//
//
public override void SetupBegin(IEngineHub myEngineHub, IEngineContainer engineContainer)
{
base.SetupBegin(myEngineHub, engineContainer);
foreach (IEngine ieng in engineContainer.GetEngines())
{ // Find order Engine
if (ieng is IOrderEngine)
{
this.m_IOrderEngine = (IOrderEngine)ieng; // find our order engine
}
}
if (m_IOrderEngine is SingleLegExecutor)
{ // if this is a single leg order engine
m_SingleLegExecutor = (SingleLegExecutor)m_IOrderEngine;
this.m_Leg = m_SingleLegExecutor.m_PriceLeg;
m_MaxPossibleWorkingQuoteQtyPerLot += (int)(Math.Abs(m_Leg.Weight) * 2); // leg ratios * 2 (each side)
}
// If we subscribe to order book creation, we can be sure to get all the info for all fills and submissions
// this only works if create order books after setup beging.
m_IOrderEngine.GetExecutionListener().OrderBookCreated += new EventHandler(ExecutionListener_OrderBookCreated);
if (m_Hub is ExecutionHub)
{ // set up ITimer to work
((ExecutionHub)m_Hub).SubscribeToTimer((ITimerSubscriber)m_ExecutionContainer.m_ExecutionListener);
m_ExecutionContainer.m_ExecutionListener.SubscribeToTimer(this); // subscrie to updates
}
}
void IStringifiable.AddSubElement(IStringifiable subElement)
{
if (subElement is PriceLeg)
{
if (m_PriceLeg == null)
{
m_PriceLeg = ((PriceLeg)subElement);
}
else
{
throw new Exception("Implemented Order Engine can only handle 1 leg, however more than 1 has been assigned");
}
}
}
void IStringifiable.AddSubElement(IStringifiable subElement)
{
base.AddSubElement(subElement);
Type type = subElement.GetType();
if (type == typeof(PriceLeg))
{
m_PriceLeg = (PriceLeg)subElement;
this.m_EngineName = string.Format("CurveLeg:{0}", m_PriceLeg.InstrumentName.ToString()); // set our name.
}
else if (type == typeof(Scratcher))
{
m_Scratcher = (Scratcher)subElement;
m_Scratcher.m_PriceLeg = this.m_PriceLeg;
}
}
//
//
public override void SetupBegin(IEngineHub myEngineHub, IEngineContainer engineContainer)
{
base.SetupBegin(myEngineHub, engineContainer);
foreach (IEngine ieng in engineContainer.GetEngines())
{ // Find Pricing Engine
if (ieng is PricingEngine)
{
PricingEngine priceEngine = (PricingEngine)ieng;
this.m_Leg = priceEngine.m_Legs[0]; // keep pointer to legs.
m_MaxPossibleWorkingQuoteQtyPerLot += (int)(Math.Abs(m_Leg.Weight) * 2); // leg ratios * 2 (each side)
}
else if (ieng is OrderEngine)
{
this.m_OrderEngine = (OrderEngine)ieng; // find our order engine
}
}
((StrategyHub)myEngineHub).SubscribeToTimer((Strategy)engineContainer, this); // get periodic updates from ITimer.
}
void IStringifiable.AddSubElement(IStringifiable subElement)
{
base.AddSubElement(subElement);
Type type = subElement.GetType();
if (type == typeof(PriceLeg))
{
m_PriceLeg = (PriceLeg)subElement;
this.m_EngineName = string.Format("QuoterLeg:{0}", m_PriceLeg.InstrumentName.ToString()); // set our name.
}
else if (type == typeof(Hedger))
{
m_Hedger = (Hedger)subElement;
m_Hedger.m_SpreaderLeg = this; // give pointer to ourself
}
else if (type == typeof(HedgeRuleManager))
{
m_HedgeRuleManager = (HedgeRuleManager)subElement;
m_HedgeRuleManager.m_QuoterLeg = this;
}
}