private void AcceptOrder(int orderId, IB.Contract contract, IB.Order order)
{
int filled = 0;
int remaining = order.TotalQuantity;
// Accept
mockIBClient.Raise(ib => ib.OrderStatus += null,
new OrderStatusEventArgs(orderId, IB.OrderStatus.Submitted, filled, remaining,
(decimal)order.LimitPrice, 333333, 0, (decimal)0.0, order.ClientId, ""));
}
public bool MatchOrders(IB.Order expected, IB.Order actual)
{
Assert.AreEqual(expected.Account, actual.Account, "Order.Account");
Assert.AreEqual(expected.Action, actual.Action, "Order.Action");
Assert.AreEqual(expected.ClientId, actual.ClientId, "Order.ClientId");
Assert.AreEqual(expected.OcaGroup, actual.OcaGroup, "Order.OcaGroup");
Assert.AreEqual(expected.OrderId, actual.OrderId, "Order.OrderId");
Assert.AreEqual(expected.TotalQuantity, actual.TotalQuantity, "Order.TotalQuantity");
Assert.AreEqual((double)expected.LimitPrice, (double)actual.LimitPrice, 0.05, "Order.LimitPrice");
Assert.AreEqual((double)expected.AuxPrice, (double)actual.AuxPrice, 0.005, "Order.AuxPrice");
Assert.AreEqual(expected.Tif, actual.Tif, "Order.Tif");
Assert.AreEqual(expected.OrderType, actual.OrderType, "Order.OrderType");
return(true);
}
public void SendTest()
{
// Arrange
OQ.Order order = CreateOQOrder(456);
// Accept and Fill Order
mockIBClient.Setup(ib => ib.PlaceOrder(It.IsAny<int>(), It.IsAny<IB.Contract>(), It.IsAny<IB.Order>()))
.Callback((int id, IB.Contract ctr, IB.Order ord) => AcceptAndFillOrder(id, ctr, ord));
target.Send(order); // Act
// info PlaceOrder
string expected_text = @"PlaceOrder.ID=42, Orderref=, Symbol=OQOQ, Action=Buy, Size=456, OrderType=Limit, limit price=12.34, Aux price=45.57.";
logger.Verify(log => log.AddLog(LoggerLevel.Information, It.IsRegex(expected_text)));
// expected contract
Contract exp_contract = new Contract();
exp_contract.Currency = "CHF";
exp_contract.Exchange = "Brasil";
exp_contract.SecurityType = SecurityType.Stock;
exp_contract.Symbol = "OQOQ";
// expected order
IB.Order exp_iborder = new IB.Order();
exp_iborder.Account = "U111";
exp_iborder.ClientId = 9876; // must come from Settings
exp_iborder.OcaGroup = "MyOCA";
exp_iborder.OrderId = 42;
exp_iborder.TotalQuantity = 456;
exp_iborder.Action = ActionSide.Buy;
exp_iborder.AuxPrice = (decimal)45.57;
exp_iborder.LimitPrice = (decimal)12.34;
exp_iborder.Tif = Krs.Ats.IBNet96.TimeInForce.GoodTillCancel;
exp_iborder.OrderType = OrderType.Limit;
mockIBClient.Verify(ib => ib.PlaceOrder(42,
It.Is<IB.Contract>(ctr => MatchContracts(exp_contract, ctr)),
It.Is<IB.Order>(ord => MatchOrders(exp_iborder, ord))));
// check Info returned in OQ.Order
Assert.AreEqual("42", order.OrderID);
Assert.AreEqual("9876", order.ClientID); // from Settings / StingrayOQ.ClientId Property
// ibclient_OrderStatus
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* ibclient_OrderStatus.*")));
logger.Verify(log => log.AddLog(LoggerLevel.Information,
"ibclient_OrderStatus: received from TWS ID: 42, ClientID: 9876, Filled: 0, Remaining: 456, Status: Submitted"));
// OnOrderAccepted
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* OnOrderAccepted")));
userProvider.Verify(up => up.EmitAccepted(It.Is<OQ.Order>(ord => ord.OrderID == "42")));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* OnOrderAccepted")));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* ibclient_OrderStatus.*")));
// OnOrderFilled
logger.Verify(log => log.AddLog(LoggerLevel.Information,
"ibclient_OrderStatus: received from TWS ID: 42, ClientID: 9876, Filled: 456, Remaining: 0, Status: Filled"));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* OnOrderFilled")));
userProvider.Verify(up => up.EmitFilled(It.Is<OQ.Order>(ord => ord.OrderID == "42"), 12.34, 456));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* OnOrderFilled")));
// never saw an error?
