/// <summary>
/// Triggered when the XTAPI receives an order rejection message from the exchange for an
/// order in the order set.
/// </summary>
/// <param name="pRejectedOrderObj">Order object for the rejected order</param>
void m_TTOrderSet_OnOrderRejected(XTAPI.TTOrderObj pRejectedOrderObj)
{
string siteOrderKey = (string)pRejectedOrderObj.get_Get("SiteOrderKey");
txtStatusOut.Text += "Order Rejected by Exchange: " + siteOrderKey + "\r\n\r\n";
}
/// <summary>
/// Triggered when a new order is submitted to the exchange or a held order is resubmitted.
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderAction">Action associated with the submitted order</param>
/// <param name="wrkQty">Working qty for the order</param>
/// <param name="sOrderType">Order Type associated with the order</param>
/// <param name="sOrderTraits">Traits associated with the order</param>
void m_TTOrderSet_OnOrderSubmitted(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderAction eOrderAction, int wrkQty, string sOrderType, string sOrderTraits)
{
PublishEventOrderData("OnOrderSubmitted", pNewOrderObj, pOldOrderObj);
}
/// <summary>
/// Publish specific information about each order to the GUI
/// </summary>
/// <param name="callingMethod">Method that called the publish</param>
/// <param name="pNewOrderObj">New order object</param>
/// <param name="pOldOrderObj">Old order object</param>
private void PublishEventOrderData(string callingMethod, XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj)
{
if (pOldOrderObj.IsNull != 0)
{
txtOrderAuditTrail.Text += callingMethod + " - Old Order: NULL\r\n";
}
else
{
try
{
Array oldOrderData = (Array)pOldOrderObj.get_Get("Acct,OrdStatus,OrdAction,Contract$,BuySell,OrderQty,Price,SiteOrderKey,OrderNo");
txtOrderAuditTrail.Text += callingMethod + " - Old Order: " + oldOrderData.GetValue(0).ToString() + ", " +
oldOrderData.GetValue(1).ToString() + ", " +
oldOrderData.GetValue(2).ToString() + ", " +
oldOrderData.GetValue(3).ToString() + ", " +
oldOrderData.GetValue(4).ToString() + ", " +
oldOrderData.GetValue(5).ToString() + ", " +
oldOrderData.GetValue(6).ToString() + ", " +
oldOrderData.GetValue(7).ToString() + ", " +
oldOrderData.GetValue(8).ToString() + "\r\n";
}
catch (Exception ex)
{
txtOrderAuditTrail.Text += callingMethod + " - Old Order: Error Message - " + ex.Message + "\r\n";
}
}
if (pNewOrderObj.IsNull != 0)
{
txtOrderAuditTrail.Text += callingMethod + " - New Order: NULL\r\n";
}
else
{
try
{
Array newOrderData = (Array)pNewOrderObj.get_Get("Acct,OrdStatus,OrdAction,Contract$,BuySell,OrderQty,Price,SiteOrderKey,OrderNo");
txtOrderAuditTrail.Text += callingMethod + " - New Order: " + newOrderData.GetValue(0).ToString() + ", " +
newOrderData.GetValue(1).ToString() + ", " +
newOrderData.GetValue(2).ToString() + ", " +
newOrderData.GetValue(3).ToString() + ", " +
newOrderData.GetValue(4).ToString() + ", " +
newOrderData.GetValue(5).ToString() + ", " +
newOrderData.GetValue(6).ToString() + ", " +
newOrderData.GetValue(7).ToString() + ", " +
newOrderData.GetValue(8).ToString() + "\r\n";
}
catch (Exception ex)
{
txtOrderAuditTrail.Text += callingMethod + " - New Order: Error Message - " + ex.Message + "\r\n";
}
}
}
/// <summary>
/// This function is called when an instrument is found after it is opened.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
// Retrieve and display the instrument information.
