protected override CMState RouteNewOrder(Wrapper wrapper)
{
try
{
Order order = GetOrder(wrapper);
try
{
lock (tLock)
{
//RunUpperTick(order);
ExecutionReport exRep = OrderManager.PlaceOrder(order);
BitMexActiveOrders.Add(order.ClOrdId, order);
if (exRep.OrderID != null)
{
OrderIdMappers.Add(exRep.OrderID, order.ClOrdId);
}
//The new ER will arrive through the websockets
//ExecutionReportWrapper erWrapper = new ExecutionReportWrapper(exRep, order);
//OnMessageRcv(erWrapper);
}
}
catch (Exception ex)
{
zHFT.OrderRouters.Bitmex.Common.DTO.ErrorMessage errMsg = JsonConvert.DeserializeObject <zHFT.OrderRouters.Bitmex.Common.DTO.ErrorMessage>(ex.Message);
ExecutionReportWrapper erWrapper = new ExecutionReportWrapper(GetRejectedExecutionReport(order, errMsg.error.message != null ? errMsg.error.message : ex.Message), order);
OnMessageRcv(erWrapper);
}
return(CMState.BuildSuccess());
}
catch (Exception ex)
{
return(CMState.BuildFail(ex));
}
}
protected void ProcessExecutionReports(WebSocketSubscriptionEvent subscrEvent)
{
WebSocketExecutionReportEvent reports = (WebSocketExecutionReportEvent)subscrEvent;
foreach (zHFT.OrderRouters.Bitmex.Common.DTO.ExecutionReport execReportDTO in reports.data)
{
try
{
string clOrdId = "";
if (OrderIdMappers.ContainsKey(execReportDTO.OrderID))
{
clOrdId = OrderIdMappers[execReportDTO.OrderID];
if (BitMexActiveOrders.ContainsKey(clOrdId))
{
Order order = BitMexActiveOrders[clOrdId];
lock (tLock)
{
if (execReportDTO.ExecType == ExecType.New.ToString())
{
order.OrderId = execReportDTO.OrderID;
}
if (execReportDTO.ExecType == ExecType.Replaced.ToString())
{
BitMexActiveOrders.Remove(clOrdId);
order.ClOrdId = order.PendingClOrdId;
order.PendingClOrdId = null;
BitMexActiveOrders.Add(order.ClOrdId, order);
OrderIdMappers[execReportDTO.OrderID] = order.ClOrdId;
}
if (execReportDTO.ExecType == ExecType.Canceled.ToString() ||
execReportDTO.ExecType == ExecType.Stopped.ToString() ||
execReportDTO.ExecType == ExecType.Rejected.ToString() ||
execReportDTO.ExecType == ExecType.Suspended.ToString() ||
execReportDTO.ExecType == ExecType.Expired.ToString())
{
BitMexActiveOrders.Remove(order.ClOrdId);
OrderIdMappers.Remove(order.OrderId);
}
}
WSExecutionReportWrapper wrapper = new WSExecutionReportWrapper(execReportDTO, order);
OnMessageRcv(wrapper);
}
}
else
{
DoLog(string.Format("Unknown order processing execution report for OrderId {0} ", execReportDTO.OrderID), Main.Common.Util.Constants.MessageType.Information);
}
}
catch (Exception ex)
{
DoLog(string.Format("Error processing execution report for ClOrdId {0}:{1} ", execReportDTO.ClOrdID, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
protected override CMState UpdateOrder(Wrapper wrapper)
{
string origClOrderId = wrapper.GetField(OrderFields.OrigClOrdID).ToString();
string clOrderId = wrapper.GetField(OrderFields.ClOrdID).ToString();
double?price = (double?)wrapper.GetField(OrderFields.Price);
try
{
if (wrapper.GetField(OrderFields.OrigClOrdID) == null)
{
throw new Exception("Could not find OrigClOrdID for order updated");
}
if (wrapper.GetField(OrderFields.ClOrdID) == null)
{
throw new Exception("Could not find ClOrdId for new order");
}
lock (tLock)
{
if (BitMexActiveOrders.ContainsKey(origClOrderId) && price.HasValue)
{
Order order = BitMexActiveOrders[origClOrderId];
order.Price = Convert.ToDecimal(price.Value);
order.PendingClOrdId = clOrderId;
ExecutionReport exRep = OrderManager.UpdateOrder(order);
//ExecutionReportWrapper exWrapper = new ExecutionReportWrapper(exRep, order);
//OnMessageRcv(exWrapper);
}
else
{
DoLog(string.Format("@{0}:Could not find order for origClOrderId {1}!", BitmexConfiguration.Name, origClOrderId), Main.Common.Util.Constants.MessageType.Error);
}
}
return(CMState.BuildSuccess());
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error updating order {1}!:{2}", BitmexConfiguration.Name, origClOrderId, ex.Message), Main.Common.Util.Constants.MessageType.Error);
return(CMState.BuildFail(ex));
}
}
protected CMState CancelOrderOnClOrderId(string origClOrderId, Wrapper wrapper)
{
try
{
//New order id
string clOrderId = wrapper.GetField(OrderFields.ClOrdID).ToString();
lock (tLock)
{
if (BitMexActiveOrders.ContainsKey(origClOrderId))
{
Order order = BitMexActiveOrders[origClOrderId];
ExecutionReport exReport = RunCancelOrder(order, false);
ProcessCancelationError(exReport, order, wrapper);
}
else
{
string orderId = wrapper.GetField(OrderFields.OrderId) != OrderFields.NULL ? wrapper.GetField(OrderFields.OrderId).ToString() : "";
OrderCancelRejectWrapper reject = new OrderCancelRejectWrapper(orderId,
origClOrderId,
clOrderId,
OrdStatus.Rejected,
Side.Unknown,
null,
0,
0,
DateTime.Now,
CxlRejReason.UnknownOrder,
string.Format("ClOrdId not found: {0}", origClOrderId),
wrapper.GetField(OrderFields.Symbol).ToString());
OnMessageRcv(reject);
throw new Exception(string.Format("@{0}: Could not cancel order for OrigClOrdId {1} because it was not found", BitmexConfiguration.Name, origClOrderId));
}
}
return(CMState.BuildSuccess());
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error cancelig order {1}!:{2}", BitmexConfiguration.Name, origClOrderId, ex.Message), Main.Common.Util.Constants.MessageType.Error);
return(CMState.BuildFail(ex));
}
}