public void SerializeDeserialize()
{
// create object
string sym = "TST";
decimal price = 10;
int size = 100;
DateTime date = DateTime.Now;
TradeImpl t = new TradeImpl(sym, price, size, date);
long magicid = 555;
t.id = magicid;
t.Exchange = "NYMEX";
// serialize it for transmission
string msg = TradeImpl.Serialize(t);
// deserialize it
string threwexception = null;
Trade newtrade = null;
try
{
newtrade = TradeImpl.Deserialize(msg);
}
catch (Exception ex) { threwexception = ex.ToString(); }
Assert.That(threwexception == null, threwexception);
Assert.That(newtrade.isFilled, newtrade.ToString());
Assert.That(newtrade.isValid, newtrade.ToString());
Assert.That(newtrade.symbol == sym, newtrade.symbol);
Assert.That(newtrade.xprice == price, newtrade.xprice.ToString());
Assert.That(newtrade.xdate != 0);
Assert.That(newtrade.xtime != 0);
Assert.That(newtrade.xsize == size);
Assert.That(newtrade.id == magicid);
Assert.AreEqual(newtrade.ex,t.Exchange);
}
/// <summary>
/// Deserialize string to Trade
/// </summary>
/// <returns></returns>
public static Trade Deserialize(string message)
{
Trade t = null;
string[] rec = message.Split(',');
if (rec.Length < 14)
{
throw new InvalidTrade();
}
bool side = Convert.ToBoolean(rec[(int)TradeField.Side]);
int size = Convert.ToInt32(rec[(int)TradeField.Size]);
size = Math.Abs(size) * (side ? 1 : -1);
decimal xprice = Convert.ToDecimal(rec[(int)TradeField.Price], System.Globalization.CultureInfo.InvariantCulture);
string sym = rec[(int)TradeField.Symbol];
t = new TradeImpl(sym, xprice, size);
t.xdate = Convert.ToInt32(rec[(int)TradeField.xDate]);
t.xtime = Convert.ToInt32(rec[(int)TradeField.xTime]);
t.comment = rec[(int)TradeField.Comment];
t.Account = rec[(int)TradeField.Account];
t.LocalSymbol = rec[(int)TradeField.LocalSymbol];
t.id = Convert.ToInt64(rec[(int)TradeField.ID]);
t.ex = rec[(int)TradeField.Exch];
t.Currency = (CurrencyType)Enum.Parse(typeof(CurrencyType), rec[(int)TradeField.Currency]);
t.Security = (SecurityType)Enum.Parse(typeof(SecurityType), rec[(int)TradeField.Security]);
return(t);
}
protected void Setup()
{
lp = new PositionImpl(stock, entry, lsize);
sp = new PositionImpl(stock, entry, ssize);
//closing trades
lc = new TradeImpl(stock, last, lsize / -2);
sc = new TradeImpl(stock, last, -ssize);
}
/// <summary>
/// Serialize order as a string
/// </summary>
/// <returns></returns>
public static string Serialize(Order o)
{
if (o.isFilled)
{
return(TradeImpl.Serialize((Trade)o));
}
string[] r = new string[] { o.symbol, (o.side ? "true" : "false"), o.UnsignedSize.ToString(), o.price.ToString(), o.stopp.ToString(), o.comment, o.ex, o.Account, o.Security.ToString(), o.Currency.ToString(), o.LocalSymbol, o.id.ToString(), o.TIF, o.date.ToString(), o.time.ToString(), "", o.trail.ToString() };
return(string.Join(",", r));
}
public static Trade FromString(string tradestring, char delimiter)
{
string[] r = tradestring.Split(delimiter);
Trade t = new TradeImpl();
t.xdate = Convert.ToInt32(r[0]);
t.xtime = Convert.ToInt32(r[1]);
t.symbol = r[2];
t.Account = r[6];
t.xprice = Convert.ToDecimal(r[5]);
t.side = r[3] == "BUY";
t.xsize = Convert.ToInt32(r[4]);
return(t);
}
public void Construction()
{
TradeImpl t = new TradeImpl("TST",10,100,DateTime.Now);
Assert.That(t.isValid,t.ToString());
Assert.That(t.isFilled,t.ToString());
//midnight check
t.xdate = 20081205;
t.xtime = 0;
Assert.That(t.isValid);
t.xtime = 0;
t.xdate = 0;
Assert.That(!t.isValid);
}
public static Trade FromString(string tradestring, char delimiter)
{
string[] r = tradestring.Split(delimiter);
Trade t = new TradeImpl();
t.xdate = Convert.ToInt32(r[0], System.Globalization.CultureInfo.InvariantCulture);
t.xtime = Convert.ToInt32(r[1], System.Globalization.CultureInfo.InvariantCulture);
t.symbol = r[2];
t.Account = r[6];
t.xprice = Convert.ToDecimal(r[5], System.Globalization.CultureInfo.InvariantCulture);
t.side = r[3] == "BUY";
t.xsize = Convert.ToInt32(r[4], System.Globalization.CultureInfo.InvariantCulture);
return(t);
}
public void Basics()
{
PositionImpl p = new PositionImpl(s);
Assert.AreEqual(0,p.Size);
Assert.That(p.Symbol!="","hassymbol");
Assert.AreEqual(0,p.AvgPrice);
Assert.That(p.isFlat,"isflat");
Assert.That(p.isValid,"isvalid");
PositionImpl p2 = new PositionImpl(s, 10, 100,0);
PositionImpl p2copy = new PositionImpl(p2);
Assert.AreEqual(p2.AvgPrice, p2copy.AvgPrice);
Assert.AreEqual(p2.Size, p2copy.Size);
Assert.AreEqual(p2.ClosedPL, p2copy.ClosedPL);
Assert.AreEqual(p2.Symbol, p2copy.Symbol);
p.Adjust(p2);
Assert.That(p.Size == 100);
Assert.IsTrue(p.Symbol!="", "hassymbol");
Assert.That(p.AvgPrice == 10);
Assert.IsFalse(p.isFlat);
Assert.IsTrue(p.isLong);
Assert.IsTrue(p.isValid);
bool invalidexcept = false;
PositionImpl p3 = null;
try
{
p3 = new PositionImpl(s, 0, 100, 0);