logger.Verify(log => log.AddLog(LoggerLevel.Error, It.IsAny<string>()), Times.Never(),
"unexpected error log");
}
public void SendTest()
{
// Arrange
OQ.Order order = CreateOQOrder(456);
// Accept and Fill Order
mockIBClient.Setup(ib => ib.PlaceOrder(It.IsAny <int>(), It.IsAny <IB.Contract>(), It.IsAny <IB.Order>()))
.Callback((int id, IB.Contract ctr, IB.Order ord) => AcceptAndFillOrder(id, ctr, ord));
target.Send(order); // Act
// info PlaceOrder
string expected_text = @"PlaceOrder.ID=42, Orderref=, Symbol=OQOQ, Action=Buy, Size=456, OrderType=Limit, limit price=12.34, Aux price=45.57.";
logger.Verify(log => log.AddLog(LoggerLevel.Information, It.IsRegex(expected_text)));
// expected contract
Contract exp_contract = new Contract();
exp_contract.Currency = "CHF";
exp_contract.Exchange = "Brasil";
exp_contract.SecurityType = SecurityType.Stock;
exp_contract.Symbol = "OQOQ";
// expected order
IB.Order exp_iborder = new IB.Order();
exp_iborder.Account = "U111";
exp_iborder.ClientId = 9876; // must come from Settings
exp_iborder.OcaGroup = "MyOCA";
exp_iborder.OrderId = 42;
exp_iborder.TotalQuantity = 456;
exp_iborder.Action = ActionSide.Buy;
exp_iborder.AuxPrice = (decimal)45.57;
exp_iborder.LimitPrice = (decimal)12.34;
exp_iborder.Tif = Krs.Ats.IBNet96.TimeInForce.GoodTillCancel;
exp_iborder.OrderType = OrderType.Limit;
mockIBClient.Verify(ib => ib.PlaceOrder(42,
It.Is <IB.Contract>(ctr => MatchContracts(exp_contract, ctr)),
It.Is <IB.Order>(ord => MatchOrders(exp_iborder, ord))));
// check Info returned in OQ.Order
Assert.AreEqual("42", order.OrderID);
Assert.AreEqual("9876", order.ClientID); // from Settings / StingrayOQ.ClientId Property
// ibclient_OrderStatus
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* ibclient_OrderStatus.*")));
logger.Verify(log => log.AddLog(LoggerLevel.Information,
"ibclient_OrderStatus: received from TWS ID: 42, ClientID: 9876, Filled: 0, Remaining: 456, Status: Submitted"));
// OnOrderAccepted
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* OnOrderAccepted")));
userProvider.Verify(up => up.EmitAccepted(It.Is <OQ.Order>(ord => ord.OrderID == "42")));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* OnOrderAccepted")));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* ibclient_OrderStatus.*")));
// OnOrderFilled
logger.Verify(log => log.AddLog(LoggerLevel.Information,
"ibclient_OrderStatus: received from TWS ID: 42, ClientID: 9876, Filled: 456, Remaining: 0, Status: Filled"));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("START.* OnOrderFilled")));
userProvider.Verify(up => up.EmitFilled(It.Is <OQ.Order>(ord => ord.OrderID == "42"), 12.34, 456));
logger.Verify(log => log.AddLog(LoggerLevel.Detail, It.IsRegex("END.* OnOrderFilled")));
// never saw an error?
logger.Verify(log => log.AddLog(LoggerLevel.Error, It.IsAny <string>()), Times.Never(),
"unexpected error log");
}
private void Send2(OQ.Order order, double newQty = double.NaN, double newPrice = double.NaN, double newStopPrice = double.NaN)
{
if (!CheckTWS()) return;
if (!IsConnected)
{
EmitError("Not connected.");
return;
}
// check Account
if(activeAccounts.Count > 1)
{
if(string.IsNullOrWhiteSpace(order.Account))
{
throw new Exception("no account specified");
}
}
int orderId;
Contract contract = new Contract();
IB.Order iborder = new IB.Order();
// OrderId
int nextId;
lock (private_lock)
{
nextId = nextValidId;
nextValidId++;
}
iborder.OrderId = nextId;
// Order Attributes
iborder.Account = order.Account;
IB.ActionSide ibaction;
if (!Helpers.OrderSideToActionSide(order.Side, out ibaction)) // Buy / Sell
{
error("unknown order side in Order " + order.Instrument.Symbol);
return;
}
iborder.Action = ibaction;
if (!double.IsNaN(newStopPrice)) iborder.AuxPrice = (decimal) newStopPrice;
else iborder.AuxPrice = (decimal)order.StopPrice; // stop orders only
iborder.ClientId = ClientId;
IB.FinancialAdvisorAllocationMethod faMethod;
if (order.IB.FaMethod == IBFaMethod.Undefined) // use Order Defaults form Settings
{
iborder.FAMethod = FAMethod;
iborder.FAGroup = FAGroup;
iborder.FAPercentage = FAPercentage;
iborder.FAProfile = FAProfile;
}
else
{
if (!Helpers.OQFAMethodTOIBFAMethod(order.IB.FaMethod, out faMethod))
{
error("bad FA allocation method in order " + order.Instrument.Symbol);
}
iborder.FAMethod = faMethod;
iborder.FAGroup = order.IB.FaGroup;
iborder.FAPercentage = order.IB.FaPercentage.ToString();
iborder.FAProfile = order.IB.FaProfile;
OQ.IBFaMethod oqfamethod;
if (!Helpers.FAAllocationMethodTOIBFAMethod(iborder.FAMethod, out oqfamethod))
{
error("unknown FA allocation method in settings");
}
order.IB.FaMethod = oqfamethod;
order.IB.FaGroup = iborder.FAGroup;
if (iborder.FAPercentage == "") order.IB.FaPercentage = 0.0;
else order.IB.FaPercentage = double.Parse(iborder.FAPercentage, CultureInfo.InvariantCulture);
order.IB.FaProfile = order.IB.FaProfile;
}
// iborder.GoodAfterTime = order.StrategyPrice??
