private void getTSBarData(ref KaiTrade.Interfaces.ITSSet myTSSet)
{
CQGTimedBars myTimedBars;
CQGTimedBarsRequest myReq;
try
{
driverLog.Info("getTSBarData:" + myTSSet.ToString());
myTSSet.Status = KaiTrade.Interfaces.Status.opening;
myReq = m_CQGHostForm.CQGApp.CreateTimedBarsRequest();
// Get the CQG Instrument for the request
CQGInstrument instrument = GetInstrument(myTSSet.Mnemonic);
if (instrument == null)
{
instrument = GetInstrumentWithMnemonic(myTSSet.Mnemonic);
if (instrument == null)
{
Exception myE = new Exception("Invalid instrument");
throw myE;
}
}
myReq.Symbol = instrument.FullName;
switch (myTSSet.RangeType)
{
case KaiTrade.Interfaces.TSRangeType.IntInt:
myReq.RangeStart = myTSSet.IntStart;
myReq.RangeEnd = myTSSet.IntEnd;
break;
case KaiTrade.Interfaces.TSRangeType.DateInt:
myReq.RangeStart = myTSSet.DateTimeStart;
myReq.RangeEnd = myTSSet.IntEnd;
break;
case KaiTrade.Interfaces.TSRangeType.DateDate:
myReq.RangeStart = myTSSet.DateTimeStart;
myReq.RangeEnd = myTSSet.DateTimeEnd;
break;
default:
break;
}
myReq.IncludeEnd = myTSSet.IncludeEnd;
int interval;
if (isIntraDay(out interval, myTSSet.Period))
{
myTSSet.IntraDayInterval = interval;
myReq.IntradayPeriod = myTSSet.IntraDayInterval;
}
else
{
switch (myTSSet.Period)
{
case KaiTrade.Interfaces.TSPeriod.Day:
myReq.HistoricalPeriod = eHistoricalPeriod.hpDaily;
break;
case KaiTrade.Interfaces.TSPeriod.Week:
myReq.HistoricalPeriod = eHistoricalPeriod.hpWeekly;
break;
case KaiTrade.Interfaces.TSPeriod.Month:
myReq.HistoricalPeriod = eHistoricalPeriod.hpMonthly;
break;
case KaiTrade.Interfaces.TSPeriod.Quarter:
myReq.HistoricalPeriod = eHistoricalPeriod.hpQuarterly;
break;
case KaiTrade.Interfaces.TSPeriod.SemiYear:
myReq.HistoricalPeriod = eHistoricalPeriod.hpSemiannual;
break;
case KaiTrade.Interfaces.TSPeriod.Year:
myReq.HistoricalPeriod = eHistoricalPeriod.hpYearly;
break;
default:
myReq.HistoricalPeriod = eHistoricalPeriod.hpUndefined;
break;
}
}
// Not used
myReq.Continuation = eTimeSeriesContinuationType.tsctNoContinuation;
myReq.EqualizeCloses = true;
myReq.DaysBeforeExpiration = 0;
myReq.UpdatesEnabled = myTSSet.UpdatesEnabled;
myReq.SessionsFilter = 0;
switch (myTSSet.TSSessionFlags)
{
case KaiTrade.Interfaces.TSSessionFlags.Undefined:
myReq.SessionFlags = eSessionFlag.sfUndefined;
break;
case KaiTrade.Interfaces.TSSessionFlags.DailySession:
myReq.SessionFlags = eSessionFlag.sfDailyFromIntraday;
break;
default:
myReq.SessionFlags = eSessionFlag.sfUndefined;
break;
}
myReq.SessionsFilter = (int)myTSSet.TSSessionFilter;
// depending of the type of request
myTimedBars = m_CQGHostForm.CQGApp.RequestTimedBars(myReq);
myTSSet.ExternalID = myTimedBars.Id;
myTSSet.ExternalRef = myTimedBars;
m_TSSets.Add(myTSSet.ExternalID, myTSSet);
driverLog.Info("getTSBarData completed cqgid:" + myTimedBars.Id.ToString() + ":" + myTimedBars.Status.ToString());
}
catch (Exception myE)
{
log.Error("getTSBarData", myE);
this.SendStatusMessage(KaiTrade.Interfaces.Status.open, "getTSBarData" + myE.Message);
myTSSet.Status = KaiTrade.Interfaces.Status.error;
myTSSet.Text = myE.Message;
}
}
/// <summary>
/// Apply any change in status as a status message and
/// update to the internal status header
/// </summary>
/// <param name="myStatus"></param>
private void updateStatus(KaiTrade.Interfaces.Status myStatus)
{
try
{
// if the status has changes then do an
// status update
if (m_PubStatus != myStatus)
{
m_PubStatus = myStatus;
m_Status = new K2DataObjects.Field("STATUS", myStatus.ToString());
m_StatusInfo = new System.Collections.Generic.List<KaiTrade.Interfaces.IField>();
m_StatusInfo.Add(m_Status);
applyStatus(m_StatusInfo);
}
// then update the synthetic status field
doUpdate();
}
catch (Exception myE)
{
m_Log.Error("updateStatus", myE);
}
}
/// <summary>
/// submit a complete order for processing, note the order must have a
/// valid product and trade venue
/// </summary>
/// <param name="myOrder"></param>
public void SubmitOrder(KaiTrade.Interfaces.Order myOrder)
{
try
{
lock (this)
{
QuickFix.Message myNOS;