Array data = (Array) pInstr.get_Get("Exchange,Product,ProdType,Contract");
// Test based on Alias property
switch (pInstr.Alias)
{
case "0":
txtExchange1.Text = (string)data.GetValue(0);
txtProduct1.Text = (string)data.GetValue(1);
txtProductType1.Text = (string)data.GetValue(2);
txtContract1.Text = (string)data.GetValue(3);
break;
case "1":
txtExchange2.Text = (string)data.GetValue(0);
txtProduct2.Text = (string)data.GetValue(1);
txtProductType2.Text = (string)data.GetValue(2);
txtContract2.Text = (string)data.GetValue(3);
break;
case "2":
txtExchange3.Text = (string)data.GetValue(0);
txtProduct3.Text = (string)data.GetValue(1);
txtProductType3.Text = (string)data.GetValue(2);
txtContract3.Text = (string)data.GetValue(3);
break;
case "3":
txtExchange4.Text = (string)data.GetValue(0);
txtProduct4.Text = (string)data.GetValue(1);
txtProductType4.Text = (string)data.GetValue(2);
txtContract4.Text = (string)data.GetValue(3);
break;
default:
MessageBox.Show(this,"DisplayInstrumentInformation ERROR");
break;
}
}
/// <summary>
/// Triggered when orders are taken out of the market.
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderState">State of the order before being deleted</param>
/// <param name="eOrderAction">Action associated with the submitted order</param>
/// <param name="fillQty">Quantity of the delete.</param>
void m_TTOrderSet_OnOrderDeleted(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderNotifyState eOrderState, XTAPI.enumOrderAction eOrderAction, int delQty)
{
PublishEventOrderData("OnOrderDeleted", pNewOrderObj, pOldOrderObj);
}
private void OnNotifyUpdate(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
try
{
Array data = (Array)pInstr.get_Get("Bid#,Ask#,NetPos,PL.Z,OpenPL^");
//get currency amount of tick
double tickvalue = Convert.ToDouble(pInstr.get_TickPrice(0, 1, "^"));
for (int i = 0; i < data.Length; ++i)
if (data.GetValue(i) == null)
return;
Update update = new Update();
update.Bid = Convert.ToDouble(data.GetValue(0));
update.Ask = Convert.ToDouble(data.GetValue(1));
update.NetPos = Convert.ToInt16(data.GetValue(2));
//convert number of ticks from PL to currency
update.PL = tickvalue * Convert.ToDouble(data.GetValue(3));
update.OpenPL = Convert.ToDouble(data.GetValue(4));
update.Symbol = pInstr.Product;
if (OnUpdate != null)
OnUpdate(this, new UpdateEventArgs(update));
}
catch (Exception ex)
{
if (log.IsErrorEnabled) log.Error(ex.StackTrace);
}
}
/// <summary>
/// This function is called for every fill update. Obtain the fill
/// information by calling the Get() properties from the TTFillObj
/// passed as an argument.
/// </summary>
/// <param name="pFillObj">XTAPI Fill Object</param>
private void m_TTOrderSet_OnOrderFillData(XTAPI.TTFillObj pFillObj)
{
// Update the Status Bar text.
sbaStatus.Text = "Fill Recieved.";
// Retrieve the fill information using the TTFillObj Get Properties.
Array fillData = (Array) pFillObj.get_Get("Contract,Price,Qty,FillType,OrderNo,SiteOrderKey");
txtFillData.Text += (string)fillData.GetValue(0) + ", ";
txtFillData.Text += (string)fillData.GetValue(1) + ", ";
txtFillData.Text += Convert.ToString(fillData.GetValue(2)) + ", ";
txtFillData.Text += (string)fillData.GetValue(3) + ", ";
txtFillData.Text += (string)fillData.GetValue(4) + ", ";
txtFillData.Text += (string)fillData.GetValue(5) + "\r\n";
}
private void register(XTAPI.TTInstrObj pInstr)
{
quotes_counter +=1;
try {
Array data = (Array) pInstr.get_Get("Exchange,Product,Contract,Open$,High$,Low$,Last$,Close$,Settle$");
if(quotes_counter%250==0) {
Console.Write('.');
}
quote(data);
} catch (Exception e) {
log("Register Error:"+">>"+e.Message);
}
}
/// <summary>
/// This function is called when an instrument is located after calling m_TTInstrObj.Open()
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
// Retrieve the instrument information using the TTInstrObj Get Properties.
//
// Notes:
// 1) The trailing pound sign (#) returns the decimal format for the requested attribute.
// 2) The tilde (~) prefix returns the last change, or delta (delta = current - previous), in the attribute.
