}// ProcessOrderAdded
//
//
private void ProcessOrderDeleted(TT.OrderDeletedEventArgs eventArg)
{
Log.BeginEntry(LogLevel.Minor, "ProcessOrderDeleted:");
OrderBookEventArgs outgoingEventArg = null; // outgoing event, if needed.
TT.Order ttOrder = eventArg.OldOrder;
InstrumentName name;
OrderBook baseBook;
if (m_TTKey2Name.TryGetValue(ttOrder.InstrumentKey, out name) && this.TryEnterBookWrite(name, out baseBook))
{
OrderBookTT book = (OrderBookTT)baseBook;
string tag;
if (book.m_TagTT2Bre.TryGetValue(ttOrder.SiteOrderKey, out tag))
{
Order deletedOrder;
if (book.TryDeleteOrder(tag, out deletedOrder))
{
outgoingEventArg = new OrderBookEventArgs(this, name, OrderBookEventArgs.EventTypes.DeletedOrder); // Load out-going eventArg
outgoingEventArg.Order = deletedOrder;
Log.AppendEntry(" Deleted order {0} to book {1}.", deletedOrder, book);
}
}
this.ExitBookWrite(baseBook);
}
Log.EndEntry();
if (outgoingEventArg != null)
{
OnBookChanged(outgoingEventArg);
}
}// ProcessOrderDelete()
}//StoreOrder()
//
//
//
#endregion // order update handlers
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
//
//
// *****************************************************
// **** Try Create New Book() ****
// *****************************************************
private bool TryCreateNewBook(TT.InstrumentKey ttKey, out OrderBookTT book)
{
book = null;
InstrumentName name;
TT.InstrumentDetails details;
if (m_Market.TryLookupInstrument(ttKey, out name) && m_Market.TryLookupInstrumentDetails(name, out details))
{ // Market knows this instrument already.
Log.BeginEntry(LogLevel.Minor, "TryCreateNewBook: Creating book.");
book = new OrderBookTT(this, name); // Create book.
double minTickSize = Convert.ToDouble(details.TickSize.Numerator) / Convert.ToDouble(details.TickSize.Denominator);
book.MinimumPriceTick = minTickSize;
if (m_Books.TryAdd(book.m_InstrumentName, book))
{
m_TTKey2Name.TryAdd(ttKey, book.m_InstrumentName);
Log.AppendEntry(" New book created {0}.", book);
Log.EndEntry();
return(true);
}
else
{
Log.AppendEntry(" Failed to add book to Books.");
Log.EndEntry();
return(false);
}
}
else
{ // Market doesnt know this instrument yet.
Log.NewEntry(LogLevel.Minor, "TryCreateNewBook: Market instrument unknown. Requesting details from market for {0}.", TTConvert.ToString(ttKey));
m_Market.RequestInstruments(ttKey); // request to look it up.
return(false);
}
}//TryCreateNewBook()
}// ProcessMarketFoundResource()
//
//
//
#endregion//Private HubEvent Handler
#region Private Order Update Handlers
// *****************************************************************
// **** Private Order Update Handlers ****
// *****************************************************************
//
//
private void ProcessOrderAdded(TT.OrderAddedEventArgs eventArg)
{
Log.BeginEntry(LogLevel.Minor, "ProcessOrderAdded:");
OrderBookEventArgs outgoingEventArg = null;
TT.Order ttOrder = eventArg.Order;
InstrumentName name;
OrderBook book;
if (m_TTKey2Name.TryGetValue(ttOrder.InstrumentKey, out name) && this.TryEnterBookWrite(name, out book))
{ // We know this TTKey, and have an associated book!
OrderBookTT booktt = (OrderBookTT)book;
Order newOrder = booktt.CreateNewOrder();
int mktSign = Misty.Lib.Utilities.QTMath.BuySign;
newOrder.Side = Misty.Lib.Utilities.QTMath.BuySide;
if (ttOrder.BuySell == TT.BuySell.Sell)
{
mktSign = Misty.Lib.Utilities.QTMath.SellSign;
newOrder.Side = Misty.Lib.Utilities.QTMath.SellSide;
}
newOrder.Qty = mktSign * ttOrder.WorkingQuantity.ToInt();
newOrder.IPrice = (int)Math.Round(ttOrder.LimitPrice.ToDouble() / book.MinimumPriceTick);
int intPrice = ttOrder.LimitPrice.ToInt(); // for debugging
if (book.TryAddOrder(newOrder))
{
booktt.m_TagBre2TT.Add(newOrder.Tag, ttOrder.SiteOrderKey);
booktt.m_TagTT2Bre.Add(ttOrder.SiteOrderKey, newOrder.Tag);
outgoingEventArg = new OrderBookEventArgs(this, name, OrderBookEventArgs.EventTypes.NewOrder); // Load out-going eventArg
outgoingEventArg.Order = newOrder;
Log.AppendEntry(" Added new order {0} to book {2}.", newOrder, ttOrder, book);
}
else
{
Log.AppendEntry(" Failed to add order {0} to book {2}. Store order for later.", newOrder, ttOrder, book);
StoreTTEvent(eventArg, ttOrder.InstrumentKey);
}
this.ExitBookWrite(book);
}
else
{ // We have no book for this instrument.
StoreTTEvent(eventArg, ttOrder.InstrumentKey); // Store order and request mkt details.
}
Log.EndEntry();
if (outgoingEventArg != null)
{
OnBookChanged(outgoingEventArg);
}
}// ProcessOrderAdded