}
catch
{
invalidexcept = true;
}
Assert.That(invalidexcept);
p3 = new PositionImpl(s, 12, 100,0);
p.Adjust(p3);
Assert.AreEqual(11,p.AvgPrice);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 200);
p.Adjust(new TradeImpl(s, 13, -100,dt));
Assert.That(p.AvgPrice == 11);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 100);
TradeImpl lasttrade = new TradeImpl(s, 12, -100,dt);
decimal profitFromP2toLASTTRADE = Calc.ClosePL(p2, lasttrade);
Assert.That(profitFromP2toLASTTRADE == (lasttrade.xprice-p2.AvgPrice)*Math.Abs(lasttrade.xsize));
}
public TradeImpl(TradeImpl copytrade)
{
// copy constructor, for copying using by-value (rather than by default of by-reference)
id = copytrade.id;
cur = copytrade.cur;
type = copytrade.type;
ex = copytrade.ex;
accountid = copytrade.accountid;
symbol = copytrade.symbol;
side = copytrade.side;
comment = copytrade.comment;
xsize = copytrade.xsize;
xprice = copytrade.xprice;
xtime = copytrade.xtime;
xdate = copytrade.xdate;
}
public void newFill(Trade trade, bool allclients)
{
// make sure our trade is filled and initialized properly
if (!trade.isValid)
{
debug("invalid trade: " + trade.ToString());
return;
}
for (int i = 0; i < client.Count; i++) // send tick to each client that has subscribed to tick's stock
{
if ((client[i] != null) && (allclients || (stocks[i].Contains(trade.symbol))))
{
TLSend(TradeImpl.Serialize(trade), MessageTypes.EXECUTENOTIFY, i);
}
}
}
public TradeImpl(TradeImpl copytrade)
{
// copy constructor, for copying using by-value (rather than by default of by-reference)
id = copytrade.id;
cur = copytrade.cur;
type = copytrade.type;
ex = copytrade.ex;
accountid = copytrade.accountid;
symbol = copytrade.symbol;
side = copytrade.side;
comment = copytrade.comment;
xsize = copytrade.xsize;
xprice = copytrade.xprice;
xtime = copytrade.xtime;
xdate = copytrade.xdate;
}
public void PositionAccountTest()
{
TradeImpl t = new TradeImpl("TST", 100, 100);
t.Account = "ME";
TradeImpl t2 = new TradeImpl("TST", 200, 200);
Assert.That(t.isValid);
Assert.That(t2.isValid);
t2.Account = "HIM";
PositionImpl p = new PositionImpl(t);
p.Adjust(t);
bool failed = false; try
{
p.Adjust(t2);
}
catch (Exception) { failed = true; }
Assert.IsTrue(failed);
}
public void InitAndAdjust()
{
const string sym = "IBM";
// startup position tracker
PositionTracker pt = new PositionTracker();
PositionTracker pt2 = new PositionTracker();
// give pt our initial position
Position init = new PositionImpl(sym, 0, 0);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
Trade fill = new TradeImpl(sym,100, 100);
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.AreEqual(100, pt[sym].Size);
Assert.AreEqual(100, pt2[sym].Size);
}
public void Adjust()
{
const string s = "IBM";
TradeImpl t1 = new TradeImpl(s, 100, 100);
PositionTracker pt = new PositionTracker();
// make we have no position yet
Assert.IsTrue(pt[t1.symbol].isFlat);
// send some adjustments
decimal cpl = 0;
cpl += pt.Adjust(t1);
cpl += pt.Adjust(t1);
// verify that adjustments took hold
Assert.AreEqual(0, cpl);
Assert.AreEqual(200, pt[t1.symbol].Size);
}
public void RoundTurnStat()
{
rt = new Results();
// get some trades
Trade[] fills = new TradeImpl[] {
// go long
new TradeImpl(sym,p,s),
// increase bet
new TradeImpl(sym,p+inc,s*2),
// take some profits
new TradeImpl(sym,p+inc*2,s*-1),
// go flat (round turn)
new TradeImpl(sym,p+inc*2,s*-2),
// go short
new TradeImpl(sym,p,s*-2),
// decrease bet
new TradeImpl(sym,p,s),
// exit (round turn)
new TradeImpl(sym,p+inc,s),
// do another entry
new TradeImpl(sym,p,s)
};
// compute results
foreach (Trade fill in fills)
rt.GotFill(fill);
rt = rt.FetchResults();
// check trade count
Assert.AreEqual(fills.Length, rt.Trades, "trade is missing from results");
// check round turn count
Assert.AreEqual(2, rt.RoundTurns, "missing round turns");
// verify trade winners
Assert.AreEqual(2, rt.Winners,"missing trade winner");
// verify round turn winners
Assert.AreEqual(1, rt.RoundWinners, "missing round turn winners");
// verify round turn losers
Assert.AreEqual(1, rt.RoundLosers, "missing round turn loser");
}
public void newFill(Trade trade, bool allclients)
{
if (this.InvokeRequired)
{
this.Invoke(new tlnewfilldelegate(newFill), new object[] { trade, allclients });
}
else
{
// make sure our trade is filled and initialized properly
if (!trade.isValid)
{
return;
}
for (int i = 0; i < client.Count; i++) // send tick to each client that has subscribed to tick's stock
{
if ((client[i] != null) && (allclients || (stocks[i].Contains(trade.symbol))))
{
WMUtil.SendMsg(TradeImpl.Serialize(trade), MessageTypes.EXECUTENOTIFY, Handle, client[i]);
}
}
}
}
public void MaxDD()
{
PositionTracker pt = new PositionTracker();
const string sym = "TST";
