public async void Visit(KillOrderTransaction transaction)
{
try
{
var reply = await transClient.CancelOrder(new CancelOrder { order_id = transaction.OrderExchangeId });
OnMessageReceived(TransactionReply.Accepted(transaction, reply.code));
var oscm = new OrderStateChangeMessage
{
TransactionId = transaction.TransactionId,
OrderExchangeId = reply.code,
Quantity = reply.qty,
ActiveQuantity = reply.qtyLeft,
FilledQuantity = reply.qty_executed,
ChangeTime = DateTime.Now,
State = OrderState.Cancelled
};
OnMessageReceived(oscm);
}
catch (FTEException e)
{
OnMessageReceived(TransactionReply.Rejected(transaction, e.Message));
}
}
private void InfoClient_OnInfoOrder(InfoOrder order)
{
if (!accounts.ContainsKey(order.account))
{
return;
}
var activeQuantity = order.qtyLeft;
OrderState state;
switch (order.status)
{
case OrderStatus.CANCELED:
state = !string.IsNullOrEmpty(order.res_code) && order.res_code != "ENF_CANC" // TODO Hardcode волшебной строки
? OrderState.Error
: OrderState.Cancelled;
activeQuantity = 0;
break;
case OrderStatus.MATCHED:
state = OrderState.Filled;
break;
case OrderStatus.FREEZED:
case OrderStatus.QUEUED:
state = order.qty_executed > 0 ? OrderState.PartiallyFilled : OrderState.Active;
break;
case OrderStatus.WAIT_APPROVAL:
default:
return;
}
//long filledQty = order.ActiveQty - (long)infoOrder.qtyLeft;
Guid.TryParseExact(order.trn, "N", out var trId);
var oscm = new OrderStateChangeMessage
{
TransactionId = trId,
OrderExchangeId = order.code,
Quantity = order.qty,
ActiveQuantity = activeQuantity,
FilledQuantity = order.qty_executed, // TODO
Price = PriceHelper.ToPrice(order.price),
ChangeTime = DateTime.Now, // TODO
State = state
};
OnMessageReceived(oscm);
}
/// <summary>
/// Обработка заявки как уже существующей
/// </summary>
private OrderStateChangeMessage HandleOrderStateAsOrderStateChange(Order order, OrderStatus message)
{
Logger.Debug().Print(
"Order state change received",
LogFields.ExchangeOrderId(message.order_id),
LogFields.ChainOrderId(message.chain_order_id),
LogFields.State(ConvertionHelper.GetOrderState(message)),
LogFields.AccountId(message.account_id),
LogFields.ExecOrderId(message.exec_order_id)
);
using (ordersLock.Lock())
{
Guid transactionId;
if (!Guid.TryParse(message.order.cl_order_id, out transactionId))
{
Logger.Debug().Print(
$"Unable to parse {LogFieldNames.TransactionId} from {LogFields.ClOrderId(message.order.cl_order_id)}. Use order's {LogFieldNames.TransactionId}"
);
transactionId = order.TransactionId;
}
var change = new OrderStateChangeMessage
{
OrderExchangeId = message.chain_order_id,
TransactionId = transactionId,
ActiveQuantity = message.remaining_qty,
FilledQuantity = message.fill_qty,
Price = instrumentResolver.ConvertPriceBack(order.Instrument, message.order.limit_price),
ChangeTime = adapter.ResolveDateTime(message.status_utc_time),
Quantity = message.remaining_qty + message.fill_qty,
State = ConvertionHelper.GetOrderState(message)
};
// Обработка изменения order_id (происходит при модификации заявки)
if (order.OrderExchangeId != change.OrderExchangeId)
{
ordersByOrderExchangeId.Remove(order.OrderExchangeId);
ordersByOrderExchangeId.Add(change.OrderExchangeId, order);
}
orderStatusByChainOrderId[message.chain_order_id] = message;
//order.AcceptStateMessage(change);
return(change);
}
}
public async void Visit(NewOrderTransaction transaction)
{
try
{
//internal async Task<string> ResolveInstrumentAsync(Instrument instrument)
//{
// var data = await instrumentConverter.ResolveInstrumentAsync(this, instrument);
// return data?.Symbol;
//}
var data = await connector.ResolveInstrumentDataAsync(transaction.Instrument);
if (data == null)
{
OnMessageReceived(TransactionReply.Rejected(transaction, $"Unable to get symbol of {transaction.Instrument}"));
return;
}
if (!accounts.TryGetValue(transaction.Account, out var account))
{
OnMessageReceived(TransactionReply.Rejected(transaction, $"Не найден счет {transaction.Account}"));
return;
}
var order = new SpimexAdapter.FTE.Order
