void background(object param)
{
while (_runbg)
{
try
{
// orders
while (!_orderq.isEmpty)
{
STIOrder order = new STIOrder();
Order o = _orderq.Read();
if (VerboseDebugging)
{
debug("client order received: " + o.ToString());
}
if ((o.id == 0) && AutosetUnsetId)
{
o.id = _idt.AssignId;
}
if (isPaperTradeEnabled)
{
ptt.sendorder(o);
}
else
{
o.price = Math.Round(o.price, FixOrderDecimalPlace);
o.stopp = Math.Round(o.stopp, FixOrderDecimalPlace);
if (o.ex == string.Empty)
{
o.ex = o.symbol.Length > 3 ? "NSDQ" : "NYSE";
}
order.Destination = o.Exchange;
order.Side = getside(o.symbol, o.side);
order.Symbol = o.symbol;
order.Quantity = o.UnsignedSize;
string acct = Account != string.Empty ? Account : string.Empty;
order.Account = o.Account != string.Empty ? o.Account : acct;
order.Destination = o.Exchange != "" ? o.ex : "NYSE";
bool close = o.ValidInstruct == OrderInstructionType.MOC;
bool pegged = (o.ValidInstruct >= OrderInstructionType.PEG2MID) && (o.ValidInstruct <= OrderInstructionType.PEG2BST);
order.Tif = tif2tif(o.TIF);
if (!pegged)
{
order.LmtPrice = (double)o.price;
order.StpPrice = (double)o.stopp;
}
if (close)
{
if (o.isMarket)
{
order.PriceType = STIPriceTypes.ptSTIMktClo;
}
else if (o.isLimit)
{
order.PriceType = STIPriceTypes.ptSTILmtClo;
}
else
{
order.PriceType = STIPriceTypes.ptSTIClo;
}
}
else if (pegged)
{
order.PriceType = STIPriceTypes.ptSTIPegged;
if (o.price <= 0)
{
order.PegDiff = (double)o.price;
}
else
{
order.LmtPrice = (double)o.price;
}
if (o.ValidInstruct == OrderInstructionType.PEG2BST)
{
order.ExecInst = "T";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2MID)
{
order.ExecInst = "M";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2MKT)
{
order.ExecInst = "P";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2PRI)
{
order.ExecInst = "R";
}
}
else if (o.isMarket)
{
order.PriceType = STIPriceTypes.ptSTIMkt;
}
else if (o.isLimit && o.isStop)
{
order.PriceType = STIPriceTypes.ptSTISvrStpLmt;
}
else if (o.isLimit)
{
order.PriceType = STIPriceTypes.ptSTILmt;
}
else if (o.isStop)
{
order.PriceType = STIPriceTypes.ptSTISvrStp;
}
else if (o.isTrail)
{
order.PriceType = STIPriceTypes.ptSTITrailStp;
}
order.ClOrderID = o.id.ToString();
int err = order.SubmitOrder();
if (VerboseDebugging)
{
debug("client order sent: " + order.ClOrderID);
}
string tmp = "";
if ((err == 0) && (!idacct.TryGetValue(o.id, out tmp)))
{
// save account/id relationship for canceling
idacct.Add(o.id, order.Account);
// wait briefly between orders
Thread.Sleep(_ORDERSLEEP);
}
if (err < 0)
{
debug("Error sending order: " + Util.PrettyError(tl.newProviderName, err) + o.ToString());
}
if (err == -1)
{
debug("Make sure you have set the account in sending program.");
}
}
}
// new quotes
if (!_symsq.isEmpty)
{
_symsq.Read();
foreach (string sym in symquotes.Split(','))
{
stiQuote.RegisterQuote(sym, "*");
}
}
// old quotes
while (removesym.hasItems)
{
string rem = removesym.Read();
stiQuote.DeRegisterQuote(rem, "*");
}
// cancels
if (!_cancelq.isEmpty)
{
long number = _cancelq.Read();
if (isPaperTradeEnabled)
{
ptt.sendcancel(number);
}
else
{
string acct = "";
if (idacct.TryGetValue(number, out acct))
{
// get unique cancel id
long cancelid = _canceltracker.AssignId;
// save cancel to order id relationship
_cancel2order.Add(cancelid, number);
bool isman;
// see if it's a manual order
if (!ismanorder.TryGetValue(number, out isman))
{
isman = false;
}
// send cancel
