public void OnCancelRejected(MbtOpenOrder order)
{
if (debug)
{
orderLog.Debug("OnCancelRejected( " + order.OrderNumber + " )");
}
}
public void OnExecute(MbtOpenOrder order)
{
m_orders[order.OrderNumber] = order;
int elapsed = Environment.TickCount - orderStart;
orderLog.Notice("OnExecute( " + order.OrderNumber + " ), " + elapsed + "ms");
}
public void OnReplacePlaced(MbtOpenOrder order)
{
if (debug)
{
orderLog.Debug("OnReplacePlaced( " + order.OrderNumber + " )");
}
}
public void OnSubmit(MbtOpenOrder order)
{
m_orders[order.OrderNumber] = order;
int elapsed = Environment.TickCount - orderStart;
orderLog.Notice("OnSubmit( " + order.OrderNumber + " ) " + elapsed + "ms");
orderSubmitted = false;
}
void OnRemove(MbtOpenOrder order)
{
for (int i = 0; i < readers.Count; i++)
{
if (readers[i].Symbol.Symbol == order.Symbol)
{
readers[i].OnRemove(order);
}
}
}
void OnCancelRejected(MbtOpenOrder order)
{
for (int i = 0; i < readers.Count; i++)
{
if (readers[i].Symbol.Symbol == order.Symbol)
{
readers[i].OnCancelRejected(order);
}
}
}
void _orderClient_OnExecute(MbtOpenOrder pOrd)
{
if (pOrd.Acknowledged == false)
{
return;
}
//PlaceOrderOperation operation;
//lock (this)
//{
// // Operations stored in stub by order token / Id.
// operation = (PlaceOrderOperation)_operationStub.GetOperationById(pOrd.Token);
//}
OrderInfo?orderInfo = ConvertToOrderInfo(pOrd);
if (orderInfo.HasValue == false)
{
SystemMonitor.Warning("Failed to convert order for order [" + pOrd.Token + "].");
return;
}
TryCompleteOrderOperation(pOrd.Token, true, orderInfo);
//if (operation == null)
//{
// SystemMonitor.Error("Operation with this ID [" + pOrd.Token + "] not found.");
//}
//else
//{
// //string x = orderInfo.Value.OpenPrice.ToString();
// if (orderInfo.HasValue == false)
// {
// SystemMonitor.Warning("Failed to convert order for order [" + pOrd.Token + "].");
// operation.Complete("Failed to convert order type. Operation failed.", null);
// return;
// }
// operation.Complete(string.Empty, orderInfo.Value);
//}
if (_accountInfo.HasValue == false)
{
SystemMonitor.Error("Order update received, but account not established.");
}
else
{
_adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, Order.UpdateTypeEnum.Executed, orderInfo.Value);
}
}
string DisplayOrder(MbtOpenOrder order)
{
// TickConsole.Notice("Account: Old Order: " + Display(order));
string retVal = "";
retVal += "BuySell=" + (order.BuySell == MBConst.VALUE_BUY?"Buy":"Sell");
retVal += ",Symbol=" + order.Symbol;
retVal += ",Quantity=" + order.Quantity;
retVal += ",Price=" + order.Price;
retVal += ",OrderType=" + order.OrderType;
retVal += ",OrderNumber=" + order.OrderNumber;
retVal += ",SharesFilled=" + order.SharesFilled;
return(retVal);
}
void m_OrderClient_OnSubmit(MbtOpenOrder pOrd)
{
OrderImpl o = new OrderImpl(pOrd.Symbol, pOrd.Quantity);
o.side = pOrd.BuySell == MBConst.VALUE_BUY;
o.price = (decimal)pOrd.Price;
o.stopp = (decimal)pOrd.StopLimit;
o.TIF = pOrd.TimeInForce == MBConst.VALUE_DAY ? "DAY" : "GTC";
o.time = Util.ToTLTime(pOrd.UTCDateTime);
o.date = Util.ToTLDate(pOrd.UTCDateTime);
o.sec = pOrd.UTCDateTime.Second;
o.trail = (decimal)pOrd.TrailingOffset;
//o.ex = pOrd.Route;
o.id = Convert.ToUInt32(pOrd.OrderNumber);
tl.newOrder(o);
}
public void OnRemove(MbtOpenOrder order)
{
int elapsed = Environment.TickCount - orderStart;
orderLog.Notice("OnRemove( " + order.OrderNumber + " ), " + elapsed + "ms, position: " + Display(m_position));
if (followupSignal != 0)
{
orderLog.Notice("Followup Signal = " + followupSignal);
InternalSignal(followupSignal);
followupSignal = 0;
}
else
{
orderLog.Notice("Account Status: " + Display(m_account));
}
m_orders.Remove(order.OrderNumber);
}
void _orderClient_OnAcknowledge(MbtOpenOrder pOrd)
{
if (pOrd.Acknowledged == false)
{
return;
}
OrderInfo?orderInfo = ConvertToOrderInfo(pOrd);
//if (orderInfo.HasValue && orderInfo.Value.State == OrderStateEnum.Canceled)
//{// There might be a pending operation on this order.
