private static OnInstructionResponse OrderSuccessCallback(OrderTracker orderTracker)
{
return(instructionId =>
{
Console.WriteLine("order placed with instruction id " + instructionId);
orderTracker.OrderState = OrderState.Working;
});
}
private void CancelOrder(OrderTracker orderTracker)
{
long originalInstructionId = orderTracker.InstructionId;
if (originalInstructionId != -1)
{
orderTracker.CancelInstructionId = NextInstructionId();
CancelOrderRequest cancelOrderRequest = new CancelOrderRequest(orderTracker.CancelInstructionId,
_instrumentId,
originalInstructionId);
_session.CancelOrder(cancelOrderRequest,
instructionId =>
Console.WriteLine("instruction id " + orderTracker.CancelInstructionId +
" sent to cancel order " + originalInstructionId),
FailureCallback("Cancel order with cancelOrderInstructionId: " +
orderTracker.CancelInstructionId));
}
}
private void HandlePriceChange(List <PricePoint> prices, OrderTracker orderTracker, decimal quantity,
decimal priceDelta)
{
decimal mostRecentOrderPrice = orderTracker.Price;
if (prices.Count == 0)
{
//if there's no best price, we can't decide what price to place, so exit
return;
}
PricePoint bestPriceInTheMarket = prices[0];
// Make sure we have a best bid price, and it's not the same as the order we just placed
// and place similar to the ask price change.
if (mostRecentOrderPrice == 0 || mostRecentOrderPrice != bestPriceInTheMarket.Price)
{
switch (orderTracker.OrderState)
{
// Place an order inside the spread if there isn't one currently in the market
case OrderState.None:
orderTracker.Price = bestPriceInTheMarket.Price + priceDelta;
orderTracker.InstructionId = NextInstructionId();
LimitOrderSpecification order =
new LimitOrderSpecification(orderTracker.InstructionId, _instrumentId, orderTracker.Price,
quantity, TimeInForce.GoodForDay);
_session.PlaceLimitOrder(order,
OrderSuccessCallback(orderTracker),
FailureCallback("Place order failed for instruction ID " +
orderTracker.InstructionId));
break;
// Cancel a working order on a price change.
case OrderState.Working:
CancelOrder(orderTracker);
break;
}
}
}
private void HandlePriceChange(List<PricePoint> prices, OrderTracker orderTracker, decimal quantity,
decimal priceDelta)
{
decimal mostRecentOrderPrice = orderTracker.Price;
if (prices.Count == 0)
{
//if there's no best price, we can't decide what price to place, so exit
return;
}
PricePoint bestPriceInTheMarket = prices[0];
// Make sure we have a best bid price, and it's not the same as the order we just placed
// and place similar to the ask price change.
if (mostRecentOrderPrice == 0 || mostRecentOrderPrice != bestPriceInTheMarket.Price)
{
switch (orderTracker.OrderState)
{
// Place an order inside the spread if there isn't one currently in the market
case OrderState.None:
orderTracker.Price = bestPriceInTheMarket.Price + priceDelta;
orderTracker.InstructionId = NextInstructionId();
LimitOrderSpecification order =
new LimitOrderSpecification(orderTracker.InstructionId, _instrumentId, orderTracker.Price,
quantity, TimeInForce.GoodForDay);
_session.PlaceLimitOrder(order,
OrderSuccessCallback(orderTracker),
FailureCallback("Place order failed for instruction ID " +
orderTracker.InstructionId));
break;
// Cancel a working order on a price change.
case OrderState.Working:
CancelOrder(orderTracker);
break;
}
}
}
private void CancelOrder(OrderTracker orderTracker)
{
long originalInstructionId = orderTracker.InstructionId;
if (originalInstructionId != -1)
{
orderTracker.CancelInstructionId = NextInstructionId();
CancelOrderRequest cancelOrderRequest = new CancelOrderRequest(orderTracker.CancelInstructionId,
_instrumentId,
originalInstructionId);
_session.CancelOrder(cancelOrderRequest,
instructionId =>
Console.WriteLine("instruction id " + orderTracker.CancelInstructionId +
" sent to cancel order " + originalInstructionId),
FailureCallback("Cancel order with cancelOrderInstructionId: " +
orderTracker.CancelInstructionId));
}
}
private static OnInstructionResponse OrderSuccessCallback(OrderTracker orderTracker)
{
return instructionId =>
{
Console.WriteLine("order placed with instruction id " + instructionId);
orderTracker.OrderState = OrderState.Working;
};
}