{
account = account.code,
firm = account.firm,
client = account.client,
security = data.Symbol,
board = data.Board,
@type = transaction.GetOrderType(),
@params = transaction.GetOrderParams(),
buy_sell = transaction.GetOperation(),
price = PriceHelper.FromPrice(transaction.Price),
qty = transaction.Quantity,
trn = transaction.TransactionId.ToString("N"),
isMarketMaker = transaction.IsMarketMakerOrder,
comment = transaction.Comment,
};
var reply = await transClient.SendOrder(order);
OnMessageReceived(TransactionReply.Accepted(transaction, reply.code));
OrderState?state = null;
switch (reply.status)
{
case OrderStatus.CANCELED:
state = OrderState.Cancelled;
break;
case OrderStatus.MATCHED:
state = OrderState.Filled;
break;
case OrderStatus.FREEZED:
case OrderStatus.QUEUED:
state = reply.qty_executed > 0 ? OrderState.PartiallyFilled : OrderState.Active;
break;
}
var oscm = new OrderStateChangeMessage
{
TransactionId = transaction.TransactionId,
OrderExchangeId = reply.code,
Quantity = order.qty,
ActiveQuantity = reply.qtyLeft,
FilledQuantity = reply.qty_executed,
Price = PriceHelper.ToPrice(order.price),
ChangeTime = DateTime.Now,
State = state
};
OnMessageReceived(oscm);
}
catch (FTEException e)
{
OnMessageReceived(TransactionReply.Rejected(transaction, e.Message));
}
}
/// <summary>
/// Выплюнуть из раутера сообщение
/// </summary>
/// <param name="message">
/// Сообщение
/// </param>
internal void Transmit(OrderStateChangeMessage message)
{
OnMessageReceived(message);
}
public override void orderStatus(
int orderId,
string status,
int filled,
int remaining,
double avgFillPrice,
int permId,
int parentId,
double lastFillPrice,
int clientId,
string whyHeld)
{
using (orderInfoContainerLock.Lock())
{
OrderInfo orderInfo;
if (!orderInfoContainer.TryGetByTickerId(orderId, out orderInfo) &&
!orderInfoContainer.TryGetByPermId(permId, out orderInfo))
{
// Неизвестная заявка, ничего не поделаешь
return;
}
var orderState = IBUtils.ParseOrderState(status) ?? orderInfo.State;
// Если заявка снялась по запросу из OW, надо выплюнуть TransactionReply
if (orderState == OrderState.Cancelled &&
orderInfo.KillOrderTransactionId != null &&
!orderInfo.KillOrderTransactionReplySent)
{
connector.IBOrderRouter.Transmit(new TransactionReply
{
TransactionId = orderInfo.KillOrderTransactionId.Value,
Success = true
});
orderInfo.KillOrderTransactionReplySent = true;
}
// Вычисляем OSCM
var message = new OrderStateChangeMessage
{
ActiveQuantity = (uint)remaining,
ChangeTime = DateTime.Now,
FilledQuantity = (uint)filled,
OrderExchangeId = permId.ToString(CultureInfo.InvariantCulture),
Quantity = (uint?)(filled + remaining),
TransactionId = orderInfo.NewOrderTransactionId,
State = orderState
};
if (!double.IsNaN(lastFillPrice) &&
Math.Abs(lastFillPrice) > double.Epsilon)
{
message.Price = (decimal?)lastFillPrice;
}
if (message.State != null)
{
orderInfo.State = message.State.Value;
}
if (message.ActiveQuantity != null)
{
orderInfo.ActiveQuantity = (int)message.ActiveQuantity.Value;
}
// Выплевываем OSCM
connector.IBOrderRouter.Transmit(message);
// Пробуем отправить ожидающие филы
orderInfoContainer.ProcessPendingFills(orderInfo);
}
}
public override void error(int id, int errorCode, string errorMsg)
{
// See https://www.interactivebrokers.com/en/software/api/apiguide/tables/api_message_codes.htm
switch (errorCode)
{
case 504: // Not connected
case 1100: // Connectivity between IB and TWS has been lost
case 1300: // TWS socket port has been reset and this connection is being dropped. Please reconnect on the new port - <port_num>
Log.Error().Print(errorMsg);
errorEvent.Set();
connectedEvent.Reset();
disconnectedEvent.Set();
connector.RaiseConnectionStatusChanged(ConnectionStatus.Disconnected);
break;
case 1102:
Log.Info().Print(errorMsg);
connectedEvent.Set();
disconnectedEvent.Reset();
connector.RaiseConnectionStatusChanged(ConnectionStatus.Connected);
break;
case 162: // Historical market data Service error message.
