[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalOrderExecutor.cs, NONE, 1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3332/b4_Business/a1_Financial/a3_Ordering

Added Files:
	HistoricalOrderExecutor.cs 
Log Message:
a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs has been replaced by a1_Financial\a3_Ordering\HistoricalOrderExecutor.cs

--- NEW FILE: HistoricalOrderExecutor.cs ---
/*
QuantProject - Quantitative Finance Library

HistoricalOrderExecutor.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;
using System.Collections;

using QuantProject.Data.DataProviders;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Slippage;


namespace QuantProject.Business.Financial.Ordering
{
	/// <summary>
	/// Simulates historical order executions/rejections for end of day simulation
	/// </summary>
	[Serializable]
	public class HistoricalOrderExecutor : IOrderExecutor
	{
		private Timer timer;
		private HistoricalMarketValueProvider historicalMarketValueProvider;
		private ISlippageManager slippageManager;

		public HistoricalOrderExecutor(
			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			this.timer = timer;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
			this.slippageManager = new ZeroSlippageManager();
		}
		public HistoricalOrderExecutor(
			Timer timer ,
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			ISlippageManager slippageManager )
		{
			this.timer = timer;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
			this.slippageManager = slippageManager;
		}
		[field:NonSerialized]
		public event OrderFilledEventHandler OrderFilled;

		// Tries to execute the order
		public void Execute( Order order )
		{
			double instrumentMarketPrice =
				this.historicalMarketValueProvider.GetMarketValue(order.Instrument.Key ,
				                                            this.timer.GetCurrentDateTime());
			double instrumentPriceWithSlippage = instrumentMarketPrice +
				this.slippageManager.GetSlippage(order);
			TimedTransaction timedTransaction = new TimedTransaction(
				TimedTransaction.GetTransactionType( order.Type ) ,
				order.Instrument ,
				order.Quantity ,
				instrumentPriceWithSlippage ,
				this.timer.GetCurrentDateTime() );
//				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
//				                     this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
			OrderFilled( this , new OrderFilledEventArgs( order , timedTransaction ) );
		}
	}
}