/// <summary>
/// Event notification for AutospreaderInstrument launch
/// </summary>
void Instrument_TradableStatusChanged(object sender, TradableStatusChangedEventArgs e)
{
if (e.Value)
{
// launch of AutospreaderInstrument was successful
AutospreaderInstrument instr = sender as AutospreaderInstrument;
// Subscribe for Inside Market Data
m_ps = new PriceSubscription(instr, Dispatcher.Current);
m_ps.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket);
m_ps.FieldsUpdated += new FieldsUpdatedEventHandler(m_ps_FieldsUpdated);
m_ps.Start();
// Create an ASTradeSubscription to listen for order / fill events only for orders submitted through it
m_ts = new ASInstrumentTradeSubscription(m_apiInstance.Session, Dispatcher.Current, instr, true, true, false, false);
m_ts.OrderUpdated += new EventHandler <OrderUpdatedEventArgs>(m_ts_OrderUpdated);
m_ts.OrderAdded += new EventHandler <OrderAddedEventArgs>(m_ts_OrderAdded);
m_ts.OrderDeleted += new EventHandler <OrderDeletedEventArgs>(m_ts_OrderDeleted);
m_ts.OrderFilled += new EventHandler <OrderFilledEventArgs>(m_ts_OrderFilled);
m_ts.OrderRejected += new EventHandler <OrderRejectedEventArgs>(m_ts_OrderRejected);
m_ts.Start();
}
else
{
Console.WriteLine("Launch of AutospreaderInstrument to {0} was unsuccessful.", e.OrderFeed.Name);
}
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (m_req1 != null)
{
m_req1.Update -= m_req_Update;
m_req1.Dispose();
m_req1 = null;
}
if (m_req2 != null)
{
m_req2.Update -= m_req_Update;
m_req2.Dispose();
m_req2 = null;
}
if (m_ps != null)
{
m_ps.FieldsUpdated -= m_ps_FieldsUpdated;
m_ps.Dispose();
m_ps = null;
}
if (m_ts != null)
{
m_ts.OrderAdded -= m_ts_OrderAdded;
m_ts.OrderDeleted -= m_ts_OrderDeleted;
m_ts.OrderFilled -= m_ts_OrderFilled;
m_ts.OrderRejected -= m_ts_OrderRejected;
m_ts.OrderUpdated -= m_ts_OrderUpdated;
m_ts.Dispose();
m_ts = null;
}
if (m_casReq != null)
{
m_casReq.Completed -= m_casReq_Completed;
m_casReq.Dispose();
m_casReq = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
TTSpread processSpreadFound(Instrument instrument)
{
PriceSubscription priceSub = new PriceSubscription(instrument, Dispatcher.Current);
priceSub.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket);
priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(priceSub_FieldsUpdated);
priceSub.Start();
ASInstrumentTradeSubscription its = new ASInstrumentTradeSubscription(_apiSession, Dispatcher.Current, instrument as AutospreaderInstrument);
its.EnablePNL = true;
its.ProfitLossChanged += new EventHandler <ProfitLossChangedEventArgs>(its_ProfitLossChanged);
its.Start();
TTSpread tts = NewTTSpread(instrument);
tts.TradeSubscription = its;
tts.OrderRoute = OrderRoute.GetOrderRoute(tts, instrument.Product.Market.Name);
return(tts);
}
public static bool CancelAutospreaderOrder(string orderKey, ttapiUtils.AutoSpreader autoSpreader, Logger logger)
{
ASInstrumentTradeSubscription Ts = autoSpreader.ts;
bool Status = false;
if (Ts.Orders.ContainsKey(orderKey))
{
AutospreaderSyntheticOrderProfile Op = Ts.Orders[orderKey].GetOrderProfile() as AutospreaderSyntheticOrderProfile;
Op.Action = OrderAction.Delete;
if (!Ts.SendOrder(Op))
{
logger.Log("Cancal order failed. {0}" + Op.RoutingStatus.Message);
}
else
{
logger.Log("Cancel order succeeded.");
Status = true;
}
}
return(Status);
}
public static bool ChangeAutospreaderOrder(string orderKey, decimal price, ttapiUtils.AutoSpreader autoSpreader,
TradingTechnologies.TTAPI.Instrument instrument, Logger logger)
{
ASInstrumentTradeSubscription Ts = autoSpreader.ts;
bool Status = false;
if (Ts.Orders.ContainsKey(orderKey))
{
AutospreaderSyntheticOrderProfile Op = Ts.Orders[orderKey].GetOrderProfile() as AutospreaderSyntheticOrderProfile;
Rounding Rounding = Rounding.Down;
if (Op.BuySell == BuySell.Sell)
{
Rounding = Rounding.Up;
}
Price LimitPrice = Price.FromDouble(instrument.InstrumentDetails, Convert.ToDouble(price), Rounding);
if (Op.LimitPrice != LimitPrice)
{
Op.LimitPrice = LimitPrice;
Op.Action = OrderAction.Change;
if (!Ts.SendOrder(Op))
{
logger.Log("Send change order failed. {0}" + Op.RoutingStatus.Message);
}
else
{
logger.Log("Send change order succeeded.");