// iborder.GoodTillDate = order.ExpireTime;
iborder.Hidden = order.IB.Hidden;
if (!double.IsNaN(newPrice)) iborder.LimitPrice = (decimal)newPrice;
else iborder.LimitPrice = (decimal)order.Price;
// iborder.MinQty
// iborder.NbboPriceCap
// = order.IB.DisplaySize;
iborder.OcaGroup = order.OCAGroup;
IB.OrderType ibtype;
if (!Helpers.OQOrderTypeToIBOrderType(order.Type, out ibtype))
{
error("bad order type in order " + order.Instrument.Symbol);
return;
}
iborder.OrderType = ibtype;
// iborder.Origin
// iborder.OutsideRth = order.???
// iborder.OverridePercentageConstraints = ???
// iborder.ParentId
// iborder.PercentOffset
// iborder.PermId
// iborder.ReferencePriceType
// iborder.Rule80A
// iborder.StartingPrice
// iborder.StockRangeLower
// iborder.StockRangeUpper
// iborder.StockRefPrice
// iborder.SweepToFill
IB.TimeInForce ibtif;
if (!Helpers.OQTimeInForceToIBTimeInForce(order.TimeInForce, out ibtif))
{
error("unknown time in force in order " + order.Instrument.Symbol);
return;
}
iborder.Tif = ibtif;
if (!double.IsNaN(newQty)) iborder.TotalQuantity = (int) Math.Round(newQty);
else iborder.TotalQuantity = (int)Math.Round(order.Qty);
// iborder.TrailStopPrice = order.???
iborder.Transmit = AutoTransmit;
// iborder.TriggerMethod
// iborder.Volatility
// iborder.VolatilityType
// iborder.WhatIf
// Contract
// contract.ComboLegs
// contract.ComboLegsDescription
// contract.ContractId
contract.Currency = order.Instrument.Currency;
contract.Exchange = order.Instrument.Exchange;
contract.Expiry = order.Instrument.Maturity.ToString("yyyyMM"); // YYYYMM
// contract.IncludeExpired
// contract.LocalSymbol
contract.Multiplier = order.Instrument.Factor.ToString();
// contract.PrimaryExchange
// contract.Right
// contract.SecId
IB.SecurityType secType;
if (!Helpers.InstrumentTypeToSecurityType(order.Instrument.Type, out secType))
{
error("bad instrument type in order " + order.Instrument.Symbol);
}
contract.SecurityType = secType;
contract.Strike = order.Instrument.Strike;
contract.Symbol = order.Instrument.Symbol;
// contract.UnderlyingComponent
// parse advanced order attributes
if (!string.IsNullOrWhiteSpace(order.Text))
{
string[] fields = order.Text.Split(';');
foreach(string field in fields)
{
if (!field.Contains("=") && !field.Contains(":")) continue;
string[] nameval = field.Split(new char[] {'=', ':'});
string name = nameval[0].Trim().ToLower();
string value = nameval[1].Trim();
switch(name)
{
case "orderref":
iborder.OrderRef = value;
break;
default:
error("unknown name \"" + name + "\" in text of order " + order.Instrument.Symbol);
break;
}
}
}
// send to TWS
info("PlaceOrder("
+ "ID=" + iborder.OrderId.ToString()
+ ", Orderref=" + (iborder.OrderRef ?? "")
+ ", Symbol=" + contract.Symbol
+ ", Action=" + iborder.Action.ToString()
+ ", Size=" + iborder.TotalQuantity.ToString()
+ ", OrderType=" + iborder.OrderType.ToString()
+ ", limit price=" + iborder.LimitPrice.ToString()
+ ", Aux price=" + iborder.AuxPrice.ToString()
+ ")");
// Set Infos back to OQ.Order
order.OrderID = iborder.OrderId.ToString();
order.ClientID = iborder.ClientId.ToString();
// Remember active orders
workingOrders[iborder.OrderId.ToString()] = new SrOrderInfo(order);
// finally send to broker
ibclient.PlaceOrder(iborder.OrderId, contract, iborder);
}