// TryCompleteOrderOperation(pOrd.Token, false, orderInfo);
//}
if (_accountInfo.HasValue == false)
{
SystemMonitor.Error("Order update received, but account not established.");
}
else
{
_adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, Order.UpdateTypeEnum.Submitted, orderInfo.Value);
}
}
void _orderClient_OnExecute(MbtOpenOrder pOrd)
{
if (pOrd.Acknowledged == false)
{
return;
}
//PlaceOrderOperation operation;
//lock (this)
//{
// // Operations stored in stub by order token / Id.
// operation = (PlaceOrderOperation)_operationStub.GetOperationById(pOrd.Token);
//}
OrderInfo? orderInfo = ConvertToOrderInfo(pOrd);
if (orderInfo.HasValue == false)
{
SystemMonitor.Warning("Failed to convert order for order [" + pOrd.Token + "].");
return;
}
TryCompleteOrderOperation(pOrd.Token, true, orderInfo);
//if (operation == null)
//{
// SystemMonitor.Error("Operation with this ID [" + pOrd.Token + "] not found.");
//}
//else
//{
// //string x = orderInfo.Value.OpenPrice.ToString();
// if (orderInfo.HasValue == false)
// {
// SystemMonitor.Warning("Failed to convert order for order [" + pOrd.Token + "].");
// operation.Complete("Failed to convert order type. Operation failed.", null);
// return;
// }
// operation.Complete(string.Empty, orderInfo.Value);
//}
if (_accountInfo.HasValue == false)
{
SystemMonitor.Error("Order update received, but account not established.");
}
else
{
_adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, Order.UpdateTypeEnum.Executed, orderInfo.Value);
}
}
void m_OrderClient_OnSubmit(MbtOpenOrder pOrd)
{
OrderImpl o = new OrderImpl(pOrd.Symbol,pOrd.Quantity);
o.side = pOrd.BuySell == MBConst.VALUE_BUY;
o.price = (decimal)pOrd.Price;
o.stopp = (decimal)pOrd.StopLimit;
o.TIF = pOrd.TimeInForce == MBConst.VALUE_DAY ? "DAY" : "GTC";
o.time = Util.ToTLTime(pOrd.UTCDateTime);
o.date = Util.ToTLDate(pOrd.UTCDateTime);
o.sec = pOrd.UTCDateTime.Second;
o.trail = (decimal)pOrd.TrailingOffset;
//o.ex = pOrd.Route;
o.id = Convert.ToUInt32(pOrd.OrderNumber);
tl.newOrder(o);
}
void _orderClient_OnAcknowledge(MbtOpenOrder pOrd)
{
if (pOrd.Acknowledged == false)
{
return;
}
OrderInfo? orderInfo = ConvertToOrderInfo(pOrd);
//if (orderInfo.HasValue && orderInfo.Value.State == OrderStateEnum.Canceled)
//{// There might be a pending operation on this order.
