protected override void PlaceLimitStopOrder(Order order)
{
ThreadPool.QueueUserWorkItem(_ =>
{
var qty = order.Quantity;
if (qty > 0 && order.OrderSide == Side.Sell)
{
qty = -qty;
}
var security = Securities.First(i => i.Symbol.Equals(order.Symbol, IgnoreCase));
if (security == null || _session == null)
{
return;
}
if (order.OrderType == CommonObjects.OrderType.Limit)
{
_session.PlaceLimitOrder(new LimitOrderSpecification(order.UserID, security.SecurityId,
order.Price, qty, Converter.ToTIF(order.TimeInForce), order.SLOffset, order.TPOffset),
id => OnOrderPlaced(order), this.GeneralFailureCallback);
}
else if (order.OrderType == CommonObjects.OrderType.Stop)
{
_session.PlaceStopOrder(new StopOrderSpecification(order.UserID, security.SecurityId,
order.Price, qty, Converter.ToTIF(order.TimeInForce), order.SLOffset, order.TPOffset),
id => OnOrderPlaced(order), this.GeneralFailureCallback);
}
});
}
public override void PlaceOrder(Order order)
{
var tradingError = CheckIfCanTrade();
if (tradingError != null)
{
OnOrderRejected(order, tradingError);
}
else
{
base.PlaceOrder(order);
}
}
private void OnInstructionFailed(object sender, Tuple <OrderSpecification, string> failed)
{
var instrument = Securities.FirstOrDefault(i => i.SecurityId == failed.Item1.InstrumentId);
if (instrument != null)
{
var order = new Order(failed.Item1.InstructionId, instrument.Symbol)
{
AccountId = AccountInfo.ID,
BrokerName = Name,
Quantity = failed.Item1.Quantity,
SLOffset = failed.Item1.StopLossPriceOffset,
TPOffset = failed.Item1.StopProfitPriceOffset
};
OnOrderRejected(order, failed.Item2);
}
}
protected override void PlaceMarketOrder(Order order)
{
ThreadPool.QueueUserWorkItem(_ =>
{
var qty = order.Quantity;
if (qty > 0 && order.OrderSide == Side.Sell)
{
qty = -qty;
}
var security = Securities.First(i => i.Symbol.Equals(order.Symbol, IgnoreCase));
if (security == null || _session == null)
{
OnOrderRejected(order, "Broker API error");
return;
}
_session.PlaceMarketOrder(new MarketOrderSpecification(order.UserID, security.SecurityId,
qty, Converter.ToTIF(order.TimeInForce), order.SLOffset, order.TPOffset),
id => OnOrderPlaced(order), GeneralFailureCallback);
});
}
public override void ModifyOrder(Order order, decimal?sl, decimal?tp, bool isServerSide = false)
{
var tradingError = CheckIfCanTrade();
if (tradingError != null)
{
OnOrderRejected(order, tradingError);
return;
}
var isExisitingOrder = false;
lock (Orders)
isExisitingOrder = Orders.Contains(order);
var unmodified = order.Clone() as Order;
base.ModifyOrder(order, sl, tp, isServerSide);
var security = Securities.FirstOrDefault(i => i.Symbol.Equals(order.Symbol, IgnoreCase));
if (security == null || security.SecurityId < 1)
{
return;
}
if (isServerSide && isExisitingOrder && !unmodified.ServerSide && unmodified.OpenQuantity > 0 &&
(unmodified.SLOffset.HasValue || unmodified.TPOffset.HasValue))
{
_session.AmendStops(new AmendStopLossProfitRequest(security.SecurityId,
unmodified.UserID + "_m", unmodified.UserID, null, null), id => { }, GeneralFailureCallback);
}
else if (!isServerSide && unmodified.OpenQuantity > 0 && (sl.HasValue || tp.HasValue))
{
_session.AmendStops(new AmendStopLossProfitRequest(security.SecurityId,
unmodified.UserID + "_m", unmodified.UserID, sl, tp), id => { }, GeneralFailureCallback);
}
}
public override void CancelOrder(Order order)
{
var tradingError = CheckIfCanTrade();
if (tradingError != null)
{
OnOrderRejected(order, tradingError);
return;
}
if (order.ServerSide)
{
base.CancelOrder(order);
}
else
{
var security = Securities.FirstOrDefault(i => i.Symbol.Equals(order.Symbol, IgnoreCase));
if (security != null)
{
_session.CancelOrder(new CancelOrderRequest(order.UserID + "_c",
security.SecurityId, order.UserID), id => { }, GeneralFailureCallback);
}
}
}
private void OnOrderPlaced(Order order) => order.PlacedDate = DateTime.UtcNow;