private void OrderNotifyHandler(object sender, OrderArgs e)
{
itemOrder iorder = e.ItemOrder;
// if (!ls.Contains(iorder.morigtkn)) return;
DateTime mdate = ComFucs.GetDate(iorder.mm_date);
Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "",
mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, iorder.morderid);
tl.newOrder(o);
v(o.symbol + " received order ack for: " + o.ToString());
}
void bwOrder_BWOrderUpdateEvent(object sender, BWOrderStatus BWOrderStatus)
{
BWOrder bwo = (BWOrder)sender;
long id = (long)bwo.CustomID;
Order o = new OrderImpl(bwo.Symbol, (int)bwo.Size);
o.id = (long)bwo.CustomID;
o.side = (bwo.OrderSide == ORDER_SIDE.SIDE_BUY) || (bwo.OrderSide == ORDER_SIDE.SIDE_COVER);
o.price = (decimal)bwo.LimitPrice;
o.stopp = (decimal)bwo.StopPrice;
o.Account = bwo.UserID.ToString();
o.ex = bwo.Venue.ToString();
switch (BWOrderStatus)
{
case BWOrderStatus.ACCEPTED:
{
tl.newOrder(o);
v(o.symbol + " sent order acknowledgement for: " + o.ToString());
if (_bwOrdIds.ContainsKey(o.id))
{
_bwOrdIds[o.id] = bwo.OrderID;
}
}
break;
case BWOrderStatus.CANCELED:
{
tl.newCancel(id);
v("sent cancel notification for order: " + id);
}
break;
case BWOrderStatus.REJECTED:
{
tl.newCancel(id);
debug("Rejected: " + bwo.CustomID.ToString() + bwo.RejectReason);
}
break;
}
}
void MessageCache_CacheEvent(int action, int row)
{
switch (action)
{
case 1: //CN_Submit
break;
case 4: //CN_Insert
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderReferenceNumber = String.Empty;
Order o = new OrderImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
o.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
v("order side: " + cv.ToString());
if (cv.ToString() == "BUY")
{
o.side = true;
}
else if (cv.ToString() == "SELL")
{
o.side = false;
}
else if (cv.ToString().Contains("SHORT"))
{
o.side = false;
}
}
_messageCache.VBGetCell(row, "QUANTITY", ref cv, ref err);
if (!(cv == null))
{
o.size = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "PRICE", ref cv, ref err);
if (!(cv == null))
{
o.price = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "STOPPRICE", ref cv, ref err);
if (!(cv == null))
{
o.stopp = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
o.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
orderReferenceNumber = cv.ToString();
}
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "Open")
{
o.id = row;
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
o.time = ((int)(rem % 10000)) * 100 + xsec;
o.date = (int)((rem - o.time) / 10000);
o.size = o.side ? o.UnsignedSize : o.UnsignedSize * -1;
OrderIdDict.Add(orderReferenceNumber, (long)row);
if (_onotified.Contains((int)row))
{
return;
}
_onotified.Add(o.id);
tl.newOrder(o);
v("order ack received and sent: " + o.ToString());
}
else if (cv.ToString() == "Canceled")
{
long id = OrderIdDict[orderReferenceNumber];
tl.newCancel(id);
v("order cancel ack received and sent: " + id);
}
else if (cv.ToString() == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
{
f.id = id;
}
else
{
f.id = _idt.AssignId;
}
f.id = id;
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (cv != null)
{
f.xprice = decimal.Parse(cv.ToString());
}
else
{
v(f.symbol + " error getting EXECPRICE, err: " + err + " retrying...");
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (cv != null)
{
f.xprice = decimal.Parse(cv.ToString());
}
else
{
v(f.symbol + " error getting EXECPRICE, err: " + err + " retrying new method...");
_messageCache.VBGetCell(row, "EXECVALUE", ref cv, ref err);
bool ok = false;
decimal val = 0;
int usize = Math.Abs(f.xsize);
if (cv != null)
{
if (decimal.TryParse(cv.ToString(), out val))
{
if ((val != 0) && (usize != 0))
{
ok = true;
f.xprice = val / usize;
}
else
{
}
}
}
if (!ok)
{
v(f.symbol + " error inferring EXECPRICE, usize: " + usize + " execval: " + val);
}
}
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
else
{
_messageCache.VBGetCell(row, "EXECSIDE", ref cv, ref err);
}
if (!(cv == null))
{
if (cv.ToString().Contains("BUY"))
{
f.side = true;
}
else if (cv.ToString().Contains("SELL") ||
cv.ToString().Contains("SHORT"))
{
f.side = false;
}
else
{
v("invalid fill side: " + cv.ToString());
}
}
f.xtime = Util.ToTLDate();
f.xdate = Util.ToTLTime();
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
{
debug("ignoring invalid fill: " + f.ToString());
}
}
}
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
break;
case 5: //CN_Update
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderStatus = null;
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
orderStatus = cv.ToString();
}
if (orderStatus == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
{
f.id = id;
}
else
{
f.id = _idt.AssignId;
}
f.id = id;
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (!(cv == null))
{
f.xprice = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "BUY")
{
f.side = true;
}
else if (cv.ToString() == "SELL")
{
f.side = false;
}
}
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
{
debug("ignoring invalid fill: " + f.ToString());
}
}
if (orderStatus == "Partial")
{
}
}
catch (Exception exc)
{
debug(exc.Message);
}
}
break;
case 8: //CN_Remove
break;
}
}
void doorderupdate(ref structSTIOrderUpdate structOrderUpdate)
{
Order o = new OrderImpl();
o.symbol = structOrderUpdate.bstrSymbol;
long id = 0;
// see if the order id is unknown
if (!long.TryParse(structOrderUpdate.bstrClOrderId, out id))
{
// use the norderrecordid as our order id
id = (long)structOrderUpdate.nOrderRecordId;
// ensure this is not a secondary notification of same order
string tmp;
if (!idacct.TryGetValue(id, out tmp))
{
// save the id
debug("manual order: " + id + " " + structOrderUpdate.bstrAccount);
idacct.Add(id, structOrderUpdate.bstrAccount);
ismanorder.Add(id, true);
}
}
// if this is a cancel notification, pass along
if (structOrderUpdate.nOrderStatus == (int)STIOrderStatus.osSTICanceled)
{
// if it's a cancel, we'll have cancel id rather than order id
// get new id
long orderid = 0;
if (_cancel2order.TryGetValue(id, out orderid))
{
tl.newCancel(orderid);
if (VerboseDebugging)
{
debug("cancel received for: " + orderid);
}
}
else
{
debug("manual cancel sent with id: " + id);
}
return;
}
// don't notify for same order more than once
if (_onotified.Contains(id))
{
return;
}
if (structOrderUpdate.bstrLogMessage.Contains("REJ"))
{
debug(id + " " + structOrderUpdate.bstrLogMessage);
}
o.id = id;
o.size = structOrderUpdate.nQuantity;
o.side = structOrderUpdate.bstrSide == "B";
o.price = (decimal)structOrderUpdate.fLmtPrice;
o.stopp = (decimal)structOrderUpdate.fStpPrice;
o.TIF = structOrderUpdate.bstrTif;
o.Account = structOrderUpdate.bstrAccount;
o.ex = structOrderUpdate.bstrDestination;
long now = Convert.ToInt64(structOrderUpdate.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
o.time = ((int)(rem % 10000)) * 100 + xsec;
o.date = (int)((rem - o.time) / 10000);
_onotified.Add(o.id);
if (VerboseDebugging)
{
debug("order acknowledgement: " + o.ToString());
}
tl.newOrder(o);
}