/// <summary>
/// Handle order events from IB
/// </summary>
private void HandleOrderStatusUpdates(object sender, IB.OrderStatusEventArgs update)
{
try
{
if (update.Status == IB.OrderStatus.PreSubmitted
|| update.Status == IB.OrderStatus.PendingSubmit)
{
return;
}
var status = ConvertOrderStatus(update.Status);
if (status != OrderStatus.PartiallyFilled &&
status != OrderStatus.Filled &&
status != OrderStatus.Canceled &&
status != OrderStatus.Submitted &&
status != OrderStatus.Invalid)
{
Log.Trace("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Status: " + status);
return;
}
if (status == OrderStatus.Invalid)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): ERROR -- " + update.OrderId);
}
var order = _orderProvider.GetOrderByBrokerageId(update.OrderId);
if (order == null)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to locate order with BrokerageID " + update.OrderId);
return;
}
// mark sells as negative quantities
var fillQuantity = order.Direction == OrderDirection.Buy ? update.Filled : -update.Filled;
var orderEvent = new OrderEvent(order, "Interactive Brokers Fill Event")
{
Status = status,
FillPrice = update.AverageFillPrice,
FillQuantity = fillQuantity
};
if (update.Remaining != 0)
{
orderEvent.Message += " - " + update.Remaining + " remaining";
}
// if we're able to add to our fixed length, unique queue then send the event
// otherwise it is a duplicate, so skip it
if (_recentOrderEvents.Add(orderEvent.ToString() + update.Remaining))
{
OnOrderEvent(orderEvent);
}
}
catch(InvalidOperationException err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to resolve executions for BrokerageID: " + update.OrderId + " - " + err.Message);
}
catch (Exception err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): " + err.Message);
}
}
/// <summary>
/// Handle order events from IB
/// </summary>
private void HandleOrderStatusUpdates(object sender, IB.OrderStatusEventArgs update)
{
try
{
var order = _orderProvider.GetOrderByBrokerageId(update.OrderId);
if (order == null)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to locate order with BrokerageID " + update.OrderId);
return;
}
var status = ConvertOrderStatus(update.Status);
if (order.Status == OrderStatus.Filled && update.Filled == 0 && update.Remaining == 0)
{
// we're done with this order, remove from our state
int value;
_orderFills.TryRemove(order.Id, out value);
}
var orderFee = 0m;
int filledThisTime;
lock (_orderFillsLock)
{
// lock since we're getting and updating in multiple operations
var currentFilled = _orderFills.GetOrAdd(order.Id, 0);
if (currentFilled == 0)
{
// apply order fees on the first fill event TODO: What about partial filled orders that get cancelled?
var security = _securityProvider.GetSecurity(order.Symbol);
orderFee = security.FeeModel.GetOrderFee(security, order);
}
filledThisTime = update.Filled - currentFilled;
_orderFills.AddOrUpdate(order.Id, currentFilled, (sym, filled) => update.Filled);
}
if (status == OrderStatus.Invalid)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): ERROR -- " + update.OrderId);
}
// set status based on filled this time
if (filledThisTime != 0)
{
status = update.Remaining != 0 ? OrderStatus.PartiallyFilled : OrderStatus.Filled;
}
// don't send empty fill events
else if (status == OrderStatus.PartiallyFilled || status == OrderStatus.Filled)
{
Log.Trace("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Ignored zero fill event: OrderId: " + update.OrderId + " Remaining: " + update.Remaining);
return;
}
// mark sells as negative quantities
var fillQuantity = order.Direction == OrderDirection.Buy ? filledThisTime : -filledThisTime;
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
var orderEvent = new OrderEvent(order, DateTime.UtcNow, orderFee, "Interactive Brokers Fill Event")
{
Status = status,
FillPrice = update.LastFillPrice,
FillQuantity = fillQuantity
};
if (update.Remaining != 0)
{
orderEvent.Message += " - " + update.Remaining + " remaining";
}
// if we're able to add to our fixed length, unique queue then send the event