System.Collections.Generic.List<TradeLink.API.Trade> fills = new System.Collections.Generic.List<TradeLink.API.Trade>();
TradeImpl t = new TradeImpl(sym,10,100);
System.Collections.Generic.List<decimal> ret = new System.Collections.Generic.List<decimal>();
fills.Add(t);
pt.Adjust(t);
t = new TradeImpl(sym, 11, -100);
fills.Add(t);
ret.Add(pt.Adjust(t));
t = new TradeImpl(sym, 11, -100);
pt.Adjust(t);
fills.Add(t);
t = new TradeImpl(sym, 13, 100);
fills.Add(t);
ret.Add(pt.Adjust(t));
decimal maxdd = Calc.MaxDDVal(ret.ToArray());
decimal maxddp = Calc.MaxDDPct(fills);
Assert.AreEqual(-300,maxdd);
Assert.AreEqual(-.18m,Math.Round(maxddp,2));
}
void MessageCache_CacheEvent(int action, int row)
{
switch (action)
{
case 1: //CN_Submit
break;
case 4: //CN_Insert
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderReferenceNumber = String.Empty;
Order o = new OrderImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
o.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
v("order side: "+cv.ToString());
if (cv.ToString() == "BUY")
{
o.side = true;
}
else if (cv.ToString() == "SELL")
{
o.side = false;
}
else if (cv.ToString().Contains("SHORT"))
{
o.side = false;
}
}
_messageCache.VBGetCell(row, "QUANTITY", ref cv, ref err);
if (!(cv == null))
{
o.size = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "PRICE", ref cv, ref err);
if (!(cv == null))
{
o.price = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "STOPPRICE", ref cv, ref err);
if (!(cv == null))
{
o.stopp = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
o.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
orderReferenceNumber = cv.ToString();
}
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "Open")
{
o.id = row;
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
o.time = ((int)(rem % 10000)) * 100 + xsec;
o.date = (int)((rem - o.time) / 10000);
o.size = o.side ? o.UnsignedSize : o.UnsignedSize * -1;
OrderIdDict.Add(orderReferenceNumber, (long)row);
if (_onotified.Contains((int)row)) return;
_onotified.Add(o.id);
tl.newOrder(o);
v("order ack received and sent: " + o.ToString());
}
else if (cv.ToString() == "Canceled")
{
long id = OrderIdDict[orderReferenceNumber];
tl.newCancel(id);
v("order cancel ack received and sent: " + id);
}
else if (cv.ToString() == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
f.id = id;
else
f.id = _idt.AssignId;
f.id = id;
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (!(cv == null))
{
f.xprice = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "BUY")
{
f.side = true;
}
else if (cv.ToString() == "SELL")
{
f.side = false;
}
else if (cv.ToString().Contains("SHORT"))
{
f.side = false;
}
else
v("invalid fill side: " + cv.ToString());
}
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
debug("ignoring invalid fill: " + f.ToString());
}
}
}
catch (Exception ex)
{
debug(ex.Message+ex.StackTrace);
}
}
break;
case 5: //CN_Update
{
try
{
int i = row;
int err = 0;
object cv = null;
string orderStatus = null;
_messageCache.VBGetCell(row, "Status", ref cv, ref err);
if (!(cv == null))
{
orderStatus = cv.ToString();
}
if (orderStatus == "Complete")
{
Trade f = new TradeImpl();
_messageCache.VBGetCell(row, "SYMBOL", ref cv, ref err);
if (!(cv == null))
{
f.symbol = cv.ToString();
}
_messageCache.VBGetCell(row, "ACCOUNT", ref cv, ref err);
if (!(cv == null))
{
f.Account = cv.ToString();
}
_messageCache.VBGetCell(row, "BRSEQ", ref cv, ref err);
if (!(cv == null))
{
long id = 0;
if (OrderIdDict.TryGetValue(cv.ToString(), out id))
f.id = id;
else
f.id = _idt.AssignId;
f.id = id;
}
_messageCache.VBGetCell(row, "EXECPRICE", ref cv, ref err);
if (!(cv == null))
{
f.xprice = decimal.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXECQUANTITY", ref cv, ref err);
if (!(cv == null))
{
f.xsize = int.Parse(cv.ToString());
}
_messageCache.VBGetCell(row, "EXCHANGE", ref cv, ref err);
if (!(cv == null))
{
f.ex = cv.ToString();
}
_messageCache.VBGetCell(row, "SIDE", ref cv, ref err);
if (!(cv == null))
{
if (cv.ToString() == "BUY")
{
f.side = true;
}
else if (cv.ToString() == "SELL")
{
f.side = false;
}
}
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
Object objErr = null;
_positionCache.VBRediCache.AddWatch(2, string.Empty, f.Account, ref objErr);
if (f.isValid)
{
pt.Adjust(f);
tl.newFill(f);
v("fill ack received and sent: " + f.ToString());
}
else
debug("ignoring invalid fill: " + f.ToString());
}
if (orderStatus == "Partial")
{
}
}
catch (Exception exc)
{
debug(exc.Message);
}
}
break;
case 8: //CN_Remove
break;
}
}
public void MultipleAccount()
{
// setup defaults for 1st and 2nd accounts and positions
string sym = "TST";
string a1 = "account1";
string a2 = "account2";
int s1 = 300;
int s2 = 500;
decimal p = 100m;
// create position tracker
PositionTracker pt = new PositionTracker();
