Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17455/b4_Business/a1_Financial/a3_Ordering
Modified Files:
HistoricalEndOfDayOrderExecutor.cs
Log Message:
Added slippage management code (through ISlippageManager interface)
Index: HistoricalEndOfDayOrderExecutor.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/HistoricalEndOfDayOrderExecutor.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** HistoricalEndOfDayOrderExecutor.cs 4 Feb 2005 00:10:25 -0000 1.5
--- HistoricalEndOfDayOrderExecutor.cs 20 Dec 2005 19:37:57 -0000 1.6
***************
*** 29,32 ****
--- 29,33 ----
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;
+ using QuantProject.Business.Financial.Accounting.Slippage;
***************
*** 41,44 ****
--- 42,46 ----
private IEndOfDayTimer timer;
private IHistoricalQuoteProvider historicalQuoteProvider;
+ private ISlippageManager slippageManager;
public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
***************
*** 47,51 ****
--- 49,61 ----
this.timer = timer;
this.historicalQuoteProvider = historicalQuoteProvider;
+ this.slippageManager = new ZeroSlippageManager();
}
+ public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
+ IHistoricalQuoteProvider historicalQuoteProvider, ISlippageManager slippageManager )
+ {
+ this.timer = timer;
+ this.historicalQuoteProvider = historicalQuoteProvider;
+ this.slippageManager = slippageManager;
+ }
[field:NonSerialized]
public event OrderFilledEventHandler OrderFilled;
***************
*** 54,62 ****
public void Execute( Order order )
{
! double instrumentPrice = this.historicalQuoteProvider.GetMarketValue( order.Instrument.Key ,
! this.timer.GetCurrentTime() );
! EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! order.Quantity , instrumentPrice ,
new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
--- 64,75 ----
public void Execute( Order order )
{
! double instrumentMarketPrice =
! this.historicalQuoteProvider.GetMarketValue(order.Instrument.Key ,
! this.timer.GetCurrentTime());
! double instrumentPriceWithSlippage = instrumentMarketPrice +
! this.slippageManager.GetSlippage(order);
! EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! order.Quantity , instrumentPriceWithSlippage ,
new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
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