public TTOrder SendOrder(TTInstrument instrument, BuySell buySell, OrderType orderType, Quantity quantity, Price price)
{
TTOrder tto = null;
OrderRoute orderRoute = instrument.OrderRoute;
// If the order route has not been set for this instrument, see if there is
// an OrderRouteInfo for this market (user sets using SetOrderRouteInfo method)
if (instrument.OrderRoute == null && orderRouteInfo.ContainsKey(instrument.Market.Name))
{
OrderRouteInfo info = orderRouteInfo[instrument.Market.Name];
string orderFeedName = info.OrderFeedName;
AccountType accountType = (AccountType)Enum.Parse(typeof(AccountType), info.AccountTypeName);
string accountName = info.AccountName;
OrderFeed feedToUse = null;
foreach (OrderFeed feed in instrument.EnabledOrderFeeds)
{
if (feed.Name.Equals(orderFeedName))
{
feedToUse = feed;
break;
}
}
orderRoute = new OrderRoute(feedToUse, accountType, accountName);
}
OrderProfile prof = new OrderProfile(orderRoute.OrderFeed, instrument.TTAPI_Instrument);
prof.BuySell = buySell;
prof.OrderType = orderType;
prof.OrderQuantity = quantity;
prof.LimitPrice = price;
prof.AccountType = orderRoute.AccountType;
prof.AccountName = orderRoute.AccountName;
string tag = TTHelper.GetUniqueTag();
prof.OrderTag = tag;
instrument.TTAPI_Instrument.Session.SendOrder(prof);
// Loop here to wait for the order to be returned via the API callbacks
const int TIMEOUT_COUNT = 300;
for (int i = 0; i < TIMEOUT_COUNT; i++)
{
if (sentOrders.ContainsKey(tag))
{
tto = sentOrders[tag];
sentOrders.Remove(tag);
break;
}
Thread.Sleep(10);
}
return(tto);
}
void api_OnOrder(Instrument instrument, TTOrder order)
{
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnOrder(instrument, order);
});
return;
}
}
void tto_OnOrderModify(TTModify modify, TTOrder order, Price price, Quantity quantity)
{
switch (modify)
{
case TTModify.Price:
ModifyPrice(order, price);
break;
case TTModify.Quantity:
ModifyQuantity(order, quantity);
break;
}
}
public void ModifyQuantity(TTOrder order, Quantity quantity)
{
TTOrder tto = null;
string tag = order.Tag;
order.TTAPI_Order.ModifyQuantity(quantity);
// Loop here to wait for the order to be returned via the API callbacks
const int TIMEOUT_COUNT = 300;
for (int i = 0; i < TIMEOUT_COUNT; i++)
{
if (sentOrders.ContainsKey(tag))
{
tto = sentOrders[tag];
sentOrders.Remove(tag);
break;
}
Thread.Sleep(10);
}
}
private TTOrder NewTTOrder(Order order)
{
TTOrder tto;
string key = order.SiteOrderKey;
if (_ttOrders.ContainsKey(key))
{
tto = _ttOrders[key];
}
else
{
tto = new TTOrder(order);
tto.OnOrderModify += new TTOrderModifyHandler(tto_OnOrderModify);
//ttOrders.Add(key, tto);
//Console.WriteLine("ttOrders size: {0}", ttOrders.Count);
}
// Initialize any TTOrder fields here:
tto.Instrument = _ttInstruments[order.InstrumentKey];
tto.Key = key;
return(tto);
}
void processOrder(TTOrderStatus status, Order order, params Order[] orders)
{
TTOrder oldOrder = null;
// If this order's instrument is not yet in our dictionary, then add the instrument
// to our list and subscribe to the instrument updates if AutoSubscribeInstruments
// is true.
if (!_ttInstruments.ContainsKey(order.InstrumentKey))
{
if (AutoSubscribeInstruments)
{
//TODO: figure out how to subscribe to instruments here
//SubscribeToInstrument(order.InstrumentKey);
/*InstrumentLookupSubscription ils = new InstrumentLookupSubscription(apiSession, Dispatcher.Current, order.InstrumentKey);
* ils.Update += new EventHandler<InstrumentLookupSubscriptionEventArgs>(ils_Update);
* ils.Start();*/
}
TTInstrument tti = new TTInstrument(order.InstrumentKey);
_ttInstruments.Add(order.InstrumentKey, tti);
}
TTOrder tto;
if (_workingTTOrders.ContainsKey(order.SiteOrderKey))
{
tto = _workingTTOrders[order.SiteOrderKey];
}
else
{
tto = NewTTOrder(order);
}
tto.Status = status;
string orderKey = tto.Key;
// Maintain our working orders
switch (status)
{
case TTOrderStatus.Added:
_workingTTOrders[orderKey] = tto;
break;
case TTOrderStatus.Deleted:
case TTOrderStatus.Filled:
case TTOrderStatus.Rejected:
_workingTTOrders.Remove(orderKey);
break;
case TTOrderStatus.Updated:
oldOrder = tto.Clone();
tto.TTAPI_Order = orders[0];
//newOrder = NewTTOrder(orders[0]);
string newOrderKey = orders[0].SiteOrderKey;
_workingTTOrders.Remove(orderKey);
_workingTTOrders.Add(newOrderKey, tto);
System.Diagnostics.Debug.Assert(orderKey.Equals(newOrderKey));
break;
}
// When we send an order using the SendOrder method, the method creates a
// unique OrderTag and then blocks waiting for that order to be "created".
// It waits for it to appear in the sentOrders dictionary with the OrderTag
// that was generated as the key. This is the only way I could deduce to
// be able to return a TTOrder object to the caller of SendOrder since all
// the order sending methods appear to be asynchronous.
if (!order.OrderTag.Equals(""))
{
_sentOrders[order.OrderTag] = tto;
}
//Console.WriteLine("Working orders size: {0}", workingTTOrders.Count);
if (OnOrder != null)
{
OnOrder(status, _ttInstruments[order.InstrumentKey], tto, oldOrder);
}
}