// set initial position in 1st account
pt.Adjust(new PositionImpl(sym, p, s1, 0, a1));
// set initial position in 2nd account
pt.Adjust(new PositionImpl(sym, p, s2, 0, a2));
// verify I can query default account and it's correct
Assert.AreEqual(s1, pt[sym].Size);
// change default to 2nd account
pt.DefaultAccount = a2;
// verify I can query default and it's correct
Assert.AreEqual(s2, pt[sym].Size);
// verify I can query 1st account and correct
Assert.AreEqual(s1, pt[sym,a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2, pt[sym,a2].Size);
// get fill in sym for 1st account
TradeImpl f = new TradeImpl(sym, p, s1);
f.Account = a1;
pt.Adjust(f);
// get fill in sym for 2nd account
TradeImpl f2 = new TradeImpl(sym, p, s2);
f2.Account = a2;
pt.Adjust(f2);
// verify that I can querry 1st account and correct
Assert.AreEqual(s1*2, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2*2, pt[sym, a2].Size);
// reset
pt.Clear();
// ensure I can query first and second account and get flat symbols
Assert.AreEqual(0, pt[sym].Size);
Assert.AreEqual(0, pt[sym, a1].Size);
Assert.AreEqual(0, pt[sym, a2].Size);
Assert.IsTrue(pt[sym, a1].isFlat);
Assert.IsTrue(pt[sym, a2].isFlat);
Assert.IsTrue(pt[sym].isFlat);
Assert.AreEqual(string.Empty, pt.DefaultAccount);
}
public override void FillReport(OrderFillReport oReport)
{
Trade t = new TradeImpl(oReport.Symbol, (decimal)oReport.FillPrice, oReport.FillSize);
t.id = Convert.ToInt64(oReport.Tag);
t.ex = oReport.Exchange;
t.Account = oReport.Account.AccountId;
t.xdate = Util.ToTLDate();
t.xtime = Util.ToTLTime();
tl.newFill(t);
}
void m_Session_OnExecutionMessage(object sender, BWExecution executionMsg)
{
foreach (KeyValuePair<long,int> ordID in _bwOrdIds)
if ( ordID.Value == executionMsg.OrderID)
{
Trade t = new TradeImpl(executionMsg.Symbol, (decimal)executionMsg.Price, executionMsg.Size);
t.side = (executionMsg.Side == ORDER_SIDE.SIDE_COVER) || (executionMsg.Side == ORDER_SIDE.SIDE_BUY);
t.xtime = TradeLink.Common.Util.DT2FT(executionMsg.ExecutionTime);
t.xdate = TradeLink.Common.Util.ToTLDate(executionMsg.ExecutionTime);
t.Account = executionMsg.UserID.ToString();
t.id = ordID.Key;
t.ex = executionMsg.MarketMaker;
tl.newFill(t);
v(t.symbol + " sent fill notification for: " + t.ToString());
}
}
private void TradeHandler(object sender, TradeArgs e)
{
itemTrade itrade = e.ItemTrade;
// Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = itrade.msecsym;
itemOrder lorder =socketOrderServer.sitemOrder.FindItem(itrade.morderid);
if (lorder== null) return;
trade.side = lorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(itrade.mprice);
trade.xsize = itrade.mqty;
DateTime mdate = ComFucs.GetDate(itrade.mm_date);
trade.Account = "";
trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
tl.newFill(trade);
v(trade.symbol+" received fill ack for: " + trade.ToString());
}
public void Defaults()
{
TradeImpl t = new TradeImpl();
Assert.That(!t.isValid, t.ToString());
Assert.That(!t.isFilled, t.ToString());
}
public void NoResendPartial()
{
// reset "book"
reset();
// make sure offsets don't exist
Assert.AreEqual(0, profits.Count);
Assert.AreEqual(0, stops.Count);
// setup offset defaults
ot.DefaultOffset = SampleOffset();
// send position update to generate offsets
ot.Adjust(new PositionImpl(SYM, PRICE, SIZE));
// verify orders exist
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
Order profit = profits[0];
Order stop = stops[0];
// verify profit offset
Assert.IsTrue(profit.isValid);
Assert.AreEqual(PRICE + POFFSET, profit.price);
Assert.AreEqual(SIZE, profit.UnsignedSize);
// verify stop offset
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE, stop.UnsignedSize);
// send position update
ot.Adjust(new TradeImpl(SYM, PRICE + 2, SIZE));
// tick
ot.newTick(nt());
// verify only one order exists
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
profit = profits[0];
stop = stops[0];
// verify profit offset
Assert.IsTrue(profit.isValid);
Assert.AreEqual(PRICE + 1 + POFFSET, profit.price);
Assert.AreEqual(SIZE * 2, profit.UnsignedSize);
// verify stop offset
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE + 1 - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE * 2, stop.UnsignedSize);
// get ids before we hit profit
long pid = profit.id;
long sid = stop.id;
// partial hit the profit order
Trade t = new TradeImpl(SYM, PRICE + 1, -1 * SIZE);
t.id = pid;
ot.Adjust(t);
// tick
ot.newTick(nt());
// verify only one order exists on each side
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
profit = profits[0];
stop = stops[0];
// verify profit offset and it should be same id
Assert.AreEqual(pid, profit.id);
Assert.IsTrue(profit.isValid);
// verify stop offset (id should change)
Assert.AreNotEqual(sid, stop.id);
