/// <summary>
/// Event notification for price update
/// </summary>
void m_ps_FieldsUpdated(object sender, FieldsUpdatedEventArgs e)
{
if (e.Error == null)
{
// Make sure that there is a valid bid
if (e.Fields.GetBestBidPriceField().HasValidValue)
{
if (m_orderKey == "")
{
// In this example, the order is submitted to ASE-A.
// You should use the order feed that is appropriate for your purposes.
AutospreaderSyntheticOrderProfile op = new AutospreaderSyntheticOrderProfile(((AutospreaderInstrument)e.Fields.Instrument).GetValidGateways()[m_ASEGateway],
(AutospreaderInstrument)e.Fields.Instrument);
op.BuySell = BuySell.Buy;
op.OrderQuantity = Quantity.FromInt(e.Fields.Instrument, 10);
op.OrderType = OrderType.Limit;
op.LimitPrice = e.Fields.GetBestBidPriceField().Value;
if (!m_ts.SendOrder(op))
{
Console.WriteLine("Send new order failed. {0}", op.RoutingStatus.Message);
}
else
{
m_orderKey = op.SiteOrderKey;
Console.WriteLine("Send new order succeeded.");
}
}
else if (m_ts.Orders.ContainsKey(m_orderKey) &&
m_ts.Orders[m_orderKey].LimitPrice != e.Fields.GetBestBidPriceField().Value)
{
// If there is a working order, reprice it if its price is not the same as the bid
AutospreaderSyntheticOrderProfile op = m_ts.Orders[m_orderKey].GetOrderProfile() as AutospreaderSyntheticOrderProfile;
op.LimitPrice = e.Fields.GetBestBidPriceField().Value;
op.Action = OrderAction.Change;
if (!m_ts.SendOrder(op))
{
Console.WriteLine("Send change order failed. {0}", op.RoutingStatus.Message);
}
else
{
Console.WriteLine("Send change order succeeded.");
}
}
}
}
else
{
if (e.Error.IsRecoverableError == false)
{
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
Dispose();
}
}
}
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);
}