tickserver/api/lmaxapi/response/OrderEvent.go

package response

import (
	"encoding/xml"
    "time"
    "log"
    "math"
    "regexp"
)

type ExecutionEvent struct {
	XMLName xml.Name `xml:"order"`
    OrderEvent
}

type Orders struct {
    XMLName xml.Name `xml:"orders"`
    Data []*OrderEvent `xml:"page>order"`
    HasMoreResults bool `xml:"hasMoreResults"`
    CorrelationId int64  `xml:"correlationId"`
}

//基本流程是：客户在我们的matcher里面
//添加order
//cancel order
//close order

//matcher 会发送对应的消息给mtf

//mtf 根据orderId 找到对应的msg
//然后找到对应的client，更新account的信息
//并通知给client

//matcher 和 外界交互的标示是 orderId
//这个order id 联系原始的msg

//在配对表中的订单信息
type Order struct {
	XMLName               xml.Name `xml:"order"`
	TimeInForce           string   `xml:"timeInForce"`
	InstructionId         string   `xml:"instructionId"`
	OriginalInstructionId string   `xml:"originalInstructionId,omitempty"`
	OrderId               string   `xml:"orderId"`
    OpeningOrderId        string   `xml:"openingOrderId,omitempty"`
	AccountId             int64    `xml:"accountId"`
	InstrumentId          int64    `xml:"instrumentId"`
	Quantity              float64  `xml:"quantity"`
	FilledQuantity        float64  `xml:"matchedQuantity"`
    MatchedCost           float64  `xml:"matchedCost"`
    CancelledQuantity     float64  `xml:"cancelledQuantity"`
	LimitPrice            float64  `xml:"price,omitempty"`
	Timestamp             time.Time `xml:"-"`
    TimestampStr          string   `xml:"timestamp"`
	OrderType             string   `xml:"orderType"`
    OpenQuantity          float64  `xml:"openQuantity"`
	OpenCost              float64  `xml:"openCost"`
	CumulativeCost        float64  `xml:"cumulativeCost"`
	Commission            float64  `xml:"commission"`
	StopReferencePrice    float64  `xml:"stopReferencePrice"`
	StopLossOffset        float64  `xml:"stopLossOffset,omitempty"`
	StopProfitOffset      float64  `xml:"stopProfitOffset,omitempty"`
    Margin                float64  `xml:"-"`
    Profit                float64  `xml:"-"`
    CurPrice              float64  `xml:"-"`
    Currency              string   `xml:"-"`
}

func (order *Order) GetQuantity() float64 {
    dt := order.Quantity - order.FilledQuantity - order.CancelledQuantity
    return dt
}

//配对:从 buy 到 sell
func (order *Order) MatchQuantity(other *Order) float64 {
    dt := order.Quantity - order.FilledQuantity - order.CancelledQuantity
    dt2 := other.Quantity - other.FilledQuantity - other.CancelledQuantity
    //dt >= 0 dt2 <= 0
    //dt >= dt2
    if math.Abs(dt + dt2) >= 1e-9 {
        order.FilledQuantity -= dt2
        other.FilledQuantity += dt2
        return -dt2
    }
    order.FilledQuantity += dt
    other.FilledQuantity -= dt
    return dt
}

//一次配对的信息
type Execution struct {
    MatchId int64     `xml:"-"`
    Order *Order      `xml:"-"`
	Price             float64 `xml:"price,omitempty"`
	Quantity          float64 `xml:"quantity,omitempty"`
}

type OrderEvent struct {
    XMLName               xml.Name `xml:"order"`
    Order
    ExecutionId           int64    `xml:"executions>executionId,omitempty"`
    Executions            []Execution `xml:"executions>execution,omitempty"`
    Cancelleds            []Execution `xml:"executions>orderCancelled,omitempty"`
}

func (this *OrderEvent) GetId() string {
	return this.InstructionId
}

func (this *OrderEvent) SetId(id string) {
	this.InstructionId = id
}

func (this *OrderEvent) SetAccountId(id int64) {
	this.AccountId = id
}


func (this *OrderEvent) Clone() interface{} {
    tmp := *this
    return &tmp
}

//
//<executionId>144887230</executionId><execution><price>1.31301</price><quantity>1</quantity></execution>

func NewOrderEvent(eventData string) (*OrderEvent, *ExecutionEvent) {
	r := OrderEvent{}
    data := replaceEmptyTag([]byte(eventData))
    err := xml.Unmarshal(data, &r)
    if err != nil {
        log.Println(eventData, err)
        return nil, nil
    }
    r.Timestamp = parseTime(r.TimestampStr)
    if r.ExecutionId != 0 {
        return &r, &ExecutionEvent{xml.Name{}, r}
    }
    return &r, nil
}