if (isman) // manual orders use nOrderRercordId
{
stiOrder.CancelOrder(acct, (int)number, null, cancelid.ToString());
}
else
{
stiOrder.CancelOrder(acct, 0, number.ToString(), cancelid.ToString());
}
if (VerboseDebugging)
{
debug("client cancel requested: " + number.ToString() + " " + cancelid.ToString());
}
}
else
{
debug("No record of order id: " + number.ToString());
}
// see if empty yet
if (_cancelq.hasItems)
{
Thread.Sleep(_CANCELWAIT);
}
}
}
// messages
if (_msgq.hasItems)
{
GenericMessage gm = _msgq.Read();
switch (gm.Type)
{
case MessageTypes.SENDORDERPEGMIDPOINT:
{
// create order
STIOrder order = new STIOrder();
// pegged 2 midmarket
order.ExecInst = "M";
// get order
Peg2Midpoint o = Peg2Midpoint.Deserialize(gm.Request);
if (!o.isValid)
{
break;
}
if (VerboseDebugging)
{
debug("client P2M order: " + o.ToString());
}
order.Symbol = o.symbol;
order.PegDiff = (double)o.pegdiff;
order.PriceType = STIPriceTypes.ptSTIPegged;
bool side = o.size > 0;
order.Side = getside(o.symbol, side);
order.Quantity = Math.Abs(o.size);
order.Destination = o.ex;
order.ClOrderID = o.id.ToString();
order.Tif = "D";
string acct = Account != string.Empty ? Account : string.Empty;
order.Account = o.Account != string.Empty ? o.Account : acct;
int err = order.SubmitOrder();
string tmp = "";
if ((err == 0) && (!idacct.TryGetValue(o.id, out tmp)))
{
idacct.Add(o.id, order.Account);
}
if (err < 0)
{
debug("Error sending order: " + Util.PrettyError(tl.newProviderName, err) + o.ToString());
}
if (err == -1)
{
debug("Make sure you have set the account in sending program.");
}
}
break;
}
}
if (_lastimbalance != _imbalance)
{
_lastimbalance = _imbalance;
// register for imbalance data
stiQuote.RegisterForAllMdx(true);
}
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
if (_symsq.isEmpty && _orderq.isEmpty && _cancelq.isEmpty)
{
Thread.Sleep(_SLEEP);
}
}
}
void tt_Tick(object sender, EventArgs e)
{
// orders
while (or < oc)
{
STIOrder order = new STIOrder();
if (or == oq.Length)
{
or = 0;
}
Order o = oq[or++];
order.LmtPrice = (double)o.price;
order.StpPrice = (double)o.stopp;
order.Destination = o.Exchange;
order.Side = o.side ? "B" : "S";
order.Symbol = o.symbol;
order.Quantity = o.UnsignedSize;
string acct = accts.Count > 0 ? accts[0] : "";
order.Account = o.Account != "" ? o.Account : acct;
order.Destination = o.Exchange != "" ? o.ex : "NYSE";
order.Tif = o.TIF;
order.PriceType = o.isMarket ? STIPriceTypes.ptSTIMkt : (o.isLimit ? STIPriceTypes.ptSTILmt : STIPriceTypes.ptSTISvrStp);
order.ClOrderID = o.id.ToString();
int err = order.SubmitOrder();
string tmp = "";
if ((err == 0) && (!idacct.TryGetValue(o.id, out tmp)))
{
idacct.Add(o.id, order.Account);
}
if (err < 0)
{
debug("Error sending order: " + Util.PrettyError(tl.newProviderName, err) + o.ToString());
}
if (err == -1)
{
debug("Make sure you have set the account in sending program.");
}
}
// quotes
if (qc > qr)
{
foreach (string sym in symquotes.Split(','))
{
stiQuote.RegisterQuote(sym, "*");
}
qr = qc;
}
// cancels
if (ic > ir)
{
if (ir == idq.Length)
{
ir = 0;
}
uint number = idq[ir++];
string acct = "";
if (idacct.TryGetValue(number, out acct))
{
stiOrder.CancelOrder(acct, 0, number.ToString(), DateTime.Now.Ticks.ToString() + acct);
tl.newOrderCancel(number);
}
else
{
debug("No record of id: " + number.ToString());
}
}
}
public void SubscribeQuote(string symbol, string exch)
{
_stiQuote.RegisterQuote(symbol, "");
}
