// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
// *************************************************************
// **** MarketInstrumentInitialized() ****
// *************************************************************
/// <summary>
/// called once the market for all instruments is subscribed to and we have instrument
/// details
/// </summary>
public override void MarketInstrumentInitialized(Lib.BookHubs.Book marketBook)
{
base.MarketInstrumentInitialized(marketBook);
if (!TryIntitialize())
{
m_Log.NewEntry(LogLevel.Error, "RiskManager : Failed To Initialize, Couldn't Find All Instrument Details");
}
FatFingerTicks = m_FatFingerTicks; // set our tolerances
RiskIsReady = true; // set our state to ready
m_OrderEngine.m_IsRiskCheckPassed = true; // let our order engine begin to send orders.
}
//
//
//
#endregion//Event Handlers
#region ITimerSubscriber Implementation
public void TimerSubscriberUpdate(Lib.BookHubs.Book aBook)
{
if (PnLCheck(aBook) | CheckQuoteLimits()) // max loss pnl tripped or max number of quotes per second exceeded
{
FlagRiskEvents();
}
m_SecondCount++; // increment our second counter
if (m_IsRiskTriggered)
{
m_RiskCount++;
if (m_RiskCount == 2)
{
m_Log.NewEntry(LogLevel.Error, "Risk Event Triggered! Pausing Strategy");
}
}
m_TotalNumberOfQuotes += m_NumberOfQuotesThisSecond; // Add to total's count.
m_NumberOfQuotesThisSecond = 0; // reset count each second.
//base.BroadcastParameter(m_Quoter.m_StrategyHub, m_Quoter.m_Strategy, 4);
}
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
// *************************************************************
// **** MarketInstrumentInitialized() ****
// *************************************************************
//
/// <summary>
/// called once the market for all instruments is subscribed to and we have instrument
/// details
/// </summary>
public override void MarketInstrumentInitialized(Lib.BookHubs.Book marketBook)
{
if (m_IsMarketReady)
{
return;
}
m_IsMarketReady = true;
if (m_StrategyHub.m_Market.TryGetInstrumentDetails(m_Instrument, out m_InstrumentDetails))
{
if (m_FillBook == null)
{
m_FillBook = new FillBook(m_Instrument.ToString(), m_InstrumentDetails.Multiplier);
}
if (double.IsNaN(m_QuoteTickSize)) // if our user hasn't defined this yet
{
m_QuoteTickSize = m_InstrumentDetails.TickSize; // set it to the default tick size here
}
}
else
{
Log.NewEntry(LogLevel.Error,
"OrderEngine:MarketInstrumentInitialized failed to get instrument details and create order book for {0}", m_Instrument);
}
}