Array data = (Array) pInstr.get_Get("Exchange,Product,ProdType,Contract,Bid#,BidQty$,Ask$,AskQty$,Last$,LastQty$,~LastQty$");
txtExchange.Text = (string)data.GetValue(0);
txtProduct.Text = (string)data.GetValue(1);
txtProductType.Text = (string)data.GetValue(2);
txtContract.Text = (string)data.GetValue(3);
// Use Convert methods rather than explicit casting if the expected variant data type is different than the cast.
txtBidPrice.Text = Convert.ToString(data.GetValue(4));
txtBidQty.Text = (string)data.GetValue(5);
txtAskPrice.Text = (string)data.GetValue(6);
txtAskQty.Text = (string)data.GetValue(7);
txtLastPrice.Text = (string)data.GetValue(8);
txtLastQty.Text = (string)data.GetValue(9);
txtLastQtyDelta.Text = (string)data.GetValue(10);
}
private void m_TTOrderSet_OnOrderFillData(XTAPI.TTFillObj pFillObj)
{
// Retrieve the fill information using the TTFillObj Get Properties.
Array fillData = (Array) pFillObj.get_Get(fillRequest);
Console.Write('*');
FillMessage(fillData);
}
private void pNotify_OnNotifyDepthData(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
Array data = (Array) pInstr.get_Get("Exchange,Product,Contract");
string ex = (string)data.GetValue(0);
string product = (string)data.GetValue(1);
string contract = (string)data.GetValue(2);
StringBuilder idBld = new StringBuilder();
idBld.Append(ex+",");
idBld.Append(product+",");
idBld.Append(contract);
String id = idBld.ToString();
// Obtain the bid depth (Level based on user selection).
Array dataArrayBid = (Array)pInstr.get_Get("BidDepth(0)#");
// Test if depth exists.
if (dataArrayBid != null)
{
// Iterate through the depth array.
for (int i = 0; i <= dataArrayBid.GetUpperBound(0); i++)
{
// Break out of FOR LOOP if index value is null.
if (dataArrayBid.GetValue(i,0) == null)
break;
String bidDepth = id+",B,"+dataArrayBid.GetValue(i,0);
//Console.WriteLine(bidDepth+":::"+dataArrayBid.GetValue(i,1));
depths.Add(bidDepth,dataArrayBid.GetValue(i,1));
}
}
// Obtain the ask depth (Level based on user selection).
Array dataArrayAsk = (Array) pInstr.get_Get("AskDepth(0)#");
// Test if depth exists.
if (dataArrayAsk != null)
{
// Iterate through the depth array.
for (int i = 0; i <= dataArrayAsk.GetUpperBound(0); i++)
{
// Break out of FOR LOOP if index value is null.
if (dataArrayAsk.GetValue(i,0) == null)
break;
String askDepth = id+",A,"+dataArrayAsk.GetValue(i,0);
//Console.WriteLine(askDepth+":::"+dataArrayAsk.GetValue(i,1));
depths.Add(askDepth,dataArrayAsk.GetValue(i,1));
}
}
}
private void m_TTInstrNotify_OnNotifyUpdate(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
register(pInstr);
}
/// <summary>
/// Publish specific information about each order to the GUI
/// </summary>
/// <param name="pNewOrderObj">New order object</param>
/// <param name="pOldOrderObj">Old order object</param>
private void PublishEventOrderData(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj)
{
if (pOldOrderObj.IsNull != 0)
{
txtStatusOut.Text += "Old Order: NULL\r\n";
}
else
{
try
{
Array oldOrderData = (Array)pOldOrderObj.get_Get("Contract$,BuySell,OrderQty,Price,OrderNo,ExecutionType");
txtStatusOut.Text += "Old Order: " + oldOrderData.GetValue(0).ToString() + ", " +
oldOrderData.GetValue(1).ToString() + ", " +
oldOrderData.GetValue(2).ToString() + ", " +
oldOrderData.GetValue(3).ToString() + ", " +
oldOrderData.GetValue(4).ToString() + ", " +
oldOrderData.GetValue(5).ToString() + "\r\n";
}
catch (Exception ex)
{
txtStatusOut.Text += "Old Order: Error Message - " + ex.Message + "\r\n";
}
}
if (pNewOrderObj.IsNull != 0)
{
txtStatusOut.Text += "New Order: NULL\r\n";
}
else
{
try
{
Array newOrderData = (Array)pNewOrderObj.get_Get("Contract$,BuySell,OrderQty,Price,OrderNo,ExecutionType");
txtStatusOut.Text += "New Order: " + newOrderData.GetValue(0).ToString() + ", " +
newOrderData.GetValue(1).ToString() + ", " +
newOrderData.GetValue(2).ToString() + ", " +
newOrderData.GetValue(3).ToString() + ", " +
newOrderData.GetValue(4).ToString() + ", " +
newOrderData.GetValue(5).ToString() + "\r\n";
}
catch (Exception ex)
{
txtStatusOut.Text += "New Order: Error Message - " + ex.Message + "\r\n";
}
}
txtStatusOut.Text += "\r\n";
}
/// <summary>
/// Triggered when there is a change in the existing orders state.