// otherwise it is a duplicate, so skip it
if (_recentOrderEvents.Add(orderEvent.ToString() + update.Remaining))
{
OnOrderEvent(orderEvent);
}
}
catch(InvalidOperationException err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to resolve executions for BrokerageID: " + update.OrderId + " - " + err);
}
catch (Exception err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): " + err);
}
}
/// <summary>
/// Handle order events from IB
/// </summary>
private void HandleOrderStatusUpdates(object sender, IB.OrderStatusEventArgs update)
{
try
{
if (update.Status == IB.OrderStatus.PreSubmitted
|| update.Status == IB.OrderStatus.PendingSubmit)
{
return;
}
var status = ConvertOrderStatus(update.Status);
if (status != OrderStatus.PartiallyFilled &&
status != OrderStatus.Filled &&
status != OrderStatus.Canceled &&
status != OrderStatus.Submitted &&
status != OrderStatus.Invalid)
{
Log.Trace("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Status: " + status);
return;
}
if (status == OrderStatus.Invalid)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): ERROR -- " + update.OrderId);
}
var order = _orderProvider.GetOrderByBrokerageId(update.OrderId);
if (order == null)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to locate order with BrokerageID " + update.OrderId);
return;
}
int filledThisTime;
lock (_orderFillsLock)
{
// lock since we're getting and updating in multiple operations
var currentFilled = _orderFills.GetOrAdd(order.Symbol, 0);
filledThisTime = update.Filled - currentFilled;
_orderFills.AddOrUpdate(order.Symbol, currentFilled, (sym, filled) => update.Filled);
}
// don't send empty fill events
if (filledThisTime == 0 && (status == OrderStatus.PartiallyFilled || status == OrderStatus.Filled))
{
Log.Trace("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Ignored zero fill event: OrderId: " + update.OrderId + " Remaining: " + update.Remaining);
return;
}
// mark sells as negative quantities
var fillQuantity = order.Direction == OrderDirection.Buy ? filledThisTime : -filledThisTime;
const int orderFee = 0;
var orderEvent = new OrderEvent(order, DateTime.UtcNow, orderFee, "Interactive Brokers Fill Event")
{
Status = status,
FillPrice = update.LastFillPrice,
FillQuantity = fillQuantity
};
if (update.Remaining != 0)
{
orderEvent.Message += " - " + update.Remaining + " remaining";
}
// if we're able to add to our fixed length, unique queue then send the event
// otherwise it is a duplicate, so skip it
if (_recentOrderEvents.Add(orderEvent.ToString() + update.Remaining))
{
OnOrderEvent(orderEvent);
}
}
catch(InvalidOperationException err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): Unable to resolve executions for BrokerageID: " + update.OrderId + " - " + err);
}
catch (Exception err)
{
Log.Error("InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): " + err);
}
}
/// <summary>
/// Order fill event handler. On an order fill update the resulting information is passed to this method.
/// </summary>
/// <param name="orderEvent">Order event details containing details of the evemts</param>
/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
public override void OnOrderEvent(OrderEvent orderEvent)
{
Log(orderEvent.ToString());
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status == OrderStatus.Filled)
{
Log("FILLED:: " + Transactions.GetOrderById(orderEvent.OrderId) + " FILL PRICE:: " + orderEvent.FillPrice.SmartRounding());
}
else
{
Log(orderEvent.ToString());
Log("TICKET:: " + _tickets.Last());
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (_immediateCancellations.Contains(orderEvent.OrderId))
{
_immediateCancellations.Remove(orderEvent.OrderId);
Transactions.CancelOrder(orderEvent.OrderId);
}
if (orderEvent.Status == OrderStatus.Filled)
{
Log("FILLED:: " + Transactions.GetOrderById(orderEvent.OrderId) + " FILL PRICE:: " + orderEvent.FillPrice.SmartRounding());
}
else
{
Log(orderEvent.ToString());
}
}
public override void OnOrderEvent(Orders.OrderEvent orderEvent)
{
Log(orderEvent.ToString());
}
