/// <summary>
/// Called when HTB Locate event is Raised by Blackwood
/// </summary>
private void OnLocate(object sender, BWOrder locatemsg)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("HTB Locate event raised by Blackwood: " + locatemsg.ToString(), _type.FullName, "OnLocate");
}
//Create limit order containing locate parameters
LimitOrder locateOrder = OrderMessage.GenerateLimitOrder(locatemsg.ClientOrderID.ToString(),
new Security()
{
Symbol = locatemsg.Symbol
},
locatemsg.OrderSide2.ToString(),
(int)locatemsg.Size,
(decimal)locatemsg.LimitPrice,
_orderExecutionProviderName);
// Raise event to notify listeners
if (OnLocateMessage != null)
{
// Update BW Locate Orders Map
_locateOrders.AddOrUpdate(locatemsg.ClientOrderID.ToString(), locatemsg, (key, value) => locatemsg);
// Fire Event
OnLocateMessage(locateOrder);
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "OnLocate");
}
}
/// <summary>
/// Called when Order Update is received from Blackwood
/// </summary>
private void OnOrderUpdate(object sender, BWOrder ordermsg)
{
try
{
if (ordermsg.OrderID != 0 && ordermsg.OrderStatus == OrderStatus.Market)
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Order update received from Blackwood: " + ordermsg.ToString(), _type.FullName, "OnOrderUpdate");
}
if (Logger.IsDebugEnabled)
{
Logger.Debug("BW-Order ID: " + ordermsg.OrderID + " | BW-ClientOrder ID: " + ordermsg.ClientOrderID,
_type.FullName, "OnOrderUpdate");
}
// Get corresponding Local Order ID
string localId = (from id in _localToBlackwoodIdsMap
where id.Value.Equals(ordermsg.ClientOrderID.ToString())
select id.Key).FirstOrDefault();
if (localId == null)
{
return;
}
Order order = new Order(_orderExecutionProviderName)
{
OrderID = localId,
OrderSide = BlackwoodTypeConvertor.OrderSideConvertor.GetTradeHubOrderSide(ordermsg.OrderSide2),
OrderSize = Convert.ToInt32(ordermsg.Size),
Security = new Security {
Symbol = ordermsg.Symbol
},
OrderDateTime = ordermsg.OrderTime
};
// Update IDs Map
_localToBlackwoodIdsMap[localId] = ordermsg.OrderID.ToString();
BWOrder bwOrder;
if (_bwOrders.TryRemove(ordermsg.ClientOrderID.ToString(), out bwOrder))
{
// Update Orders Map
_bwOrders.TryAdd(ordermsg.OrderID.ToString(), bwOrder);
}
// Raise Order Acceptance Event
if (NewArrived != null)
{
NewArrived(order);
}
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "OnOrderUpdate");
}
}
/// <summary>
/// Sends Market Order on the given Order Execution Provider
/// </summary>
/// <param name="marketOrder">TradeHub MarketOrder</param>
public void SendMarketOrder(MarketOrder marketOrder)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending Market Order on Blackwood." + marketOrder, _type.FullName, "SendMarketOrder");
}
OrderSide tempSide = BlackwoodTypeConvertor.OrderSideConvertor.GetBlackwoodOrderSide(marketOrder.OrderSide);
TIMEOUT tempTimeout = BlackwoodTypeConvertor.OrderTifConvertor.GetBlackwoodOrderTif(marketOrder.OrderTif);
if (tempSide.Equals(ORDER_SIDE.NONE))
{
Logger.Info("Invalid Order Side", _type.FullName, "SendMarketOrder");
return;
}
// Create Blackwood Order
//BWOrder bwOrder = new BWOrder(_session, marketOrder.Security.Symbol, tempSide,
// (uint)marketOrder.OrderSize, 0, 0,