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderState">State of the updated order</param>
/// <param name="eOrderAction">Action associated with the submitted order</param>
/// <param name="updQty">Working qty if the updated order was in a working state</param>
/// <param name="sOrderType">Order Type associated with the order</param>
/// <param name="sOrderTraits">Traits associated with the order</param>
void m_TTOrderSet_OnOrderUpdated(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderNotifyState eOrderState, XTAPI.enumOrderAction eOrderAction, int updQty, string sOrderType, string sOrderTraits)
{
txtStatusOut.Text += "Order Updated: " + sSiteOrderKey + "\r\n\r\n";
PublishEventOrderData(pNewOrderObj, pOldOrderObj);
}
/// <summary>
/// This function is called when an instrument is found after it is opened.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
// Retrieve the instrument information using the TTInstrObj Get Properties.
Array data = (Array) pInstr.get_Get("Exchange,Product,ProdType,Contract");
txtExchange.Text = (string)data.GetValue(0);
txtProduct.Text = (string)data.GetValue(1);
txtProductType.Text = (string)data.GetValue(2);
txtContract.Text = (string)data.GetValue(3);
// Obtain the available customer names and add them to the ComboBox.
XTAPI.TTOrderProfileClass orderProfile = new XTAPI.TTOrderProfileClass();
foreach (string entry in orderProfile.Customers as Array)
{
cboCustomer.Items.Add(entry);
}
// Set the first item in the customer combo boxes.
cboCustomer.SelectedIndex = 0;
// Set the Net Limits to false.
m_TTOrderSet.Set("NetLimits",false);
// Open the TTOrderSet with send orders enabled.
m_TTOrderSet.Open(1);
// Enable the user interface items.
btnBuy.Enabled = true;
btnSell.Enabled = true;
cboCustomer.Enabled = true;
gboDeleteOrder.Enabled = true;
gboModifyOrder.Enabled = true;
}
/// <summary>
/// This function is called when an instrument update
/// occurs (i.e. last traded price changes).
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyUpdate(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Retrieve the instrument information using the TTInstrObj Get Properties.
Array data = (Array) pInstr.get_Get("Bid#,BidQty$,Ask$,AskQty$,Last$,LastQty$,~LastQty$");
txtBidPrice.Text = Convert.ToString(data.GetValue(0));
txtBidQty.Text = (string)data.GetValue(1);
txtAskPrice.Text = (string)data.GetValue(2);
txtAskQty.Text = (string)data.GetValue(3);
txtLastPrice.Text = (string)data.GetValue(4);
txtLastQty.Text = (string)data.GetValue(5);
txtLastQtyDelta.Text = (string)data.GetValue(6);
}
public int Delete(string key , XTAPI.TTOrderSetClass ttorderSet)
{
XTAPI.TTOrderObj order = (XTAPI.TTOrderObj)ttorderSet.get_SiteKeyLookup(key);
int res = order.DeleteOrder();
if (log.IsDebugEnabled)
log.Debug(
new System.Text.StringBuilder("Deleted: ").AppendFormat("{0} from {1}",res,key)
);
return (res);
}
/// <summary>
/// This function is called for every order update received by the XTAPI.
///
/// Note: The TTOrderTrackerObj has been deprecated in favor of the order status
/// events, and remains in this sample for legacy code review.