//挂单
func (order *OrderEvent) IsExecution() bool {
    if order.ExecutionId == 0 {
        return false
    }
    if len(order.Executions) > 0 && sameSign(order.Quantity, order.Executions[0].Quantity) {
        return true
    }
    if len(order.Cancelleds) > 0 && sameSign(order.Quantity, order.Cancelleds[0].Quantity) {
        return true
    }
    return false
}

func sameSign(a float64, b float64) bool {
    if a == b {
        return true
    }
    if a > 0 && b > 0 {
        return true
    }
    if a <0 && b < 0 {
        return true
    }
    return false
}

func (order *OrderEvent) IsWorking() bool {
    dt := order.Quantity - order.FilledQuantity - order.CancelledQuantity
    return dt != 0 && (OrderType(order.OrderType) == "LIMIT" || OrderType(order.OrderType) == "STOP")
}

func (order *OrderEvent) IsStopProft() bool {
    if OrderType(order.OrderType) == "STOP_PROFIT_ORDER" || OrderType(order.OrderType) == "STOP_LOSS_ORDER" {
        return true
    }
    return false
}


//可以从活动列表中删除的订单
func (order *OrderEvent) IsClosed() bool {
    dt := order.Quantity - order.FilledQuantity - order.CancelledQuantity
    //log.Println(dt, order.OpenQuantity, dt == 0 && order.OpenQuantity == 0)
    if dt == 0 && order.OpenQuantity == 0 {
        return true
    }
    return false
}

func (order *OrderEvent) SetClosed() {
    order.OpenQuantity = 0
    order.FilledQuantity = order.Quantity - order.CancelledQuantity
}

func parseTime(t string) time.Time {
    t1, err := time.Parse("2006-01-02T15:04:05", t)
    if err != nil {
        return time.Time{}
    }
	return t1
}

func OrderType(s string) string {
	switch s {
	case "STOP_COMPOUND_PRICE_LIMIT", "PRICE_LIMIT":
		return "LIMIT"
    case "STOP_COMPOUND_MARKET", "MARKET_ORDER":
		return "MARKET"
    case "STOP_ORDER":
        return "STOP"
	case "MARKET", "LIMIT",
         "CLOSE_OUT_ORDER", "CLOSE_OUT_ORDER_POSITION", "CLOSE_OUT_POSITION",
         "STOP_LOSS_MARKET_ORDER", "STOP_PROFIT_LIMIT_ORDER", "STOP_PROFIT_ORDER", "STOP_LOSS_ORDER",
         "SETTLEMENT_ORDER", "OFF_ORDERBOOK", "REVERSAL":
		return s
	}
	return "UNKNOWN"
}

func TimeInForce(s string) string {
	switch s {
	case "FillOrKill", "ImmediateOrCancel", "GoodForDay", "GoodTilCancelled":
		return s
	}
	return "Unknown"
}

type CompletedOrder struct {
    XMLName xml.Name `xml:"completedOrder"`
    OrderId string  `xml:"orderId"`
    InstrumentId int64  `xml:"instrumentId"`
    OrderType string  `xml:"orderType"`
    TimestampStr string  `xml:"timestamp"`
    Timestamp time.Time  `xml:"-"`
    RealisedProfit float64  `xml:"realisedProfit,omitempty"`
    Commission float64  `xml:"commission"`
    Quantity float64  `xml:"quantity"`
    FilledQuantity float64  `xml:"filledQuantity"`
    FilledCost float64  `xml:"filledCost"`
    CancelledQuantity float64  `xml:"cancelledQuantity"`
    Price float64  `xml:"price"`
    Status string  `xml:"status"`
}

type CompletedOrders struct {
    XMLName xml.Name `xml:"res"`
    Data []*CompletedOrder `xml:"body>completedOrders>completedOrder"`
    HasMoreResults bool `xml:"body>hasMoreResults"`
}

var emptyTag = regexp.MustCompile("<[^/]+/>")

func replaceEmptyTag(data []byte) []byte {
    return emptyTag.ReplaceAll(data, []byte(""))
}

