public void ShutDown()
{
m_Notify.OnNotifyUpdate -= new InstrNotifyClass.OnNotifyUpdateEventHandler(OnNotifyUpdate);
m_OrderSet.OnOrderFillData -= new OrderSetClass.OnOrderFillDataEventHandler(OnOrderFillData);
m_Notify = null;
m_Instr = null;
m_OrderSet = null;
}
private void OnUpdate( InstrNotifyClass pNotify, InstrObjClass pInstr )
{
// Get new data from the InstrObjClass using chatty calls here.
bidQtyText.Text = pInstr.get_Get( "BIDQTY" ).ToString();
bidPxText.Text = pInstr.get_Get("BID").ToString();
askPxText.Text = pInstr.get_Get("ASK").ToString();
askQtyText.Text = pInstr.get_Get("ASKQTY").ToString();
lastPxText.Text = pInstr.get_Get("LAST").ToString();
lastQtyText.Text = pInstr.get_Get("LASTQTY").ToString();
}
public Instrument()
{
//Trade matcher below set at FIFO, AvgCost
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
//dataGridView1.DataSource = m_Matcher.BuyTable;
//dataGridView2.DataSource = m_Matcher.SellTable;
//dataGridView3.DataSource = m_Matcher.RoundTurns;
// Create a new InstrObjClass object
//Making Calls to Trader API
m_Instr = new InstrObjClass("CME", "ES", InstrObjClass.ProdType.FUTURE, "Sep16", 125000);
// Create a new InstrNotifyClass object from the InstrObjClass object.
//subscribe to the observer
m_Notify = ( InstrNotifyClass )m_Instr.CreateNotifyObj;
// Enable price updates.
m_Notify.EnablePriceUpdates = true;
// Set UpdateFilter so event will fire anytime any one of these changes in the
// associated InstrObjClass object.
m_Notify.UpdateFilter = "LAST,LASTQTY";
// Subscribe to the OnNotifyUpdate event.
m_Notify.OnNotifyUpdate += new InstrNotifyClass.OnNotifyUpdateEventHandler(OnNotifyUpdate);
// Set the exchange, product, contract and product type.
// Open m_Instr.
m_Instr.Open(true);
// Create a new OrderSetClass object.
m_OrderSet = new OrderSetClass();
// Set the limits accordingly. If any of these limits is reached,
// trading through the API will be shut down automatically.
m_OrderSet.set_Set("MAXORDERS", 1000);
m_OrderSet.set_Set("MAXORDERQTY", 1000);
m_OrderSet.set_Set("MAXWORKING", 1000);
m_OrderSet.set_Set("MAXPOSITION", 1000);
// Enable deleting of orders. Enable the OnOrderFillData event. Enable order sending.
m_OrderSet.EnableOrderAutoDelete = true;
m_OrderSet.EnableOrderFillData = true;
m_OrderSet.EnableOrderSend = true;
// Subscribe to the OnOrderFillData event.
m_OrderSet.OnOrderFillData += new OrderSetClass.OnOrderFillDataEventHandler(OnOrderFillData);
// Open the m_OrderSet.
m_OrderSet.Open(true);
// Associate m_OrderSet with m_Instr.
m_Instr.OrderSet = m_OrderSet;
}
public Instrument()
{
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
// Create a new InstrObjClass object
m_Instr = new InstrObjClass();
// Create a new InstrNotifyClass object from the InstrObjectClass object.
m_Notify = (InstrNotifyClass)m_Instr.CreateNotifyObj;
// Enable price updates.
m_Notify.EnablePriceUpdates = true;
// Set UpdateFilter so event will fire anytime any one of these changes in the
// associated InstrObjClass object.
m_Notify.UpdateFilter = "LAST, LASTQTY";
// Subscribe to the OnNotifyUpdate event.
m_Notify.OnNotifyUpdate += new InstrNotifyClass.OnNotifyUpdateEventHandler(OnNotifyUpdate);
// Set the exchange, product, contract and product type.
m_Instr.Exchange = "CME";
m_Instr.Product = "ES";
m_Instr.Contract = "Sep12";
m_Instr.ProdType = "FUTURE";
// Open m_Instr.
m_Instr.Open(true);
// Create a new OrderSetClass object.
m_OrderSet = new OrderSetClass();
// Set the limits accordingly. If any of these limits is reached,
// trading through the API will be shut down automatically.
m_OrderSet.set_Set("MAXORDERS", 1000);
m_OrderSet.set_Set("MAXORDERQTY", 1000);
m_OrderSet.set_Set("MAXWORKING", 1000);
m_OrderSet.set_Set("MAXPOSITION", 1000);
// Enable deleting of orders. Enable the OnOrderFillData event. Enable order sending.
m_OrderSet.EnableOrderAutoDelete = true;
m_OrderSet.EnableOrderFillData = true;
m_OrderSet.EnableOrderSend = true;
// Subscribe to the OnOrderFillData event.
m_OrderSet.OnOrderFillData += new OrderSetClass.OnOrderFillDataEventHandler(OnOrderFillData);
// Open the m_OrderSet.
m_OrderSet.Open(true);
// Associate m_OrderSet with m_Instr.
m_Instr.OrderSet = m_OrderSet;
}
public Instrument()
{
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
// Create a new InstrObjClass object
m_Instr = new InstrObjClass();
// Create a new InstrNotifyClass object from the InstrObjectClass object.
m_Notify = (InstrNotifyClass)m_Instr.CreateNotifyObj;
// Enable price updates.