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE + 1 - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE, stop.UnsignedSize);
}
void dofillupdate(ref structSTITradeUpdate t)
{
Trade f = new TradeImpl();
f.symbol = t.bstrSymbol;
f.Account = t.bstrAccount;
long id = 0;
if (long.TryParse(t.bstrClOrderId, out id))
f.id = id;
else
f.id = t.nOrderRecordId;
f.xprice = (decimal)t.fExecPrice;
f.xsize = t.nQuantity;
long now = Convert.ToInt64(t.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.side = t.bstrSide == "B";
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
f.ex = t.bstrDestination;
pt.Adjust(f);
tl.newFill(f);
if (VerboseDebugging)
debug("new trade sent: " + f.ToString() + " " + f.id);
}
void broker_GotFill(TradeImpl t)
{
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
string[] r = msg.Split(',');
switch (tlm.type)
{
case MessageTypes.ORDERCANCELRESPONSE:
if (gotOrderCancel != null)
{
gotOrderCancel(Convert.ToUInt32(msg));
}
break;
case MessageTypes.TICKNOTIFY:
Tick t = TickImpl.Deserialize(msg);
if (t.isTrade)
{
try
{
if (t.trade > chighs[t.symbol])
{
chighs[t.symbol] = t.trade;
}
if (t.trade < clows[t.symbol])
{
clows[t.symbol] = t.trade;
}
}
catch (KeyNotFoundException)
{
chighs.Add(t.symbol, 0);
clows.Add(t.symbol, decimal.MaxValue);
}
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.POSITIONRESPONSE:
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotSupportedFeatures != null)
{
gotSupportedFeatures(f.ToArray());
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
public static Trade FromString(string tradestring, char delimiter)
{
string[] r = tradestring.Split(delimiter);
Trade t = new TradeImpl();
t.xdate = Convert.ToInt32(r[0], System.Globalization.CultureInfo.InvariantCulture);
t.xtime = Convert.ToInt32(r[1], System.Globalization.CultureInfo.InvariantCulture);
t.symbol = r[2];
t.Account = r[6];
t.xprice = Convert.ToDecimal(r[5], System.Globalization.CultureInfo.InvariantCulture);
t.side = r[3]=="BUY";
t.xsize = Convert.ToInt32(r[4], System.Globalization.CultureInfo.InvariantCulture);
return t;
}
void handle(MessageTypes type, string msg)
{
long result = 0;
switch (type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
_lastheartbeat = DateTime.Now.Ticks;
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
_lastheartbeat = DateTime.Now.Ticks;
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
_lastheartbeat = DateTime.Now.Ticks;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.HEARTBEATRESPONSE:
{
_lastheartbeat = DateTime.Now.Ticks;
v("got heartbeat response at: " + _lastheartbeat);
_recvheartbeat = !_recvheartbeat;
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
_lastheartbeat = DateTime.Now.Ticks;
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
_rfl.Clear();
foreach (string s in p)
{
try
{
MessageTypes mt = (MessageTypes)Convert.ToInt32(s);
f.Add(mt);
_rfl.Add(mt);
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
_lastheartbeat = DateTime.Now.Ticks;
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, 0, 0, 0, string.Empty, ref msg);
}
break;
}
result = 0;
}
void dofillupdate(ref structSTITradeUpdate t)
{
Trade f = new TradeImpl();
string ssym = t.bstrSymbol;
if (UseSubscribedSymbolForNotify)
{
int idx = getlongsymbolidx(ssym);
// check for error
if ((idx < 0) || (idx >= syms.Length))
{
debug(ssym + " fill ack error identifying symbol idx: " + idx + " symbols: " + string.Join(",", syms));
f.symbol = ssym;
}
else
f.symbol = syms[idx];
}
else
f.symbol = ssym;
f.Account = t.bstrAccount;
long id = 0;
if (long.TryParse(t.bstrClOrderId, out id))
f.id = id;
else
f.id = t.nOrderRecordId;
f.xprice = (decimal)t.fExecPrice;
f.xsize = t.nQuantity;
long now = Convert.ToInt64(t.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.side = t.bstrSide == "B";
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
f.ex = t.bstrDestination;
pt.Adjust(f);
if (RegSHOShorts)
sho.GotFill(f);
tl.newFill(f);
if (VerboseDebugging)
debug("new trade sent: " + f.ToString() +" pos: "+pt[f.symbol,f.Account]);
}
/// <summary>
/// Deserialize string to Trade
/// </summary>
/// <returns></returns>
public static Trade Deserialize(string message)
{
Trade t = null;
string[] rec = message.Split(',');
if (rec.Length < 14) throw new InvalidTrade();
bool side = Convert.ToBoolean(rec[(int)TradeField.Side]);
int size = Convert.ToInt32(rec[(int)TradeField.Size]);
size = Math.Abs(size) * (side ? 1 : -1);
decimal xprice = Convert.ToDecimal(rec[(int)TradeField.Price],System.Globalization.CultureInfo.InvariantCulture);
string sym = rec[(int)TradeField.Symbol];
t = new TradeImpl(sym, xprice, size);
t.xdate = Convert.ToInt32(rec[(int)TradeField.xDate]);
t.xtime = Convert.ToInt32(rec[(int)TradeField.xTime]);
t.comment = rec[(int)TradeField.Comment];
t.Account = rec[(int)TradeField.Account];