func NewCompletedOrders(eventData string) (*CompletedOrders, error) {
	r := CompletedOrders{}
    data := []byte(eventData)
    data = replaceEmptyTag(data)
    err := xml.Unmarshal(data, &r)
    if err != nil {
        return nil, err
    }
    for i := 0; i < len(r.Data); i++ {
        r.Data[i].Timestamp = parseTime(r.Data[i].TimestampStr)
    }
    return &r, nil
}

type Activity struct {
    Description string   `xml:"description"`
    TimestampStr string  `xml:"timestamp"`
    Timestamp time.Time  `xml:"-"`
    Username string      `xml:"username"`
}

type Activitys struct {
    XMLName xml.Name `xml:"res"`
    Data []*Activity `xml:"body>activity>orderEvent"`
    HasMoreResults bool `xml:"body>hasMoreResults"`
}


func NewActivitys(eventData string) (*Activitys, error) {
	r := Activitys{}
    data := []byte(eventData)
    err := xml.Unmarshal(data, &r)
    if err != nil {
        return nil, err
    }
    for i := 0; i < len(r.Data); i++ {
        r.Data[i].Timestamp = parseTime(r.Data[i].TimestampStr)
    }
    return &r, nil
}

type AccountStatement struct {
    Id int64 `xml:"id"`
    TimestampStr string  `xml:"timestamp"`
    Timestamp time.Time  `xml:"-"`
    CorrelationId int64 `xml:"correlationId"`
    InstrumentId int64 `xml:"instrumentId"`
    InstrumentName string `xml:"instrumentName"`
    VolumeWeightedAvgPrice float64 `xml:"volumeWeightedAvgPrice"`
    MatchedQuantity float64 `xml:"matchedQuantity"`
    UnitPrice float64 `xml:"unitPrice"`
    Type string `xml:"type"`
    Currency string `xml:"currency"`
    Amount float64 `xml:"amount"`
    Quantity float64 `xml:"quantity"`
    OrderId string `xml:"orderId,omitempty"`
    MinimumCommission float64 `xml:"minimumCommission,omitempty"`
    CommissionRate float64 `xml:"commissionRate,omitempty"`
    OpeningPrice float64 `xml:"openingPrice,omitempty"`
    OpeningOrderId string `xml:"openingOrderId,omitempty"`
    ClosingOrderId string `xml:"closingOrderId,omitempty"`
    ClosingPrice float64 `xml:"closingPrice,omitempty"`
    OpenQuantity float64 `xml:"openQuantity,omitempty"`
    FundingSpread float64 `xml:"fundingSpread,omitempty"`
}

type AccountStatements struct {
    XMLName xml.Name `xml:"res"`
    Data []*AccountStatement `xml:"body>transactions>transaction"`
    HasMoreResults bool `xml:"body>hasMoreResults"`
}

func NewAccountStatements(eventData string) (*AccountStatements, error) {
	r := AccountStatements{}
    data := []byte(eventData)
    err := xml.Unmarshal(data, &r)
    if err != nil {
        return nil, err
    }
    for i := 0; i < len(r.Data); i++ {
        r.Data[i].Timestamp = parseTime(r.Data[i].TimestampStr)
    }
    return &r, nil
}

//OrderTransactions
type OrderTransactions struct {
    XMLName xml.Name `xml:"res"`
    Data []*OrderTransaction `xml:"body>orderTransactions>orderTransaction"`
    HasMoreResults bool `xml:"body>hasMoreResults"`
}

type OrderTransaction struct {
    Id int64 `xml:"id"`
    TimestampStr string  `xml:"timestamp"`
    Timestamp time.Time  `xml:"-"`
    CancelledQuantity float64 `xml:"cancelledQuantity"`
    Data []*BrokerExecution  `xml:"brokerExecutions>brokerExecution"`
}

type BrokerExecution struct {
    Quantity float64 `xml:"quantity"`
    Price float64 `xml:"price"`
}

func NewOrderTransactions(eventData string) (*OrderTransactions, error) {
	r := OrderTransactions{}
    data := []byte(eventData)
    err := xml.Unmarshal(data, &r)
    if err != nil {
        return nil, err
    }
    for i := 0; i < len(r.Data); i++ {
        r.Data[i].Timestamp = parseTime(r.Data[i].TimestampStr)
    }
    return &r, nil
}