m_Notify.EnablePriceUpdates = true;
// Set UpdateFilter so event will fire anytime any one of these changes in the
// associated InstrObjClass object.
m_Notify.UpdateFilter = "LAST, LASTQTY";
// Subscribe to the OnNotifyUpdate event.
m_Notify.OnNotifyUpdate += new InstrNotifyClass.OnNotifyUpdateEventHandler(OnNotifyUpdate);
// Set the exchange, product, contract and product type.
m_Instr.Exchange = "CME";
m_Instr.Product = "ES";
m_Instr.Contract = "Sep12";
m_Instr.ProdType = "FUTURE";
// Open m_Instr.
m_Instr.Open(true);
// Create a new OrderSetClass object.
m_OrderSet = new OrderSetClass();
// Set the limits accordingly. If any of these limits is reached,
// trading through the API will be shut down automatically.
m_OrderSet.set_Set("MAXORDERS", 1000);
m_OrderSet.set_Set("MAXORDERQTY", 1000);
m_OrderSet.set_Set("MAXWORKING", 1000);
m_OrderSet.set_Set("MAXPOSITION", 1000);
// Enable deleting of orders. Enable the OnOrderFillData event. Enable order sending.
m_OrderSet.EnableOrderAutoDelete = true;
m_OrderSet.EnableOrderFillData = true;
m_OrderSet.EnableOrderSend = true;
// Subscribe to the OnOrderFillData event.
m_OrderSet.OnOrderFillData += new OrderSetClass.OnOrderFillDataEventHandler(OnOrderFillData);
// Open the m_OrderSet.
m_OrderSet.Open(true);
// Associate m_OrderSet with m_Instr.
m_Instr.OrderSet = m_OrderSet;
}
private void startButton_Click(System.Object sender, System.EventArgs e)
{
// Create a new InstrObjClass object
m_Instr = new InstrObjClass();
// Create a new InstrNotifyClass object from the InstrObjClass object.
m_Notify = ( InstrNotifyClass )m_Instr.CreateNotifyObj;
// Enable price updates.
m_Notify.EnablePriceUpdates = true;
// Set UpdateFilter so event will fire anytime any one of these changes in the
// associated InstrObjClass object.
m_Notify.UpdateFilter = "BIDQTY,BID,ASK,ASKQTY,LAST,LASTQTY";
// Subscribe to the OnNotifyUpdate event.
m_Notify.OnNotifyUpdate += new
InstrNotifyClass.OnNotifyUpdateEventHandler(this.OnUpdate);
// Set the exchange, product, contract and product type.
m_Instr.Exchange = "CME";
m_Instr.Product = "ES";
m_Instr.Contract = "Dec12";
m_Instr.ProdType = "FUTURE";
// Open m_Instr.
m_Instr.Open(true);
// Create a new OrderSetClass object.
m_OrderSet = new OrderSetClass();
// Set the limits accordingly. If any of these limits is reached,
// trading through the API will be shut down automatically.
m_OrderSet.set_Set("MAXORDERS", 1000);
m_OrderSet.set_Set("MAXORDERQTY", 1000);
m_OrderSet.set_Set("MAXWORKING", 1000);
m_OrderSet.set_Set("MAXPOSITION", 1000);
// Enable deleting of orders. Enable the OnOrderFillData event. Enable order sending.
m_OrderSet.EnableOrderAutoDelete = true;
m_OrderSet.EnableOrderFillData = true;
m_OrderSet.EnableOrderSend = true;
// Subscribe to the OnOrderFillData event.
m_OrderSet.OnOrderFillData += new
OrderSetClass.OnOrderFillDataEventHandler(this.OnFill);
// Open the m_OrderSet.
m_OrderSet.Open(true);
// Associate m_OrderSet with m_Instr.
m_Instr.OrderSet = m_OrderSet;
}
private void shutdown(object sender, EventArgs e)
{
// Shut down should include explicit object destruction.
m_Notify.OnNotifyUpdate -= new InstrNotifyClass.OnNotifyUpdateEventHandler(this.OnUpdate);
m_OrderSet.OnOrderFillData -= new OrderSetClass.OnOrderFillDataEventHandler(this.OnFill);
m_Instr = null;
m_OrderSet = null;
m_Notify = null;
GC.Collect();
}
private void OnNotifyUpdate(InstrNotifyClass pNotify, InstrObjClass pInstr)
{
Tick m_Tick = new Tick(DateTime.Now, Convert.ToDouble(pInstr.get_Get("LAST")), Convert.ToDouble(pInstr.get_Get("LASTQTY")));
OnInstrumentUpdate(m_Tick);
}
private void OnNotifyUpdate(InstrNotifyClass pNotify, InstrObjClass pInstr)
{
Tick m_Tick = new Tick(DateTime.Now, Convert.ToDouble(pInstr.get_Get("LAST")), Convert.ToDouble(pInstr.get_Get("LASTQTY")));
OnInstrumentUpdate(m_Tick);
}
public void ShutDown()
{
m_Notify.OnNotifyUpdate -= new InstrNotifyClass.OnNotifyUpdateEventHandler(OnNotifyUpdate);
m_OrderSet.OnOrderFillData -= new OrderSetClass.OnOrderFillDataEventHandler(OnOrderFillData);
m_Notify = null;
m_Instr = null;
m_OrderSet = null;
}
private void OnNotifyUpdate(InstrNotifyClass pNotify, InstrObjClass pInstr)
{
OnInstrumentUpdate();
}