/// TT recommends monitoring orders through the events outlined in the
/// OrderUpdate example.
/// </summary>
/// <param name="pOrderSet">TTOrderSetObj object</param>
private void m_TTOrderSet_OnOrderSetUpdate(XTAPI.TTOrderSet pOrderSet)
{
// Obtain the Next TTOrderTrackerObj object from the TTOrderSet.
XTAPI.TTOrderTrackerObj tempOrderTrackerObj = pOrderSet.NextOrderTracker;
// Iterate through the list of TTOrderTrackerObj objects.
while (tempOrderTrackerObj != null)
{
// Test if an Old Order (past state) exists.
if (tempOrderTrackerObj.HasOldOrder != 0)
{
txtOutput.Text += "Old Order: ";
// Obtain the TTOrderObj from the TTOrderTrackerObj.
XTAPI.TTOrderObj tempOldOrder = tempOrderTrackerObj.OldOrder;
Array tempOrderData = (Array) tempOldOrder.get_Get("Instr.Exchange,Contract$,BuySell,OrderSource");
// Display the information on the interface.
for(int i=0; i<tempOrderData.Length; i++)
txtOutput.Text += tempOrderData.GetValue(i) + ", ";
txtOutput.Text += "\r\n";
}
// Test if an New Order (current state) exists.
if (tempOrderTrackerObj.HasNewOrder != 0)
{
txtOutput.Text += "New Order: ";
// Obtain the TTOrderObj from the TTOrderTrackerObj.
XTAPI.TTOrderObj tempNewOrder = tempOrderTrackerObj.NewOrder;
Array tempOrderData = (Array) tempNewOrder.get_Get("Instr.Exchange,Contract$,BuySell,OrderSource");
// Display the information on the interface.
for(int i=0; i<tempOrderData.Length; i++)
txtOutput.Text += tempOrderData.GetValue(i) + ", ";
txtOutput.Text += "\r\n";
}
// Obtain the Next TTOrderTrackerObj object from the TTOrderSet.
tempOrderTrackerObj = pOrderSet.NextOrderTracker;
}
}
private void OnOrderFillData(XTAPI.TTFillObj pFill)
{
try
{
Fill fill = new Fill();
Array data = (Array)pFill.get_Get("Key,FillType,BuySell,Qty,Price#,NetQty,Acct,Contract.Product");
fill.Key = (string)data.GetValue(0);
fill.Full = ((string)data.GetValue(1)).Equals("F");
fill.Buy = ((string)data.GetValue(2)).Equals("B");
fill.Qty = (int)data.GetValue(3);
fill.Price = (double)data.GetValue(4);
fill.NetQty = (int)data.GetValue(5);
fill.Account = (string)data.GetValue(6);
fill.Product = (string)data.GetValue(7);
if (OnFill != null )
{
OnFill(this, new FillEventArgs(fill));
}
}
catch (Exception ex)
{
if (log.IsErrorEnabled) log.Error(ex.StackTrace);
}
}
/// <summary>
/// This function is called when an instrument is found after it is opened.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
}
/// <summary>
/// Display the profit and loss and net position for each instrument.
/// </summary>
/// <param name="pInstr">TTInstrObj object</param>
private void DisplayPLInformation(XTAPI.TTInstrObj pInstr)
{
// Get the P/L and Net Position per instrument.
Array data = (Array) pInstr.get_Get("PL$,NetPos");
switch (pInstr.Alias)
{
case "0":
txtPL1.Text = Convert.ToString(data.GetValue(0));
txtNetPosition1.Text = Convert.ToString(data.GetValue(1));
break;
case "1":
txtPL2.Text = Convert.ToString(data.GetValue(0));
txtNetPosition2.Text = Convert.ToString(data.GetValue(1));
break;
case "2":
txtPL3.Text = Convert.ToString(data.GetValue(0));
txtNetPosition3.Text = Convert.ToString(data.GetValue(1));
break;
case "3":
txtPL4.Text = Convert.ToString(data.GetValue(0));
txtNetPosition4.Text = Convert.ToString(data.GetValue(1));
break;
default:
MessageBox.Show(this,"PL ERROR");
break;
}
}
/// <summary>
/// This function is called when a trade data update occurs. This will only
/// fired when DeliverAllPriceUpdates is enabled.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
private void m_TTInstrNotify_OnPriceListUpdate(XTAPI.TTInstrNotify pNotify)
{
if (pNotify == null)
return;
double ltp = 0.0f;
int ltq = 0;
string direction = "";
try
{
// Loop through each ITTPriceUpdate in the ITTPriceList. The list will contain
// all entries which occurred since the last time the OnPriceListUpdate was fired.