KaiTrade.Interfaces.Message myMsg;
string myDriverCode;
RenderOrderAsFix(out myNOS, out myMsg, out myDriverCode, myOrder);
try
{
if (myOrder.OCAGroupName.Length > 0)
{
KTAFacade.Instance().Factory.GetOCOManager().AddOrderOCO(myOrder, myOrder.OCAGroupName);
}
//Send the message
KaiTrade.Interfaces.Driver myDrv = AppFactory.Instance().GetDriverManager().GetDriver(myDriverCode);
if (myDrv != null)
{
// send the message for processing
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.neworder;
//SendDelegate mySend = new SendDelegate(myDrv.Send);
//IAsyncResult ar = mySend.BeginInvoke(myMsg, SRCallback, "123456789");
myDrv.Send(myMsg);
}
else
{
string myError = "Driver not found for code:" + myDriverCode;
m_Log.Error(myError);
Exception myE = new Exception(myError);
throw myE;
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("SubmitOrder:" + myOrder.ToString());
}
}
catch (Exception myE)
{
m_Log.Error("SubmitOrder:" + myOrder.Identity, myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
throw (myE);
}
}
}
catch (Exception myE)
{
m_Log.Error("SubmitOrder:", myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
throw (myE);
}
}
/// <summary>
/// Set the status of all subscriptions
/// </summary>
/// <param name="myStatus"></param>
protected override void setSubscriptionsStatus(KaiTrade.Interfaces.Status myStatus)
{
try
{
driverLog.Info("setSubscriptionsStatus:" + myStatus.ToString());
foreach (KaiTrade.Interfaces.ITSSet mySet in m_TSSets.Values)
{
mySet.Status = myStatus;
}
base.setSubscriptionsStatus(myStatus);
}
catch (Exception myE)
{
log.Error("setSubscriptionsStatus", myE);
}
}
/// <summary>
/// Disconnect a TSSet
/// </summary>
/// <param name="myTSSet"></param>
public override void DisconnectTSData(KaiTrade.Interfaces.ITSSet myTSSet)
{
try
{
driverLog.Info("DisconnectTSData:" + myTSSet.ToString());
if (myTSSet.ExternalRef != null)
{
switch (myTSSet.TSType)
{
case KaiTrade.Interfaces.TSType.BarData:
m_CQGHostForm.CQGApp.RemoveTimedBars(myTSSet.ExternalRef as CQGTimedBars);
break;
case KaiTrade.Interfaces.TSType.Condition:
m_CQGHostForm.CQGApp.RemoveCondition(myTSSet.ExternalRef as CQGCondition);
break;
case KaiTrade.Interfaces.TSType.StudyData:
m_CQGHostForm.CQGApp.RemoveCustomStudy(myTSSet.ExternalRef as CQGCustomStudy);
break;
case KaiTrade.Interfaces.TSType.Expression:
m_CQGHostForm.CQGApp.RemoveExpression(myTSSet.ExternalRef as CQGExpression);
break;
case KaiTrade.Interfaces.TSType.TradeSystem:
m_CQGHostForm.CQGApp.RemoveTradingSystem(myTSSet.ExternalRef as CQGTradingSystem);
break;
default:
break;
}
}
else
{
driverLog.Warn("Cannot disconnect set since no external ref provided");
}
driverLog.Info("DisconnectTSData:Exit");
}
catch (Exception myE)
{
log.Error("DisconnectTSData", myE);
this.SendStatusMessage(KaiTrade.Interfaces.Status.open, "DoGetTSData" + myE.Message);
}
}
/// <summary>
/// send a stuts message
/// </summary>
/// <param name="myState"></param>
/// <param name="myText"></param>
public void SendStatusMessage(KaiTrade.Interfaces.Status myState, string myText)
{
try
{
driverLog.Info(Name + ":" +myState.ToString() +":" + myText);
// update the base session status
UpdateStatus("DriverStatus", "", "", "", myState, myText);
IDriverStatusMessage myDSM;
setupStatus(out myDSM, myState, myText);
KaiTrade.Interfaces.IMessage statusMsg = new K2DataObjects.Message();
statusMsg.Format = "XML";
statusMsg.Label = "DriverStatus";
statusMsg.Data = JsonConvert.SerializeObject(myDSM);
SendStatusMessage(statusMsg);
_lastStatus = statusMsg;
}
catch(Exception myE)
{
log.Error("SendStatusMessage", myE);
}
}
/// <summary>
/// Set the status of all subscriptions
/// </summary>
/// <param name="myStatus"></param>
protected virtual void setSubscriptionsStatus(KaiTrade.Interfaces.Status myStatus)
{
try
{
driverLog.Info("setSubscriptionsStatus:" + myStatus.ToString());
foreach (KaiTrade.Interfaces.IPublisher myPub in _publisherRegister.Values)
{
myPub.Status = myStatus;
}
}
catch (Exception myE)
{
log.Error("setSubscriptionsStatus", myE);
}
}