// Historical data request pacing violation
// HMDS query returned no data
if (errorMsg.IndexOf("query returned no data", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.NoMoreData(id);
}
else if (errorMsg.IndexOf("Historical data request pacing violation", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.PaceViolation(id);
}
else if (errorMsg.IndexOf("Time length exceed max", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.TimeLengthExceedMax(id);
}
else
{
HistoricalDepthTickers.Fail(id, errorMsg);
}
break;
case 200: // No security definition has been found for the request.
{
PendingTestResult testResult;
if (pendingTestResultTickerContainer.TryGetPendingTestResult(id, out testResult))
{
testResult.Reject();
pendingTestResultTickerContainer.RemoveTickerId(id);
}
}
HistoricalDepthTickers.Fail(id, errorMsg);
connector.ContractContainer.RejectContract(id);
Log.Error().Print(errorMsg);
break;
case 202: // Order Canceled
break;
case 501: // Already connected
case 2104: // A market data farm is connected.
case 2106: // A historical data farm is connected.
Log.Info().Print(errorMsg);
break;
case 10092:
// Deep market data is not supported for this combination of security type/exchange
Instrument instrument;
if (marketDepthTickers.TryGetInstrument(id, out instrument))
{
Log.Error().Print($"Unable to retreive order book on {instrument.Code}. {errorMsg.Preformatted()}");
break;
}
goto default;
case 110: // The price does not conform to the minimum price variation for this contract.
case 201: // Order rejected - reason:THIS ACCOUNT MAY NOT HOLD SHORT STOCK POSITIONS.
case 203: // The security <security> is not available or allowed for this account
HistoricalDepthTickers.Fail(id, errorMsg);
using (orderInfoContainerLock.Lock())
{
OrderInfo orderInfo;
if (!orderInfoContainer.TryGetByTickerId(id, out orderInfo))
{
// Неизвестная заявка, ничего не поделаешь
goto default;
}
orderInfo.State = OrderState.Error;
// Вычисляем OSCM
var oscm = new OrderStateChangeMessage
{
TransactionId = orderInfo.NewOrderTransactionId,
ActiveQuantity = (uint)orderInfo.ActiveQuantity,
ChangeTime = DateTime.Now,
FilledQuantity = (uint)(orderInfo.Quantity - orderInfo.ActiveQuantity),
OrderExchangeId = orderInfo.PermId.ToString(CultureInfo.InvariantCulture),
Quantity = (uint?)(orderInfo.Quantity),
State = OrderState.Error
};
// Выплевываем OSCM
connector.IBOrderRouter.Transmit(oscm);
Log.Error().Print($"Unable to place order {orderInfo.PermId}. {errorMsg.Preformatted()}");
}
break;
default:
// Warning codes range
if (errorCode >= 2100 && errorCode <= 2110)
{
Log.Warn().Print(errorMsg);
}
else
{
PendingTestResult testResult;
Instrument subscriptionInstrument;
if (pendingTestResultTickerContainer.TryGetPendingTestResult(id, out testResult))
{
testResult.Reject();
pendingTestResultTickerContainer.RemoveTickerId(id);
}
else if (marketDataTickers.TryGetInstrumentAndPendingTestResult(id, out subscriptionInstrument, out testResult))
{
testResult?.Reject();
marketDataTickers.RemoveTickerId(id);
}
Log.Error().Print($"IB error #{errorCode}: {errorMsg.Preformatted()}");
errorEvent.Set();
HistoricalDepthTickers.Fail(id, errorMsg);
}
break;
}
// TODO если пришла ошибка по тикеру - тикер нужно убить?