// TryCompleteOrderOperation(pOrd.Token, false, orderInfo);
//}
if (_accountInfo.HasValue == false)
{
SystemMonitor.Error("Order update received, but account not established.");
}
else
{
_adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, Order.UpdateTypeEnum.Submitted, orderInfo.Value);
}
}
void m_OrderClient_OnRemove(MbtOpenOrder pOrd)
{
uint num = Convert.ToUInt32(pOrd.OrderNumber);
tl.newOrderCancel((long)num);
}
void m_OrderClient_OnRemove(MbtOpenOrder pOrd)
{
uint num = Convert.ToUInt32(pOrd.OrderNumber);
tl.newOrderCancel((long)num);
}
/// <summary>
/// Convert real order to order orderInfo.
/// </summary>
/// <param name="pOrd"></param>
/// <returns></returns>
OrderInfo? ConvertToOrderInfo(MbtOpenOrder pOrd)
{
OrderInfo result = new OrderInfo(pOrd.Token);
result.Tag = pOrd.OrderNumber;
result.OpenPrice = (decimal)pOrd.Price;
bool replaceable = pOrd.Replaceable;
string dateTimeString = pOrd.Date + " " + pOrd.Time;
DateTime dateTime;
if (DateTime.TryParse(dateTimeString, out dateTime) == false)
{
SystemMonitor.Error("Failed to parse order date time [" + dateTimeString + "].");
dateTime = DateTime.Now;
}
string currentEvent = pOrd.CurrentEvent.ToLower();
if (currentEvent.Contains("live"))
{
result.State = OrderStateEnum.Submitted;
}
else if (currentEvent.Contains("executed"))
{
result.State = OrderStateEnum.Executed;
}
else if (currentEvent.Contains("suspended"))
{
result.State = OrderStateEnum.Suspended;
}
else
{
if (pOrd.Acknowledged)
{
result.State = OrderStateEnum.Submitted;
}
}
if (result.State == OrderStateEnum.Unknown)
{
}
result.OpenTime = dateTime;
result.StopLoss = (decimal)pOrd.StopLimit;
result.TakeProfit = (decimal)pOrd.StopLimit;
Symbol? symbol = _adapter.GetSymbolByName(pOrd.Symbol, false);
if (symbol.HasValue == false)
{// Start usage for this symbol.
return null;
}
result.Symbol = symbol.Value;
result.Type = ConvertFromMBTOrderType(pOrd.OrderType, pOrd.BuySell);
if (result.Type == OrderTypeEnum.UNKNOWN)
{
SystemMonitor.OperationWarning("Failed to recognize order type [" + pOrd.OrderType.ToString() + "].");
//return null;
}
result.Volume = pOrd.Quantity;
return result;
}
void m_OrderClient_OnAcknowledge(MbtOpenOrder pOrd)
{
debug(String.Format("order acknowledge:{0}", pOrd.OrderNumber));
}
void m_OrderClient_OnRemove(MbtOpenOrder pOrd)
{
debug("m_OrderClient_OnRemove: " + pOrd.OrderNumber);
/*
//order has been completely filled so do cleanup
string bid = pOrd.OrderNumber;
debug(String.Format("Cleaning up orders for {0}", bid));
//clean up the orders list
if( orders.ContainsKey(bid) ) orders.Remove(bid);
else debug(String.Format("order {0} did not exist in orders", bid));
//clean up mappings
long tlid = 0;
if( broker2tl.TryGetValue(bid, out tlid ) )
{
//got the tradelink id so clear the broker mapping
debug(String.Format("Cleaning up broker2tl mapping {0} - {1}", bid, tlid));
broker2tl.Remove(bid);
//then clear the tradelink mapping
debug(String.Format("cleaning up tl2broker mapping {0} - {1}", tlid, bid));