foreach (XTAPI.ITTPriceUpdate priceUpdate in pNotify.PriceList)
{
//Loop through PriceEntries in PriceUpdate
foreach (XTAPI.ITTPriceEntry priceEntry in priceUpdate)
{
switch (priceEntry.PriceID)
{
// Get Last Traded Price
case XTAPI.enumPriceID.ttLastTradedPrice:
ltp = priceEntry.toDouble();
break;
// Get Last Traded Quantity
case XTAPI.enumPriceID.ttLastTradedQty:
ltq = (int)priceEntry.toDouble();
break;
// Get Hit or Take
case XTAPI.enumPriceID.ttHitTake:
if (priceEntry.toDouble() == Convert.ToDouble(XTAPI.enumTradeIndicator.TRADE_INDICATOR_HIT))
{
direction = "Hit"; // Sell
}
else if (priceEntry.toDouble() == Convert.ToDouble(XTAPI.enumTradeIndicator.TRADE_INDICATOR_TAKE))
{
direction = "Take"; // Buy
}
else if (priceEntry.toDouble() == Convert.ToDouble(XTAPI.enumTradeIndicator.TRADE_INDICATOR_UNKNOWN))
{
direction = "Indeterminate"; // Indeterminate
}
break;
default:
break;
}
}
// Build message to output
string tsMessage = priceUpdate.TimeStamp.Substring(0, 8) + ", " + // removes date, concatinate to timestamp only
priceUpdate.Instrument.Exchange + ", " +
priceUpdate.Instrument.Product + ", " +
priceUpdate.Instrument.get_Get("Expiry") + ", " +
direction + ", " +
ltp + ", " +
ltq;
// Add message to ListBox
lboPriceList.Items.Add(tsMessage);
// Reset data
ltp = 0.0f;
ltq = 0;
direction = "";
}
}
catch (Exception ex)
{
// Display exception message.
Console.WriteLine(ex.Message, "Exception");
}
}
/// <summary>
/// This function is called when the TTOrderSet is opened and
/// for every order placed by the user.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
/// <param name="pOrderSet">TTOrderSetObj object</param>
private void m_TTInstrNotify_OnOrderSetUpdate(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr, XTAPI.TTOrderSet pOrderSet)
{
// Update the P/L text boxes.
DisplayPLInformation(pInstr);
}
/// <summary>
/// This function is called when an instrument is found after it is opened.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
// Retrieve the instrument information using the TTInstrObj Get Properties.
// The use of a tilde before the property name will return the delta (current - previous).
Array data = (Array) pInstr.get_Get("Exchange,Product,ProdType,Contract");
txtExchange.Text = (string)data.GetValue(0);
txtProduct.Text = (string)data.GetValue(1);
txtProductType.Text = (string)data.GetValue(2);
txtContract.Text = (string)data.GetValue(3);
}
/// <summary>
/// Triggered when an order is filled
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderState">Action associated with the submitted order</param>
/// <param name="fillQty">Quantity of the fill.</param>
void m_TTOrderSet_OnOrderFilled(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderNotifyState eOrderState, int fillQty)
{
PublishEventOrderData("OnOrderFilled", pNewOrderObj, pOldOrderObj);
}
/// <summary>
/// This function displays is called for every change to the instrument depth.
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void pNotify_OnNotifyDepthData(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Clear the depth list boxes.
lboBidDepth.Items.Clear();
lboAskDepth.Items.Clear();
// Obtain the bid depth (Level based on user selection).
