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);
}
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());
}
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 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;
}
}
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());
}
}
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;
}
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]);
}
public void Defaults()
{
TradeImpl t = new TradeImpl();
Assert.That(!t.isValid, t.ToString());
Assert.That(!t.isFilled, t.ToString());
}