t.LocalSymbol = rec[(int)TradeField.LocalSymbol];
t.id = Convert.ToUInt32(rec[(int)TradeField.ID]);
t.ex = rec[(int)TradeField.Exch];
t.Currency = (CurrencyType)Enum.Parse(typeof(CurrencyType), rec[(int)TradeField.Currency]);
t.Security = (SecurityType)Enum.Parse(typeof(SecurityType), rec[(int)TradeField.Security]);
return t;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
switch (tlm.type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
try
{
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
}
catch (Exception ex)
{
debug("error deserializing fill: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.ORDERNOTIFY:
try
{
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
}
catch (Exception ex)
{
debug("error deserializing order: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
public static Trade FromString(string tradestring, char delimiter)
{
string[] r = tradestring.Split(delimiter);
Trade t = new TradeImpl();
t.xdate = Convert.ToInt32(r[0]);
t.xtime = Convert.ToInt32(r[1]);
t.symbol = r[2];
t.comment = r[6];
t.xprice = Convert.ToDecimal(r[5]);
t.side = r[3]=="BUY";
t.xsize = Convert.ToInt32(r[4]);
return t;
}
TradeImpl ToTradeLinkFill(MbtOpenOrder pOrd, MbtOrderHistory pHist)
{
//debug(String.Format("pOrd\n{0}\n\npHist\n{1}", Util.DumpObjectProperties(pOrd), Util.DumpObjectProperties(pHist)));
debug(String.Format("pOrd: {0}", DisplayOrder(pOrd)));
//TODO:Add hstory to this debug
TradeImpl f = new TradeImpl();
f.symbol = pOrd.Symbol;
f.Account = pOrd.Account.Account;
//f.xprice = (pOrd.Price > 0) ? (decimal)pOrd.Price : (decimal)pOrd.StopLimit;
//f.xprice = Math.Abs((decimal)pOrd.Price);
f.xprice = (decimal)pHist.Price;
//f.xsize = pHist.Event == "Executed" ? pHist.Quantity : pHist.SharesFilled;
f.xsize = pHist.Quantity;
f.side = (pOrd.BuySell == MBConst.VALUE_BUY);
f.xtime = Util.DT2FT(pOrd.UTCDateTime);
f.xdate = Util.ToTLDate(pOrd.UTCDateTime);
long tlid = 0;
if (broker2tl.TryGetValue(pOrd.OrderNumber, out tlid))
f.id = tlid;
else
debug(String.Format("WARNING: No order matching fill for pOrd.OrderNumber {0}", pOrd.OrderNumber));
//debug(String.Format("New fill {1}\n is valid:{0}\ndump:{2}", f.isValid, f.ToString(), Util.DumpObjectProperties(f)));
debug(String.Format("New fill {1} is valid? {0}", f.isValid, f.ToString()));
return f;
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendorders == 0) return 0;
if (!tick.isTrade && !_usebidaskfill) return 0;
int filledorders = 0;
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts, 0);
for (int idx = 0; idx < accts.Length; idx++)
{ // go through each account
Account a = accts[idx];
// if account has requested no executions, skip it
if (!a.Execute) continue;
// make sure we have a record for this account
if (!MasterTrades.ContainsKey(a.ID))
MasterTrades.Add(a.ID, new List<Trade>());
// track orders being removed and trades that need notification
List<int> notifytrade = new List<int>();
List<int> remove = new List<int>();
// go through each order in the account
for (int i = 0; i < MasterOrders[a].Count; i++)
{
Order o = MasterOrders[a][i];
if (tick.symbol != o.symbol) continue; //make sure tick is for the right stock
bool filled = false;
if (o.TIF == "OPG")
{
// if it's already opened, we missed our shot
if (hasopened.Contains(o.symbol)) continue;
// otherwise make sure it's really the opening
if (((o.symbol.Length < 4) && (tick.ex.Contains("NYS"))) ||
(o.symbol.Length > 3))
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick,_usebidaskfill, true);
// mark this symbol as already being open
hasopened.Add(tick.symbol);
}
}
else // otherwise fill order normally
filled = o.Fill(tick,_usebidaskfill,false); // fill our trade
if (filled)
{
// remove filled size from size available in trade
tick.size -= o.UnsignedSize;
// get copy of trade for recording
Trade trade = new TradeImpl((Trade)o);
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
remove.Add(i);
else // otherwise reflect order's remaining size
o.size = (o.UnsignedSize - trade.UnsignedSize) * (o.side ? 1 : -1);
// record trade
MasterTrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(MasterTrades[a.ID].Count-1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
MasterOrders[a].RemoveAt(remove[i]);
// unmark filled orders as pending
_pendorders -= rmcount;
if (_pendorders < 0) _pendorders = 0;
// notify subscribers of trade
if ((GotFill != null) && a.Notify)
for (int tradeidx = 0; tradeidx<notifytrade.Count; tradeidx++)
GotFill(MasterTrades[a.ID][notifytrade[tradeidx]]);
}
return filledorders;
}
public void FlipSideInOneTrade()
{
// this is illegal on the exchanges, but supported by certain
// retail brokers so we're going to allow tradelink to support it
// BE CAREFUL WITH THIS FEATURE. make sure you won't be fined for doing this, before you do it.
