//public System.Threading.AutoResetEvent get_ReEval()
//{
// return ReEval;
//}
public SysMan(Contract contract)
{
_Counter = 0;
_StartUp = true;
_instr = new Instrument(contract);
//Ticklist = new List<TagValue>();
BidPriList = new Queue <double>();
BidSizeList = new Queue <int>();
AskPriList = new Queue <double>();
AskSizeList = new Queue <int>();
LastPrice = new Queue <double>();
m_Matcher = new TradeMatcher(RoundTurnMethod.LIFO, 0.01);
_instr.PriceUpdate += OnInstrUpdate;
_instr.FillUpdate += OnInstrumentFill;
DecisionTimer = new System.Timers.Timer(15000);
DecisionTimer.Elapsed += OnTimedEvent;
DecisionTimer.AutoReset = true;
DecisionTimer.Enabled = true;
DecisionTimer.Start();
}
public PositionManager(TradeMatcher t)
{
positions = new Dictionary<Product, int>();
orderToFillMap = new Dictionary<Order, List<Fill>>();
unmatchedOrders = new List<Fill>();
matchedTrades = new List<Trade>();
brokers = new List<BrokerManager>();
tradeMatcher = t;
}
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 event FillEventHandler OnFill;
public SystemManager04()
{
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
// Create a new Instrument object.
m_Instrument = new Instrument();
m_Instrument.OnInstrumentUpdate += new OnInstrumentUpdateEventHandler(OnInstrumentUpdate);
m_Instrument.OnInstrumentFill += new OnInstrumentFillEventHandler(OnInstrumentFill);
// Create a new SortedList to hold the Tick objects.
m_TickList = new List <Tick>();
m_Position = 0;
m_Go = false;
m_Qty = 1;
}
// public event FillEventHandler OnFill;
public SystemManager04()
{
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
// Create a new Instrument object.
m_Instrument = new Instrument("ES", "201406", Instrument.InstrumentType.FUTURE);
m_Instrument.BidAskUpdate += new DataUpdateEventHandler(OnInstrumentUpdate);
m_Instrument.FillUpdate += new FillEventHandler(OnInstrumentFill);
// Create a new SortedList to hold the Tick objects.
m_TickList = new List <Tick>();
m_Position = 0;
m_Go = false;
m_Qty = 0;
}
// public event FillEventHandler OnFill;
public SystemManager03()
{
m_Matcher = new TradeMatcher(RoundTurnMethod.FIFO);
// Create a new Instrument object.
m_Instrument = new Instrument();
m_Instrument.OnInstrumentUpdate += new InstrumentUpdateEventHandler(OnInstrumentUpdate);
m_Instrument.OnFill += new FillEventHandler(OnInstrumentFill);
// Create a new SortedList to hold the Tick objects.
m_TickList = new List<Tick>();
m_Position = 0;
m_Go = false;
m_Qty = 0;
}
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;
}
