handling portfolio state.

Securities

public IEnumerable<SecurityMessage> Securities { get; }

value = matchingEngineAdapter.Securities

Every security the venue has stated a definition for.

Settings

public MatchingEngineSettings Settings { get; }

value = matchingEngineAdapter.Settings

Matching engine settings.

StopOrderManager

public IStopOrderManager StopOrderManager { get; }

value = matchingEngineAdapter.StopOrderManager

Stop order manager (read-only access).

TradeIdGenerator

public IncrementalIdGenerator TradeIdGenerator { get; set; }

value = matchingEngineAdapter.TradeIdGenerator
matchingEngineAdapter.TradeIdGenerator = value

Trade ID generator.

TransactionIdGenerator

public IdGenerator TransactionIdGenerator { get; set; }

value = matchingEngineAdapter.TransactionIdGenerator
matchingEngineAdapter.TransactionIdGenerator = value

Transaction id generator for internal use (group cancel, close positions).

AddPositionRevaluations

public void AddPositionRevaluations(DateTime time, List<Message> results)

matchingEngineAdapter.AddPositionRevaluations(time, results)

Report again every open position whose floating profit the market has moved since it was last reported.

time

Time of the move.

results

Messages to add the reports to.

AdoptActiveOrder

private void AdoptActiveOrder(ExecutionMessage execMsg, Sides side, List<Message> results)

matchingEngineAdapter.AdoptActiveOrder(execMsg, side, results)

Takes an order that is already standing somewhere else into this book, exactly as it is.

CheckStopOrders

public void CheckStopOrders(SecurityId securityId, decimal price, DateTime time, List<Message> results)

matchingEngineAdapter.CheckStopOrders(securityId, price, time, results)

Check stop orders against a price and process triggered orders.

CreatePortfolioUpdate

public static PositionChangeMessage CreatePortfolioUpdate(EmulatedPortfolio portfolio, DateTime time)

result = MatchingEngineAdapter.CreatePortfolioUpdate(portfolio, time)

The money row stating what an account holds: its realized and unrealized result, what its working orders hold, and what it can trade with now.

portfolio

The account the row is about.

time

Time to stamp the row with.

Returns: The row.

CreatePositionUpdate

public PositionChangeMessage CreatePositionUpdate(EmulatedPortfolio portfolio, SecurityId securityId, DateTime serverTime, DateTime localTime)

result = matchingEngineAdapter.CreatePositionUpdate(portfolio, securityId, serverTime, localTime)

Create the message that reports one position of an account: its size, entry price and floating profit.

portfolio

The account.

securityId

Security ID.

serverTime

Server time.

localTime

Local time.

Returns: The position update.

CreateStopInfo

private StopOrderInfo CreateStopInfo(OrderRegisterMessage regMsg, string error)

result = matchingEngineAdapter.CreateStopInfo(regMsg, error)

Reads the stop the registration's condition describes, or when it describes none and the order is an ordinary one.

regMsg

Registration to read.

error

Why the condition describes a stop that cannot be placed, or when it describes one that can, or none at all.

Returns: The stop to rest, or .

EmitRegistrationResult

public void EmitRegistrationResult(OrderRegisterMessage regMsg, EmulatorOrder order, MatchResult matchResult, ExecutionMessage replyMsg, Func<ExecutionMessage, decimal?> chargeCommission, List<Message> results)

matchingEngineAdapter.EmitRegistrationResult(regMsg, order, matchResult, replyMsg, chargeCommission, results)

Turn a match into the messages it owes: the order rows, the trades, the maker side of each fill, the positions and the portfolio updates.

regMsg

The registration this is answering.

order

The order as the matcher saw it.

matchResult

What the matcher decided.

replyMsg

The acceptance row already published, mutated when the order ends here.

chargeCommission

Prices a trade before the position is booked from it, or null.

results

Where the messages go.

ForgetBook

public void ForgetBook(SecurityId securityId)

matchingEngineAdapter.ForgetBook(securityId)

Forgets the book stated so far for , so an incremental feed has to state a whole one again before its increments are folded in. Used when a venue has gone quiet on depth: what it sends after the break describes a market its old base no longer holds.

securityId

Security whose stated book is forgotten.

GetChargedPrice

private static decimal? GetChargedPrice(OrderRegisterMessage regMsg, SecurityState state)

result = MatchingEngineAdapter.GetChargedPrice(regMsg, state)

Price the order will be charged at: its own price when it names one, the opposite best for a market order.

GetSecurityState

public SecurityState GetSecurityState(SecurityId securityId)

result = matchingEngineAdapter.GetSecurityState(securityId)

Get or create security state for the given security.

NameAccountOn

private static void NameAccountOn(List<Message> results, int from, OrderRegisterMessage regMsg)

MatchingEngineAdapter.NameAccountOn(results, from, regMsg)

States the account and the instrument on each transactional row from onwards that is missing them.

ProcessMessage

public void ProcessMessage(Message message, List<Message> results)

matchingEngineAdapter.ProcessMessage(message, results)

Process a message and collect results. Can be called directly (without async dispatch).

ProcessOrderCancel

public void ProcessOrderCancel(OrderCancelMessage cancelMsg, List<Message> results)

matchingEngineAdapter.ProcessOrderCancel(cancelMsg, results)

Process order cancellation.

ProcessOrderRegister

public void ProcessOrderRegister(OrderRegisterMessage regMsg, List<Message> results)

matchingEngineAdapter.ProcessOrderRegister(regMsg, results)

Process order registration.

ProcessTime

public void ProcessTime(DateTime time, List<Message> results)

matchingEngineAdapter.ProcessTime(time, results)

Retire orders whose expiry has been reached and release the reservation held by their balance.

time

Current engine time.

results

Where generated lifecycle and portfolio messages are added.

ResolveActivationPercent

private static decimal ResolveActivationPercent(decimal marketPrice, decimal percent, Sides side, bool invertTrigger)

result = MatchingEngineAdapter.ResolveActivationPercent(marketPrice, percent, side, invertTrigger)

The level a stop rests at when its activation price states a distance from the market rather than a price of its own: that far above the market for one that fires on a rise, that far below it for one that fires on a fall.

marketPrice

Price the instrument is at.

percent

Distance from it, in percent.

side

Order side.

invertTrigger

Whether the stop fires on the opposite move, as a take-profit does.

Returns: The absolute level.

SendOutMessageAsync

public ValueTask SendOutMessageAsync(Message message, CancellationToken cancellationToken)

result = matchingEngineAdapter.SendOutMessageAsync(message, cancellationToken)

Send out message.

StockSharp#Messages#IMessageTransport#SendInMessageAsync(Message, CancellationToken)

TryGetLastTradePrice

private decimal? TryGetLastTradePrice(SecurityId securityId)

result = matchingEngineAdapter.TryGetLastTradePrice(securityId)

The price the instrument last traded at, as far as this engine has been told.

securityId

Instrument to read.

Returns: The price, or when the venue has stated none.

ValidateRegistration

public InvalidOperationException ValidateRegistration(OrderRegisterMessage regMsg, decimal? chargedPrice)

result = matchingEngineAdapter.ValidateRegistration(regMsg, chargedPrice)

Check whether the registration is allowed: the instrument is trading, there is a market to price the order at, and the account can afford it.

regMsg

Registration to check.

chargedPrice

Price the order will actually be charged at, or when the book offers none.

Returns: The reason the registration must be refused, or when it is allowed.

NewOutMessageAsync

public event Func<Message, CancellationToken, ValueTask> NewOutMessageAsync

matchingEngineAdapter.NewOutMessageAsync += handler

New message event.