string s = "IBM";
// long position
PositionImpl p = new PositionImpl(s, 100m,200);
// sell more than we've got to change sides
TradeImpl flip = new TradeImpl(s, 99, -400);
decimal cpl = p.Adjust(flip);
// make sure we captured close of trade
Assert.AreEqual(-200, cpl);
// make sure we captured new side and price
Assert.AreEqual(-200, p.Size);
Assert.AreEqual(99, p.AvgPrice);
}
protected virtual int OnStockExecMsgTrade(UInt32 hStock, GTSession.GTTrade32 trade)
{
// map a trade object
Trade t = new TradeImpl(trade.szStock, (decimal)trade.dblExecPrice, trade.nExecShares);
// map remaining fields
t.Account = trade.szAccountID;
t.id = (uint)trade.dwTicketNo;
t.side = trade.chExecSide == 'B';
t.xdate = trade.nExecDate;
t.xtime = trade.nExecTime;
// notify clients
tl.newFill(t);
return 0;
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendorders == 0)
{
return(0);
}
if (!tick.isTrade)
{
return(0);
}
int filledorders = 0;
foreach (Account a in MasterOrders.Keys)
{ // go through each account
// if account has requested no executions, skip it
if (!a.Execute)
{
continue;
}
// make sure we have a record for this account
if (!MasterTrades.ContainsKey(a.ID))
{
MasterTrades.Add(a.ID, new List <Trade>());
}
// track orders being removed and trades that need notification
List <int> notifytrade = new List <int>();
List <int> remove = new List <int>();
// go through each order in the account
for (int i = 0; i < MasterOrders[a].Count; i++)
{
Order o = MasterOrders[a][i];
if (tick.symbol != o.symbol)
{
continue; //make sure tick is for the right stock
}
bool filled = false;
if (o.TIF == "OPG")
{
// if it's already opened, we missed our shot
if (hasopened.Contains(o.symbol))
{
continue;
}
// otherwise make sure it's really the opening
if (((o.symbol.Length < 4) && (tick.ex.Contains("NYS"))) ||
(o.symbol.Length > 3))
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick, true);
// mark this symbol as already being open
hasopened.Add(tick.symbol);
}
}
else // otherwise fill order normally
{
filled = o.Fill(tick); // fill our trade
}
if (filled)
{
// remove filled size from size available in trade
tick.size -= o.UnsignedSize;
// get copy of trade for recording
Trade trade = new TradeImpl((Trade)o);
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
{
remove.Add(i);
}
else // otherwise reflect order's remaining size
{
o.size = (o.UnsignedSize - trade.UnsignedSize) * (o.side ? 1 : -1);
}
// record trade
MasterTrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(MasterTrades[a.ID].Count - 1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
{
MasterOrders[a].RemoveAt(remove[i]);
}
// unmark filled orders as pending
_pendorders -= rmcount;
if (_pendorders < 0)
{
_pendorders = 0;
}
// notify subscribers of trade
if ((GotFill != null) && a.Notify)
{
foreach (int tradeidx in notifytrade)
{
GotFill(MasterTrades[a.ID][tradeidx]);
}
}
}
return(filledorders);
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendorders == 0)
{
return(0);
}
if (!tick.isTrade && !_usebidaskfill)
{
return(0);
}
int filledorders = 0;
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts, 0);
for (int idx = 0; idx < accts.Length; idx++)
{ // go through each account
Account a = accts[idx];
// if account has requested no executions, skip it
if (!a.Execute)
{
continue;
}
// make sure we have a record for this account
if (!MasterTrades.ContainsKey(a.ID))
{
MasterTrades.Add(a.ID, new List <Trade>());
}
// track orders being removed and trades that need notification
List <int> notifytrade = new List <int>();
List <int> remove = new List <int>();
// go through each order in the account
for (int i = 0; i < MasterOrders[a].Count; i++)
{
Order o = MasterOrders[a][i];
//make sure tick is for the right stock
if (tick.symbol != o.symbol)
{
continue;
}
bool filled = false;
if (UseHighLiquidityFillsEOD)
{
OrderImpl oi = (OrderImpl)o;
filled = oi.Fill(tick, _usebidaskfill, false, true);
}
else if (o.ValidInstruct <= OrderInstructionType.GTC)
{
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
else if (o.ValidInstruct == OrderInstructionType.OPG)
{
// if it's already opened, we missed our shot
if (hasopened.Contains(o.symbol))
{
continue;
}
// otherwise make sure it's really the opening
if (tick.ex == OPGEX)
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick, _usebidaskfill, true);
// mark this symbol as already being open
hasopened.Add(tick.symbol);
}
}
// other orders fill normally, except MOC orders which are at 4:00PM
else if (o.ValidInstruct == OrderInstructionType.MOC)
{
if (tick.time >= 160000)
{
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
}
else
{
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
if (filled)
{
// remove filled size from size available in trade
tick.size -= o.UnsignedSize;
// get copy of trade for recording
Trade trade = new TradeImpl((Trade)o);
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
{
remove.Add(i);
}
else // otherwise reflect order's remaining size
{
o.size = (o.UnsignedSize - trade.UnsignedSize) * (o.side ? 1 : -1);