Status = true;
}
}
}
return(Status);
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (m_req1 != null)
{
m_req1.Update -= m_req_Update;
m_req1.Dispose();
m_req1 = null;
}
if (m_req2 != null)
{
m_req2.Update -= m_req_Update;
m_req2.Dispose();
m_req2 = null;
}
if (m_ps != null)
{
m_ps.FieldsUpdated -= m_ps_FieldsUpdated;
m_ps.Dispose();
m_ps = null;
}
if (m_ts != null)
{
m_ts.OrderAdded -= m_ts_OrderAdded;
m_ts.OrderDeleted -= m_ts_OrderDeleted;
m_ts.OrderFilled -= m_ts_OrderFilled;
m_ts.OrderRejected -= m_ts_OrderRejected;
m_ts.OrderUpdated -= m_ts_OrderUpdated;
m_ts.Dispose();
m_ts = null;
}
if (m_casReq != null)
{
m_casReq.Completed -= m_casReq_Completed;
m_casReq.Dispose();
m_casReq = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
/// <summary>
/// Event notification for AutospreaderInstrument launch
/// </summary>
void Instrument_TradableStatusChanged(object sender, TradableStatusChangedEventArgs e)
{
if (e.Value)
{
// launch of AutospreaderInstrument was successful
AutospreaderInstrument instr = sender as AutospreaderInstrument;
// Subscribe for Inside Market Data
m_ps = new PriceSubscription(instr, Dispatcher.Current);
m_ps.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket);
m_ps.FieldsUpdated += new FieldsUpdatedEventHandler(m_ps_FieldsUpdated);
m_ps.Start();
// Create an ASTradeSubscription to listen for order / fill events only for orders submitted through it
m_ts = new ASInstrumentTradeSubscription(m_apiInstance.Session, Dispatcher.Current, instr, true, true, false, false);
m_ts.OrderUpdated += new EventHandler<OrderUpdatedEventArgs>(m_ts_OrderUpdated);
m_ts.OrderAdded += new EventHandler<OrderAddedEventArgs>(m_ts_OrderAdded);
m_ts.OrderDeleted += new EventHandler<OrderDeletedEventArgs>(m_ts_OrderDeleted);
m_ts.OrderFilled += new EventHandler<OrderFilledEventArgs>(m_ts_OrderFilled);
m_ts.OrderRejected += new EventHandler<OrderRejectedEventArgs>(m_ts_OrderRejected);
m_ts.Start();
}
else
{
Console.WriteLine("Launch of AutospreaderInstrument to {0} was unsuccessful.", e.OrderFeed.Name);
}
}
private void StartOrderSubmission(AutospreaderInstrument instrument)
{
// Submit an Autospreader order to the local Autospreader Engine. As a result, the
// Autospreader Instrument need not be launched to it. If you are going to use any other
// Autospreader Engine, you will need to launch the Autospreader Instrument to it.
Console.WriteLine("Submitting the Autospreader order to the local Autospreader Engine...");
// An ASInstrumentTradeSubscription object is filtered by the given Autospreader instrument
ts = new ASInstrumentTradeSubscription(apiInstance.Session, Dispatcher.Current, instrument);
ts.OrderAdded += new EventHandler<OrderAddedEventArgs>(ts_OrderAdded);
ts.OrderFilled += new EventHandler<OrderFilledEventArgs>(ts_OrderFilled);
ts.OrderRejected += new EventHandler<OrderRejectedEventArgs>(ts_OrderRejected);
ts.OrderDeleted += new EventHandler<OrderDeletedEventArgs>(ts_OrderDeleted);
ts.OrderUpdated += new EventHandler<OrderUpdatedEventArgs>(ts_OrderUpdated);
ts.Start();
AutospreaderSyntheticOrderProfile profile = new AutospreaderSyntheticOrderProfile(
apiInstance.Session.MarketCatalog.LocalAutospreaderEngineOrderFeed, instrument);
profile.QuantityToWork = Quantity.FromInt(instrument, 1);
profile.OrderType = OrderType.Limit;
profile.BuySell = BuySell.Buy;
profile.LimitPrice = Price.FromInt(instrument, 0);
if (apiInstance.Session.SendOrder(profile))
{
orderKey = profile.SiteOrderKey;
Console.WriteLine("Order Submitted, key: {0}", profile.SiteOrderKey);
}
else
{
Console.WriteLine("Send Order failed: {0}", profile.RoutingStatus.Message);
Dispose();
}
}
protected virtual void Dispose(bool disposing)
{
if (!disposed)
{
if (disposing)
{
// Shutdown all subscriptions
if (req1 != null)
{
req1.Dispose();
req1 = null;
}
if (req2 != null)
{
req2.Dispose();
req2 = null;
}
if (casReq != null)
{
casReq.Dispose();
casReq = null;
}
if (ts != null)
{
ts.Dispose();
ts = null;
}
// Shutdown the Dispatcher
if (disp != null)
{
disp.BeginInvokeShutdown();
disp = null;
}
// Shutdown the TT API
if (apiInstance != null)
{
apiInstance.Shutdown();
apiInstance = null;
}
}
}
disposed = true;
}