if( tl2broker.ContainsKey(tlid ) ) tl2broker.Remove(tlid);
else debug(String.Format("Order {0} did not have a matching tlid {1} to remove.", bid, tlid));
}
*/
}
void m_OrderClient_OnReplaceRejected(MbtOpenOrder pOrd)
{
debug("m_OrderClient_OnReplaceRejected: " + pOrd.OrderNumber);
}
void _orderClient_OnSubmit(MbtOpenOrder pOrd)
{
}
/// <summary>
/// Store executed orders in a dictionary so we have access to info later on
/// </summary>
/// <param name="pOrd"></param>
void m_OrderClient_OnExecute(MbtOpenOrder pOrd)
{
//add successfully executed orders to the orders dictionary
//done in the history now
//if (!orders.ContainsKey(pOrd.OrderNumber)) orders.Add(pOrd.OrderNumber, pOrd);
}
void m_OrderClient_OnAcknowledge(MbtOpenOrder pOrd)
{
debug("m_OrderClient_OnAcknowledge: " + pOrd.OrderNumber);
}
/// <summary>
/// Return a descriptive string of this order
/// TODO: one for history as well
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
string DisplayOrder(MbtOpenOrder order)
{
//string orderType = ( order.OrderType == MBConst.VALUE_MARKET ) ? MBConst.TYPE_MARKET : MBConst.TYPE_STOP;
string retVal = "";
retVal += "BuySell=" + (order.BuySell == MBConst.VALUE_BUY ? "Buy" : (order.BuySell == MBConst.VALUE_SELL ? "Sell" : "undefined BuySell: " + order.BuySell));
retVal += " Symbol=" + order.Symbol;
retVal += " Quantity=" + order.Quantity;
retVal += " Price=" + order.Price;
retVal += " OrderType=" + order.OrderType; //compare with OrderType values
retVal += " OrderNumber=" + order.OrderNumber;
retVal += " Token=" + order.Token;
retVal += " SharesFilled=" + order.SharesFilled;
return retVal;
}
void m_OrderClient_OnCancelPlaced(MbtOpenOrder pOrd)
{
debug(String.Format("Order cancel placed for {0}", pOrd.OrderNumber));
}
void _orderClient_OnReplacePlaced(MbtOpenOrder pOrd)
{
}
/// <summary>
/// Store submitted orders in a dictionary so we have access to info later on
/// </summary>
/// <param name="pOrd"></param>
void m_OrderClient_OnSubmit(MbtOpenOrder pOrd)
{
debug("m_OrderClient_OnSubmit: " + pOrd.OrderNumber);
if (!orders.ContainsKey(pOrd.OrderNumber)) orders.Add(pOrd.OrderNumber, pOrd);
}
void _orderClient_OnSubmit(MbtOpenOrder pOrd)
{
}
/// <summary>
/// Convert an MbtOpenOrder to a TradeLink OrderImpl and check if the order token
/// is mapped to an existing TradeLink order. If so, replace the token with the OrderNumber and
/// update the mapping for tl2broker with the order number as well. If not generate a new order number
/// </summary>
/// <param name="pOrd"></param>
/// <returns></returns>
OrderImpl ToTradeLinkOrder(MbtOpenOrder pOrd)
{
//get the token
string token = pOrd.Token;
//get the actual broker ID number now
string bid = pOrd.OrderNumber, s = "";
//check for a matching tradelink order
long tlid = 0, v = 0;
//first try to get the tlid by token
if (!broker2tl.TryGetValue(token, out tlid))
{
//ok now try to get it by broker OrderNumber if it has been processed once before.