// ORDER_TYPE.MARKET, (int)tempTimeout, FEED_ID.NONE, false,
// (uint)marketOrder.OrderSize);
BWOrder bwOrder = new BWOrder(_session, marketOrder.Security.Symbol, tempSide,
(uint)marketOrder.OrderSize, 0, OrderType.MARKET, (int)tempTimeout, FeedId.NONE, false,
(uint)marketOrder.OrderSize);
// Set OPG Venue
DetermineAndSetTraderDestinationsMarket(bwOrder, marketOrder.Exchange);
// Send Order to gateway
bwOrder.Send();
// Update Local IDs Map
_localToBlackwoodIdsMap.TryAdd(marketOrder.OrderID, bwOrder.ClientOrderID.ToString());
// Update BW-Orders Map
_bwOrders.TryAdd(bwOrder.ClientOrderID.ToString(), bwOrder);
if (Logger.IsDebugEnabled)
{
Logger.Debug("BW-Order ID: " + bwOrder.OrderID + " | BW-ClientOrder ID: " + bwOrder.ClientOrderID,
_type.FullName, "SendMarketOrder");
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SendMarketOrder");
}
}
/// <summary>
/// Sends Limit Order on the given Order Execution Provider
/// </summary>
/// <param name="limitOrder">TradeHub LimitOrder</param>
public void SendLimitOrder(LimitOrder limitOrder)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending Limit Order on Blackwood." + limitOrder, _type.FullName, "SendLimitOrder");
}
OrderSide tempSide = BlackwoodTypeConvertor.OrderSideConvertor.GetBlackwoodOrderSide(limitOrder.OrderSide);
TIMEOUT tempTimeout = BlackwoodTypeConvertor.OrderTifConvertor.GetBlackwoodOrderTif(limitOrder.OrderTif);
if (tempSide.Equals(ORDER_SIDE.NONE))
{
Logger.Info("Invalid Order Side", _type.FullName, "SendLimitOrder");
return;
}
// NOTE: FFED_ID is fixed to ARCA according to StockTrader code
// Create Blackwood Order
//BWOrder bwOrder = new BWOrder(_session, limitOrder.Security.Symbol, tempSide,
// (uint)limitOrder.OrderSize, (double)limitOrder.LimitPrice, 0,
// ORDER_TYPE.LIMIT, (int)tempTimeout, FEED_ID.ARCA, false,
// (uint)limitOrder.OrderSize);
BWOrder bwOrder = new BWOrder(_session, limitOrder.Security.Symbol, tempSide,
(uint)limitOrder.OrderSize, (double)limitOrder.LimitPrice, 0, OrderType.LIMIT, (int)tempTimeout,
FeedId.ARCA, false, (uint)limitOrder.OrderSize);
// Send Order to gateway
bwOrder.Send();
// Update Local IDs Map
_localToBlackwoodIdsMap.TryAdd(limitOrder.OrderID, bwOrder.ClientOrderID.ToString());
// Update BW-Orders Map
_bwOrders.TryAdd(bwOrder.ClientOrderID.ToString(), bwOrder);
if (Logger.IsDebugEnabled)
{
Logger.Debug("BW-Order ID: " + bwOrder.OrderID + " | BW-ClientOrder ID: " + bwOrder.ClientOrderID,
_type.FullName, "SendLimitOrder");
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SendLimitOrder");
}
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(o.symbol + " received sendorder request for: " + o.ToString());
if ((o.id != 0) && !isunique(o))
{
v(o.symbol + " dropping duplicate order: " + o.ToString());
return((long)MessageTypes.DUPLICATE_ORDERID);
}
if (o.id == 0)
{
o.id = _id.AssignId;
}
int orderCID = (int)o.id;
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.SIDE_BUY : ORDER_SIDE.SIDE_SELL);
BWVenue orderVenue = getVenueFromBW(o);
BWOrderType orderType = (o.isStop ? (o.isLimit ? BWOrderType.STOP_LIMIT : BWOrderType.STOP_MARKET) : (o.isLimit ? BWOrderType.LIMIT : BWOrderType.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
float orderPrice = (float)o.price;