}
private async void Handle(ExecutionReport msg)
{
var clOrderId = msg.ClOrdID.Obj;
string origClOrderId = null;
if (msg.IsSetOrigClOrdID())
{
origClOrderId = msg.OrigClOrdID.Obj;
}
var state = msg.IsSetOrdStatus() ? ConvertOrderState(msg.OrdStatus) : null;
var price = msg.IsSetPrice() ? msg.Price.Obj : (decimal?)null;
price = price != 0M ? price : null;
var qty = msg.IsSetOrderQty() ? (uint)msg.OrderQty.Obj : (uint?)null;
var filledQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
var activeQty = msg.IsSetLeavesQty() ? (uint)msg.LeavesQty.Obj : (uint?)null;
var time = msg.IsSetTransactTime() ? ParseTransactTime() : DateTime.Now;
var orderExchangeId = msg.IsSetOrderID() ? msg.OrderID.Obj : null;
var transactionId = _orders.GetOrCreateOrderTransactionId(origClOrderId ?? clOrderId);
var oscm = new OrderStateChangeMessage
{
TransactionId = transactionId,
State = state,
Price = price,
Quantity = qty,
FilledQuantity = filledQty,
ActiveQuantity = activeQty,
ChangeTime = time,
OrderExchangeId = orderExchangeId
};
switch (msg.ExecType.Obj)
{
case ExecType.NEW:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
break;
case ExecType.TRADE:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.PARTIAL_FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
break;
case ExecType.REJECTED:
string rejectReason;
switch (msg.OrdRejReason.Obj)
{
case OrdRejReason.UNKNOWN_SYMBOL:
rejectReason = "Unknown symbol";
break;
case OrdRejReason.EXCHANGE_CLOSED:
rejectReason = "Exchange closed";
break;
case OrdRejReason.ORDER_EXCEEDS_LIMIT:
rejectReason = "Order exceeds limit";
break;
case OrdRejReason.DUPLICATE_ORDER:
rejectReason = "Duplicate order";
break;
default:
rejectReason = $"#{msg.OrdRejReason.Obj}";
break;
}
if (!string.IsNullOrEmpty(msg.Text?.Obj))
{
rejectReason = $"{rejectReason}. {msg.Text?.Obj}";
}
_newOrderTransactions.Reject(clOrderId, rejectReason);
_orders.ForgetOrder(transactionId);
break;
case ExecType.PENDING_CANCEL:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
SendMessage(oscm);
break;
case ExecType.CANCELED:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
SendMessage(oscm);
break;
case ExecType.PENDING_REPLACE:
_modifyOrderTransactions.Accept(clOrderId);
break;
case ExecType.REPLACED:
_newOrderTransactions.Forget(origClOrderId);
_killOrderTransactions.Forget(clOrderId);
_orders.UpdateOrderParams(
orderExchangeId: orderExchangeId,
origClOrderId: origClOrderId,
clOrderId: clOrderId,
symbol: msg.Symbol.Obj,
qty: msg.OrderQty.Obj,
side: msg.Side.Obj);
SendMessage(oscm);
break;
default:
_Log.Warn().PrintFormat("Unknown ExecType: {0}", msg.ExecType.Obj);
break;
}
OrderState?ConvertOrderState(OrdStatus field)
{
switch (field.Obj)
{
case OrdStatus.PENDING_NEW: return(OrderState.New);
case OrdStatus.NEW: return(OrderState.Active);
case OrdStatus.CANCELED: return(OrderState.Cancelled);
case OrdStatus.FILLED: return(OrderState.Filled);
case OrdStatus.PARTIALLY_FILLED: return(OrderState.PartiallyFilled);
case OrdStatus.REJECTED: return(OrderState.Error);
case OrdStatus.PENDING_CANCEL: return(null);
case OrdStatus.PENDING_REPLACE: return(null);
default:
_Log.Warn().PrintFormat("Unknown OrdStatus: {0}", field.Obj);
return(null);
}
}
DateTime ParseTransactTime()
{
var maxLen = "20170912-09:39:57.2761221".Length;
var str = msg.GetString(60 /*TransactTime*/);
if (str.Length > maxLen)
{
str = str.Substring(0, maxLen);
}
var t = DateTime.ParseExact(str, "yyyyMMdd-HH:mm:ss.fffffff", null, DateTimeStyles.AssumeUniversal);
return(t);
}
async Task EmitFillAsync()
{
if (!msg.IsSetSecondaryExecID())
{
return;
}
var fillExchangeId = msg.SecondaryExecID.Obj;
var fillPrice = msg.IsSetLastPx() ? msg.LastPx.Obj : (decimal?)null;
price = price != 0M ? price : null;
var fillQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
if (fillPrice == null || fillQty == null)
{
return;
}
Instrument instrument;
try
{
instrument = await _settings.InstrumentConverter.ResolveSymbolAsync(this, msg.Symbol.Obj);
}
catch (Exception e)
{
_Log.Error().Print(e, $"Failed to resolve instrument {msg.Symbol.Obj}");
return;
}
var fill = new FillMessage
{
Price = fillPrice.Value,
Quantity = fillQty.Value,
DateTime = time,
Instrument = instrument,
Account = msg.Account.Obj,
Operation = msg.Side.Obj == Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
ExchangeId = fillExchangeId,
ExchangeOrderId = orderExchangeId
};
SendMessage(fill);
}
}