if (!broker2tl.TryGetValue(bid, out tlid))
{
//this order must be initiated by MB Trading so assign a new one
tlid = _idt.AssignId;
debug(String.Format("No matching TradeLink ID found for token {0}, generated {1}", token, tlid));
}
//save the mappings
if (!broker2tl.ContainsKey(bid))
{
broker2tl.Add(bid, tlid);
}
else
{
broker2tl.TryGetValue(bid, out v);
debug(String.Format("WARNING! OrderNumber {0} is already mapped to {1}. Overwriting it with {2}", bid, v, tlid));
broker2tl[bid] = tlid;
}
if (!tl2broker.ContainsKey(tlid))
{
tl2broker.Add(tlid, bid);
}
else
{
tl2broker.TryGetValue(tlid, out s);
debug(String.Format("WARNING! TradeLinkID {0} is already mapped to {1}. Overwriting it with {2}", tlid, s, bid));
tl2broker[tlid] = bid;
}
}
else
{
//we have a match so this order was generated by TradeLink
//overwrite the Token with the OrderNumber
debug(String.Format("Overwriting token {0} with OrderNumber {1} for TradeLink order ID {2}", token, bid, tlid));
tl2broker[tlid] = bid;
//remove the Token mapping
broker2tl.Remove(token);
//and map the OrderNumber to the TradeLink ID
if (!broker2tl.ContainsKey(bid)) broker2tl.Add(bid, tlid);
}
OrderImpl o = new OrderImpl(pOrd.Symbol, pOrd.Quantity);
o.id = tlid;
o.Account = pOrd.Account.Account;
o.side = (pOrd.BuySell == MBConst.VALUE_BUY);
o.price = (decimal)pOrd.Price;
o.stopp = (decimal)pOrd.StopPrice;
o.ValidInstruct = pOrd.TimeInForce == MBConst.VALUE_DAY ? OrderInstructionType.DAY : OrderInstructionType.GTC;
o.time = Util.DT2FT(pOrd.UTCDateTime);
o.date = Util.ToTLDate(pOrd.UTCDateTime);
o.trail = (decimal)pOrd.TrailingOffset;
return o;
}
void _orderClient_OnReplacePlaced(MbtOpenOrder pOrd)
{
}
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 m_OrderClient_OnCancelRejected(MbtOpenOrder pOrd)
{
debug("m_OrderClient_OnCancelRejected: " + pOrd.OrderNumber);
}
void m_OrderClient_OnCancelRejected(MbtOpenOrder pOrd)
{
debug(String.Format("Order Cancel REJECTED for {0}", pOrd.OrderNumber));
}
/// <summary>
/// Convert real order to order orderInfo.
/// </summary>
/// <param name="pOrd"></param>
/// <returns></returns>
OrderInfo?ConvertToOrderInfo(MbtOpenOrder pOrd)
{
OrderInfo result = new OrderInfo(pOrd.Token);
result.Tag = pOrd.OrderNumber;
result.OpenPrice = (decimal)pOrd.Price;
bool replaceable = pOrd.Replaceable;
string dateTimeString = pOrd.Date + " " + pOrd.Time;
DateTime dateTime;
if (DateTime.TryParse(dateTimeString, out dateTime) == false)
{
SystemMonitor.Error("Failed to parse order date time [" + dateTimeString + "].");
dateTime = DateTime.Now;
}
string currentEvent = pOrd.CurrentEvent.ToLower();
if (currentEvent.Contains("live"))
{
result.State = OrderStateEnum.Submitted;
}
else if (currentEvent.Contains("executed"))
{
result.State = OrderStateEnum.Executed;
}
else if (currentEvent.Contains("suspended"))
{
result.State = OrderStateEnum.Suspended;
}
else
{
if (pOrd.Acknowledged)
{
result.State = OrderStateEnum.Submitted;
}
}
if (result.State == OrderStateEnum.Unknown)
{
}
result.OpenTime = dateTime;
result.StopLoss = (decimal)pOrd.StopLimit;
result.TakeProfit = (decimal)pOrd.StopLimit;
Symbol?symbol = _adapter.GetSymbolByName(pOrd.Symbol, false);
if (symbol.HasValue == false)
{// Start usage for this symbol.
return(null);
}
result.Symbol = symbol.Value;
result.Type = ConvertFromMBTOrderType(pOrd.OrderType, pOrd.BuySell);
if (result.Type == OrderTypeEnum.UNKNOWN)
{
SystemMonitor.OperationWarning("Failed to recognize order type [" + pOrd.OrderType.ToString() + "].");
//return null;
}
result.Volume = pOrd.Quantity;
return(result);
}
/* pmh - 9/21/12 - See note on DefaultAccount at end of document!
void m_OrderClient_OnDefaultAccountChanged(MbtAccount pAcct)
{
debug("m_OrderClient_OnDefaultAccountChanged: " + pAcct.Account);
}
*/
void m_OrderClient_OnExecute(MbtOpenOrder pOrd)
{
//add successfully executed orders to the orders dictionary
//done in the history now
//if (!orders.ContainsKey(pOrd.OrderNumber)) orders.Add(pOrd.OrderNumber, pOrd);
debug("m_OrderClient_OnExecute: " + pOrd.OrderNumber); //pmh - go ahead and log the event anyway.
}