float orderStopPrice = (float)o.stopp;
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
bwOrder.CustomID = orderCID;
bwOrder.SmartID = orderCID;
// subscribe to this order's events
bwOrder.BWOrderUpdateEvent += new BWOrder.BWOrderUpdateHandler(bwOrder_BWOrderUpdateEvent);
// add a BWStock object for this symbol to the list of stocks that have had orders placed
// so that it can be referred to for position management
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
_bwOrdIds.Add(o.id, 0);
v(o.symbol + " sent order: " + o.ToString());
return((long)MessageTypes.OK);
}
/// <summary>
/// Determine and Set trader Destinations for Market orders
/// </summary>
private bool DetermineAndSetTraderDestinationsMarket(BWOrder bwOrder, string opgVenue)
{
try
{
foreach (Pacmid.Messages.TraderDestination traderDestination in _session.GetTraderDestinations().Values)
{
if (bwOrder.Timeout == (int)TIMEOUT.TIMEOUT_OPG)
{
if (traderDestination.FeedID.FeedName == opgVenue &&
traderDestination.OrderType.BWOrderType == bwOrder.OrderType &&
(int)traderDestination.TIF.BWTIF == bwOrder.Timeout)
{
bwOrder.SetTraderDestination(traderDestination);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Venue on the Order is: " + bwOrder.FeedId2.ToString(), _type.FullName, "DetermineAndSetTraderDestinationsOPG");
Logger.Debug("Venue on the Trader Destination is: " + traderDestination.FeedID.ToString(), _type.FullName, "DetermineAndSetTraderDestinationsOPG");
}
return(true);
}
}
else if (traderDestination.FeedID.FeedName == "SMARTEDGEP" &&
traderDestination.OrderType.BWOrderType == bwOrder.OrderType &&
(int)traderDestination.TIF.BWTIF == bwOrder.Timeout)
{
bwOrder.SetTraderDestination(traderDestination);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Venue on the Order is: " + bwOrder.FeedId2.ToString(), _type.FullName, "DetermineAndSetTraderDestinationsOPG");
Logger.Debug("Venue on the Trader Destination is: " + traderDestination.FeedID.FeedName, _type.FullName, "DetermineAndSetTraderDestinationsOPG");
}
return(true);
}
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "DetermineAndSetTraderDestinationsOPG");
}
return(false);
}
void bwOrder_BWOrderUpdateEvent(object sender, BWOrderStatus BWOrderStatus)
{
BWOrder bwo = (BWOrder)sender;
long id = (long)bwo.CustomID;
Order o = new OrderImpl(bwo.Symbol, (int)bwo.Size);
o.id = (long)bwo.CustomID;
o.side = (bwo.OrderSide == ORDER_SIDE.SIDE_BUY) || (bwo.OrderSide == ORDER_SIDE.SIDE_COVER);
o.price = (decimal)bwo.LimitPrice;
o.stopp = (decimal)bwo.StopPrice;
o.Account = bwo.UserID.ToString();
o.ex = bwo.Venue.ToString();
switch (BWOrderStatus)
{
case BWOrderStatus.ACCEPTED:
{
tl.newOrder(o);
v(o.symbol + " sent order acknowledgement for: " + o.ToString());
if (_bwOrdIds.ContainsKey(o.id))
{
_bwOrdIds[o.id] = bwo.OrderID;
}
}
break;
case BWOrderStatus.CANCELED:
{
tl.newCancel(id);
v("sent cancel notification for order: " + id);
}
break;
case BWOrderStatus.REJECTED:
{
tl.newCancel(id);
debug("Rejected: " + bwo.CustomID.ToString() + bwo.RejectReason);
}
break;
}
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(o.symbol + " received sendorder request for: " + o.ToString());
if ((o.id != 0) && !isunique(o))
{
