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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv30316

Added Files:
	HistoricalEndOfDayOrderExecutor.cs 
Log Message:
Simulates historical order executions/rejections for end of day simulation

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

HistoricalEndOfDayOrderExecutor.cs
Copyright (C) 2003 
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.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Ordering
{
	/// <summary>
	/// Simulates historical order executions/rejections for end of day simulation
	/// </summary>
	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
	{
		private IEndOfDayTimer timer;

		public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer )
		{
			this.timer = timer;
		}

		public event OrderFilledEventHandler OrderFilled;

		// Tries to execute the order
		public void Execute( Order order )
		{
			double instrumentPrice = HistoricalDataProvider.GetMarketValue( order.Instrument.Key ,
				this.timer.GetCurrentTime().DateTime ,
				this.timer.GetCurrentTime().GetNearestBarComponent() );
			EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
				order.Quantity , instrumentPrice ,	this.timer.GetCurrentTime() );
			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
		}
	}
}