Array dataArrayBid = (Array)pInstr.get_Get(m_bidDepthValue);
// Test if depth exists.
if (dataArrayBid != null)
{
// Iterate through the depth array.
for (int i = 0; i <= dataArrayBid.GetUpperBound(0); i++)
{
// Break out of FOR LOOP if index value is null.
if (dataArrayBid.GetValue(i,0) == null)
break;
// Update the bid depth list box.
lboBidDepth.Items.Add("BidPrice: " + dataArrayBid.GetValue(i,0) +
" | " +
" BidQty: " + dataArrayBid.GetValue(i,1));
}
}
// Obtain the ask depth (Level based on user selection).
Array dataArrayAsk = (Array) pInstr.get_Get(m_askDepthValue);
// Test if depth exists.
if (dataArrayAsk != null)
{
// Iterate through the depth array.
for (int i = 0; i <= dataArrayAsk.GetUpperBound(0); i++)
{
// Break out of FOR LOOP if index value is null.
if (dataArrayAsk.GetValue(i,0) == null)
break;
// Update the bid depth list box.
lboAskDepth.Items.Add(" AskPrice: " + dataArrayAsk.GetValue(i,0) +
" | " +
" AskQty: " + dataArrayAsk.GetValue(i,1));
}
}
}
/// <summary>
/// Triggered when there is a change in the existing orders state.
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderState">State of the updated order</param>
/// <param name="eOrderAction">Action associated with the submitted order</param>
/// <param name="updQty">Working qty if the updated order was in a working state</param>
/// <param name="sOrderType">Order Type associated with the order</param>
/// <param name="sOrderTraits">Traits associated with the order</param>
void m_TTOrderSet_OnOrderUpdated(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderNotifyState eOrderState, XTAPI.enumOrderAction eOrderAction, int updQty, string sOrderType, string sOrderTraits)
{
PublishEventOrderData("OnOrderUpdated", pNewOrderObj, pOldOrderObj);
}
/// <summary>
/// This function is called when an instrument update occurs (i.e. LTP changes).
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyUpdate(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Retrieve the instrument information using the TTInstrObj Get Properties.
Array data = (Array) pInstr.get_Get("Bid$,Ask$,Last$,Change$");
// Populate the user interface textboxes.
txtBidPrice.Text = (string)data.GetValue(0);
txtAskPrice.Text = (string)data.GetValue(1);
txtLastPrice.Text = (string)data.GetValue(2);
txtChange.Text = (string)data.GetValue(3);
}
/// <summary>
/// This function is called when an instrument is located after calling m_TTInstrObj.Open()
/// </summary>
/// <param name="pNotify">TTInstrNotify object</param>
/// <param name="pInstr">TTInstrObj object</param>
private void m_TTInstrNotify_OnNotifyFound(XTAPI.TTInstrNotify pNotify, XTAPI.TTInstrObj pInstr)
{
// Update the Status Bar text.
sbaStatus.Text = "Instrument Found.";
// Retrieve the instrument information using the TTInstrObj Get Properties.
Array data = (Array)pInstr.get_Get("Exchange,Product,ProdType,Contract");
txtMFoundExchange.Text = (string)data.GetValue(0);
txtMFoundProduct.Text = (string)data.GetValue(1);
txtMFoundProdType.Text = (string)data.GetValue(2);
txtMFoundContract.Text = (string)data.GetValue(3);
// Enable the other parts of the "Publish" section for publishing SODs
txtPublishPrice.Enabled = true;
txtPublishQty.Enabled = true;
cboMPublishPriceFormat.Enabled = true;
btnCreateManualFill.Enabled = true;
optBuy.Enabled = true;
optSell.Enabled = true;
}
/// <summary>
/// Triggered when a TT Gateway receives a hold order
/// </summary>
/// <param name="pNewOrderObj">Order obj containing the updated order info</param>
/// <param name="pOldOrderObj">Order obj containing the previous order</param>
/// <param name="sSiteOrderKey">UID for the order</param>
/// <param name="eOrderAction">Action associated with the submitted order</param>
/// <param name="ordQty">Quantity of the held order.</param>
void m_TTOrderSet_OnOrderHeld(XTAPI.TTOrderObj pNewOrderObj, XTAPI.TTOrderObj pOldOrderObj, string sSiteOrderKey, XTAPI.enumOrderAction eOrderAction, int ordQty)
{
txtStatusOut.Text += "Order Held: " + sSiteOrderKey + "\r\n\r\n";
PublishEventOrderData(pNewOrderObj, pOldOrderObj);
}