}
// record trade
MasterTrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(MasterTrades[a.ID].Count - 1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
{
MasterOrders[a].RemoveAt(remove[i]);
}
// unmark filled orders as pending
_pendorders -= rmcount;
if (_pendorders < 0)
{
_pendorders = 0;
}
// notify subscribers of trade
if ((GotFill != null) && a.Notify)
{
for (int tradeidx = 0; tradeidx < notifytrade.Count; tradeidx++)
{
GotFill(MasterTrades[a.ID][notifytrade[tradeidx]]);
}
}
}
return(filledorders);
}
void _oc_OnOrder(object sender, DataEventArgs<OrderRecord> e)
{
if (isConnected)
{
if (state != OrderState.ConnectionDead)
{
foreach (var o in e)
{
if (o.Type == "UserSubmitOrder" && state == OrderState.OrderPending)
{
if (o.CurrentStatus == "COMPLETED")
{
var order = new OrderImpl();
order.id = currentOrderId;
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
order.time = ((int)(rem % 10000)) * 100 + xsec;
order.date = (int)((rem - order.time) / 10000);
order.symbol = o.DispName;
order.side = o.Buyorsell == "BUY" ? true : false;
order.size = o.Volume.Value;
order.price = o.Price.Value.DecimalValue;
order.stopp = o.StopPrice.Value.DecimalValue;
order.Account = o.Deposit;
order.ex = o.Exchange;
newOrder(order);
state = OrderState.OrderFinished;
_orSet[currentOrderId] = o;
}
}
if (o.Type == "ExchangeTradeOrder")
{
Trade f = new TradeImpl();
f.symbol = o.DispName;
f.Account = o.TraderId;
foreach (var order in _orSet)
{
if (order.Value.OrderTag == o.OrderTag)
{
f.id = order.Key;
}
}
f.xprice = o.Price.Value.DecimalValue;
f.xsize = o.Volume ?? 0;
f.ex = o.Exchange;
if (o.Buyorsell == "BUY")
f.side = true;
if (o.Buyorsell == "SALE")
f.side = false;
long now = Util.ToTLDate(DateTime.Now);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
PST.Start();
pt.Adjust(f);
newFill(f);
state = OrderState.OrderFinished;
}
if (o.Type == "UserSubmitCancel" && state == OrderState.CancelPending)
{
if (o.CurrentStatus == "DELETED")
{
foreach (var order in _orSet)
{
if (order.Value.OrderTag == o.OrderTag)
{
newOrderCancel(order.Key);
state = OrderState.OrderFinished;
break;
}
}
}
}
}
}
}
}
public void FillTests()
{
// no executions yet
Assert.That(fills == 0, fills.ToString());
// have to subscribe to a stock to get notified on fills for said stock
c.Subscribe(new BasketImpl(new SecurityImpl(SYM)));
// prepare and send an execution from client to server
TradeImpl t = new TradeImpl(SYM, 100, 300, DateTime.Now);
s.newFill(t);
// make sure client received and counted it
Assert.That(fills == 1, fills.ToString());
// make sure fill was copied
Assert.AreEqual(fills, copyfills);
}
void tl_gotSrvFillRequest(Order o)
{
if (!ok) { debug("not logged in."); return; }
string action = o.side ? "buy" : "sell";
string otype = o.isLimit ? "limit" : "market";
if (o.id == 0)
o.id = OrderImpl.Unique;
string route = "auto";
if (o.ex.ToUpper().Contains("ARCA"))
route = "ecn_arca";
else if (o.ex.ToUpper().Contains("INET"))
route = "inet";
AmeritradeBrokerAPI.ATradeArgument brokerReplyargs = new AmeritradeBrokerAPI.ATradeArgument();
string cResultMessage = string.Empty;
string cEnteredOrderID = string.Empty;
StringBuilder cOrderString = new StringBuilder();
if (!chkboxProdEnabled.Checked)
{
TradelinkMySQL db = new TradelinkMySQL();
brokerReplyargs.ResultsCode = db.OrderToDatabase(o);
debug("DEBUG ORDER: " + brokerReplyargs.ResultsCode + " " + o.symbol + " " + o.size + "@" + o.price + "\n");
Trade t = new TradeImpl();
}
else
{
//cOrderString.Append("action=" + api.Encode_URL(action));
//cOrderString.Append("~clientorderid=" + api.Encode_URL(o.id.ToString()));
//cOrderString.Append("~accountid=" + api.Encode_URL(api._accountid));
//cOrderString.Append("~actprice=" + api.Encode_URL(string.Empty));
//cOrderString.Append("~expire=" + api.Encode_URL(o.TIF));
//cOrderString.Append("~ordtype=" + api.Encode_URL(otype));
//cOrderString.Append("~price=" + api.Encode_URL(o.price.ToString()));
//cOrderString.Append("~quantity=" + api.Encode_URL(o.size.ToString()));
//cOrderString.Append("~spinstructions=" + api.Encode_URL("none"));
//cOrderString.Append("~symbol=" + api.Encode_URL(o.symbol));
//cOrderString.Append("~routing=" + api.Encode_URL(route));
//cOrderString.Append("~tsparam=" + api.Encode_URL(string.Empty));
//cOrderString.Append("~exmonth=" + api.Encode_URL(string.Empty));
//cOrderString.Append("~exday=" + api.Encode_URL(string.Empty));
//cOrderString.Append("~exyear=" + api.Encode_URL(string.Empty));
//cOrderString.Append("~displaysize=" + api.Encode_URL(string.Empty));
//brokerReplyargs.ResultsCode =
// api.TD_sendOrder(_user.Text, _pass.Text, AmeritradeBrokerAPI.SOURCEID, APIVER, cOrderString.ToString(), ref cResultMessage, ref cEnteredOrderID);
//if (brokerReplyargs.ResultsCode != OK)
// debug(cResultMessage);
//else
//{
// long tdid = 0;
// if (long.TryParse(cEnteredOrderID, out tdid))
// idmap.Add(o.id, tdid);
// tl.newOrder(o);
//}
debug("PROD ORDER: " + brokerReplyargs.ResultsCode + " " + o.symbol + " " + o.size + "@" + o.price + "\n");
}
}
