/// <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 string SendAutospreaderOrder(ttapiUtils.AutoSpreader autoSpreader,
int qty, decimal price, string orderTag, Logger logger, int reloadQuantity = 0)
{
Instrument instrument = autoSpreader.AutoSpreaderInstrument;
InstrumentDetails instrumentDetails = instrument.InstrumentDetails;
AutospreaderSyntheticOrderProfile op = new AutospreaderSyntheticOrderProfile(((AutospreaderInstrument)instrument).GetValidGateways()[autoSpreader.GateWay],
(AutospreaderInstrument)instrument);
BuySell Direction = BuySell.Buy;
Rounding Rounding = Rounding.Down;
if (qty < 0)
{
Direction = BuySell.Sell;
qty = -qty;
Rounding = Rounding.Up;
}
string OrderKey = op.SiteOrderKey;
if (reloadQuantity != 0)
{
op.SlicerType = SlicerType.Reload;
op.DisclosedQuantity = Quantity.FromInt(instrument, reloadQuantity);
}
op.BuySell = Direction;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
op.OrderTag = orderTag;
op.LimitPrice = Price.FromDouble(instrumentDetails, Convert.ToDouble(price), Rounding);
if (!autoSpreader.ts.SendOrder(op))
{
logger.Log("Send new order failed: " + op.RoutingStatus.Message);
}
else
{
logger.Log("Send new order succeeded.");
}
return(OrderKey);
}
private void SendLimitOrder(BuySell buySell, int qty, double price)
{
OrderFeed feed = GetOrderFeed();
LaunchReturnCode lrc = SpreadInstrument.LaunchToOrderFeed(feed);
if (lrc == LaunchReturnCode.Success)
{
AutospreaderSyntheticOrderProfile prof = new AutospreaderSyntheticOrderProfile(feed, SpreadInstrument);
prof.BuySell = buySell;
prof.OrderQuantity = Quantity.FromInt(SpreadInstrument, qty);
prof.OrderType = OrderType.Limit;
prof.LimitPrice = Price.FromDouble(SpreadInstrument, price);
if (!SpreadInstrument.Session.SendOrder(prof))
{
Console.WriteLine("send order failed: {0}", prof.RoutingStatus.Message);
}
}
}
public static bool SendAutospreaderOrder(TradingTechnologies.TTAPI.Instrument instrument, InstrumentDetails instrumentDetails, ttapiUtils.AutoSpreader autoSpreader,
int qty, decimal price, string orderTag,Logger logger)
{
AutospreaderSyntheticOrderProfile op = new AutospreaderSyntheticOrderProfile(((AutospreaderInstrument)instrument).GetValidGateways()[autoSpreader.GateWay],
(AutospreaderInstrument)instrument);
BuySell Direction = BuySell.Buy;
Rounding Rounding = Rounding.Down;
if (qty < 0)
{
Direction = BuySell.Sell;
qty = -qty;
Rounding = Rounding.Up;
}
op.BuySell = Direction;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
op.OrderTag = orderTag;
op.LimitPrice = Price.FromDouble(instrumentDetails, Convert.ToDouble(price), Rounding);
if (!autoSpreader.ts.SendOrder(op))
{
logger.Log("Send new order failed: " + op.RoutingStatus.Message);
return false;
}
else
{
logger.Log("Send new order succeeded.");
return true;
}
}
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);
}
/// <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();
}
}
}
private void StartOrderSubmission(AutospreaderInstrument instrument)
{
// Submit an Autospreader order to the local Autospreader Engine. As a result, the
// Autospreader Instrument need not be launched to it. If you are going to use any other
// Autospreader Engine, you will need to launch the Autospreader Instrument to it.
Console.WriteLine("Submitting the Autospreader order to the local Autospreader Engine...");
// An ASInstrumentTradeSubscription object is filtered by the given Autospreader instrument
ts = new ASInstrumentTradeSubscription(apiInstance.Session, Dispatcher.Current, instrument);
ts.OrderAdded += new EventHandler<OrderAddedEventArgs>(ts_OrderAdded);
ts.OrderFilled += new EventHandler<OrderFilledEventArgs>(ts_OrderFilled);
ts.OrderRejected += new EventHandler<OrderRejectedEventArgs>(ts_OrderRejected);
ts.OrderDeleted += new EventHandler<OrderDeletedEventArgs>(ts_OrderDeleted);
ts.OrderUpdated += new EventHandler<OrderUpdatedEventArgs>(ts_OrderUpdated);
ts.Start();
AutospreaderSyntheticOrderProfile profile = new AutospreaderSyntheticOrderProfile(
apiInstance.Session.MarketCatalog.LocalAutospreaderEngineOrderFeed, instrument);
profile.QuantityToWork = Quantity.FromInt(instrument, 1);
profile.OrderType = OrderType.Limit;
profile.BuySell = BuySell.Buy;
profile.LimitPrice = Price.FromInt(instrument, 0);
if (apiInstance.Session.SendOrder(profile))
{
orderKey = profile.SiteOrderKey;
Console.WriteLine("Order Submitted, key: {0}", profile.SiteOrderKey);
}
else
{
Console.WriteLine("Send Order failed: {0}", profile.RoutingStatus.Message);
Dispose();
}
}
