public BlockOrder(
int stg_id,
EClientInterface socket,
TimeZoneInfo zone,
ContractDetails details,
XmlNode config,
int ref_con_id = 0
)
{
_stg_id = stg_id;
_socket = socket;
_con = details.Summary;
_ref_con_id = ref_con_id;
_minTick = details.MinTick;
_unitSize = int.Parse(config["UnitSize"].InnerText);
_maxOrderSize = int.Parse(config["MaxBlockSize"].InnerText);
_maxNOrders = int.Parse(config["MaxNumberOfOrders"].InnerText);
_maxBidAskUnit = config["MaxBidAskUnit"] == null ? 3 : int.Parse(config["MaxBidAskUnit"].InnerText);
_zone = zone;
//_mktOrdersOnly = mktOrdersOnly;
_entryTemplate = getOrderTemplate(config, "EntryOrderTemplate");
_profitTemplate = getOrderTemplate(config, "ProfitOrderTemplate");
_stopTemplate = getOrderTemplate(config, "StopOrderTemplate");
_expiryTemplate = getOrderTemplate(config, "ExpiryOrderTemplate");
_ids = new List <int>();
_tickers = new List <int>();
_quotes = new Dictionary <int, double>();
_filledQtys = new Dictionary <int, double>();
_openOrders = new Dictionary <int, Order>();
_quotes.Add(1, 0); //bid
_quotes.Add(2, 0); //ask
_quotes.Add(4, 0); //last
_quotes.Add(6, 0); //high
_quotes.Add(7, 0); //low
_quotes.Add(9, 0); //close
_placeOrderEvent = _tm.createEvent();
_mktDataEvents = new List <AutoResetEvent>();
for (int i = 0; i <= 14; ++i)
{
_mktDataEvents.Add(null);
}
_mktDataEvents[1] = new AutoResetEvent(false);
_mktDataEvents[2] = new AutoResetEvent(false);
_mktDataEvents[4] = new AutoResetEvent(false);
}
public static List <Order> createBracketOrder(Order parent, double profitTarget, double stopTarget, DateTime expiry, OrderTemplate profitTemplate = null, OrderTemplate stopTemplate = null, OrderTemplate expiryTemplate = null)
{
List <Order> orders = new List <Order>();
parent.Transmit = false;
orders.Add(parent);
if (expiry != DateTime.MinValue)
{
Order expiryOrder;
if (expiryTemplate == null)
{
expiryOrder = new Order();
expiryOrder.OrderType = "MKT";
}
else
{
expiryOrder = expiryTemplate.clone();
if (!expiryTemplate.isSet("OrderType"))
{
expiryOrder.OrderType = "MKT";
}
}
expiryOrder.GoodAfterTime = expiry.ToString("yyyyMMdd HH:mm:ss");
expiryOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
expiryOrder.TotalQuantity = parent.TotalQuantity;
//expiryOrder.OrderId = _og.get();
expiryOrder.ParentId = parent.OrderId;
expiryOrder.Transmit = false;
orders.Add(expiryOrder);
}
if (profitTarget != 0)
{
Order profitOrder;
if (profitTemplate == null)
{
profitOrder = new Order();
profitOrder.OrderType = "LMT";
}
else
{
profitOrder = profitTemplate.clone();
if (!profitTemplate.isSet("OrderType"))
{
profitOrder.OrderType = "LMT";
}
}
profitOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
profitOrder.TotalQuantity = parent.TotalQuantity;
profitOrder.LmtPrice = profitTarget;
//profitOrder.OrderId = _og.get();
profitOrder.ParentId = parent.OrderId;
profitOrder.Transmit = false;
orders.Add(profitOrder);
}
if (stopTarget != 0)
{
Order stopOrder;
if (stopTemplate == null)
{
stopOrder = new Order();
stopOrder.OrderType = "STP";
}
else
{
stopOrder = stopTemplate.clone();
if (!stopTemplate.isSet("OrderType"))
{
stopOrder.OrderType = "STP";
}
if (stopOrder.OrderType == "STP LMT" && !stopTemplate.isSet("LmtPriceOffset"))
{
stopOrder.LmtPriceOffset = stopTarget * 0.1; // assume offset is 10% of stop price if not set
}
}
stopOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
stopOrder.TotalQuantity = parent.TotalQuantity;
stopOrder.AuxPrice = stopTarget;
if (stopOrder.OrderType == "STP LMT")
{
stopOrder.LmtPrice = stopTarget + stopOrder.LmtPriceOffset * (stopOrder.Action.Equals("BUY") ? 1 : -1);
}
//stopOrder.OrderId = _og.get();
stopOrder.ParentId = parent.OrderId;
stopOrder.Transmit = false;
orders.Add(stopOrder);
}
orders[orders.Count() - 1].Transmit = true;
return(orders);
}
public override void fromConfig(string config)
{
XmlDocument xml = new XmlDocument();
xml.LoadXml(config);
XmlNode xn1 = xml.SelectSingleNode("/Config");
_model_id = Int32.Parse(xn1["Model"].InnerText);
_qty = Int32.Parse(xn1["Quantity"].InnerText);
_blockConfig = xn1["BlockOrder"];
var tmpNode = _blockConfig["StopOrderTemplate"];
if (tmpNode == null)
{
_stopTemplate = null;
}
else
{
_stopTemplate = new OrderTemplate(tmpNode);
}
string model_xml = DBAccess.DBAccess.instance.getModel(_model_id);
XmlDocument xmlm = new XmlDocument();
xmlm.LoadXml(model_xml);
XmlNode xn = xmlm.SelectSingleNode("/Parameters");
_con_id = Int32.Parse(xn["Asset"].InnerText);
addContract(_con_id);
string sideStr = xn["Side"].InnerText;
_side = sideStr == "Long" ? 1 : sideStr == "Short" ? -1 : 0;
_trendOrReversion = xn["TrendOrReversion"].InnerText == "Trend";
_entryStart = TimeSpan.Parse(xn["EntryStartTime"].InnerText);
_entryEnd = TimeSpan.Parse(xn["EntryEndTime"].InnerText);
_exitStart = TimeSpan.Parse(xn["ExitStartTime"].InnerText);
_exitEnd = TimeSpan.Parse(xn["ExitEndTime"].InnerText);
_expiry = TimeSpan.Parse(xn["Expiry"].InnerText);
_refClose = TimeSpan.Parse(xn["RefCloseTime"].InnerText);
_useClose = Boolean.Parse(xn["UseClose"].InnerText);
_entryOffset = Double.Parse(xn["EntryOffset"].InnerText);
_profitTarget = Double.Parse(xn["ProfitTarget"].InnerText);
_stopTarget = Double.Parse(xn["StopTarget"].InnerText);
XmlNode _settlementNode = xn["SettlementPriceHtml"];
_settlementUrl = _settlementNode["Url"].InnerText;
_settlementXPathLast = _settlementNode["XPathLast"].InnerText;
_settlementXPathDate = _settlementNode["XPathDate"].InnerText;
XmlNode _settlementNode2 = xn["SettlementPriceHtml2"];
_settlementUrl2 = _settlementNode2["Url"].InnerText;
_settlementXPathLast2 = _settlementNode2["XPathLast"].InnerText;
_settlementXPathDate2 = _settlementNode2["XPathDate"].InnerText;
_bufferTime = new TimeSpan(0, 0, 30); //wait for 30 secs
//Testing only
//_entryEnd = new TimeSpan(20, 0, 0);
//_exitEnd = new TimeSpan(21, 0, 0);
}