v(o.symbol + " dropping duplicate order: " + o.ToString());
return (long)MessageTypes.DUPLICATE_ORDERID;
}
if (o.id == 0)
o.id = _id.AssignId;
int orderCID = (int)o.id;
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.SIDE_BUY : ORDER_SIDE.SIDE_SELL);
BWVenue orderVenue = getVenueFromBW(o);
BWOrderType orderType = (o.isStop ? (o.isLimit ? BWOrderType.STOP_LIMIT : BWOrderType.STOP_MARKET) : (o.isLimit ? BWOrderType.LIMIT : BWOrderType.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
float orderPrice = (float)o.price;
float orderStopPrice = (float)o.stopp;
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
bwOrder.CustomID = orderCID;
bwOrder.SmartID = orderCID;
// subscribe to this order's events
bwOrder.BWOrderUpdateEvent += new BWOrder.BWOrderUpdateHandler(bwOrder_BWOrderUpdateEvent);
// add a BWStock object for this symbol to the list of stocks that have had orders placed
// so that it can be referred to for position management
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
_bwOrdIds.Add(o.id, 0);
v(o.symbol + " sent order: " + o.ToString());
return (long)MessageTypes.OK;
}
private void STATUSSERVERUPDATE(BWOrder bwo)
{
long _tlid = 0;
int _bwid = bwo.ClientOrderID;
int _smartID = bwo.SmartID;
// rectify ClientOrderID to SmartID
// check for ClientOrderID 'key'
if (_intlong.ContainsKey(_bwid))
{
_intlong.TryGetValue(_bwid, out _tlid);
if (_tlid != 0)
{
// update TL with BWid
_intlong.Remove(_bwid);
_intlong.Add(_smartID, _tlid);
_longint[_tlid] = _smartID;
//v(String.Format("RECTIFYING! Updating order map, TL:[{0}] with BW:[{1}]", _tlid, _smartID));
}
else
{
v(String.Format("Order for {0} put TL [{0}] to ZERO ", bwo.Symbol, _tlid ));
}
}
else
{
if (_intlong.ContainsKey(_smartID))
{
// v(String.Format("We have already updated BW and TL to reflect smartID [{0}]", _smartID));
}
else
{
long _cancelID = _id.AssignId;
_intlong.Add(_smartID, _cancelID);
_longint.Add(_cancelID, _smartID);
//orderz.Add(_cancelID, bwo);
debug(String.Format("+++Manual Order ack+++ SmartID:[{0}] getting tagged to *NEW* TL_ID: [{1}] and BWOrder: [{2}]", _smartID, _cancelID, bwo.ToString()));
}
}
}
private void STATUSMARKETUPDATE(BWOrder bwo)
{
long _tlid = 0;
int _bwid = bwo.SmartID;
if (_intlong.ContainsKey(_bwid))
{
// locate TL order via bwo.SmartID
_intlong.TryGetValue(_bwid, out _tlid);
}
else
{
v(String.Format("STATUS.MARKET.UPDATE.{0}: smartID [{1}] cannot be found...", bwo.Symbol, _bwid));
}
// create TL order
Order o = new OrderImpl(bwo.Symbol, Convert.ToInt32(bwo.Size));
o.id = _tlid;
o.side = (bwo.OrderSide == ORDER_SIDE.BUY) || (bwo.OrderSide == ORDER_SIDE.COVER);
o.price = System.Convert.ToDecimal(bwo.LimitPrice);
o.stopp = System.Convert.ToDecimal(bwo.StopPrice);
o.Account = _acct;
o.ex = bwo.FeedID.ToString();
// update new orders list
if (!sentNewOrders.Contains(o.id))
{
tl.newOrder(o);
sentNewOrders.Add(o.id);
string _direction = o.side ? "+++++" : "-----";
debug(String.Format("{0}>{1} sent for {2} @ ${3} TL[{4}]", _direction, o.symbol, o.size, o.price, o.id));
}
else
{
//v(String.Format("STATUS.MARKET ...sentNewOrders already contains TL_ID: [{0}]", o.id));
}
// update orderz map
if (!orderz.ContainsKey(o.id))
{
orderz.Add(o.id, bwo);
//v(String.Format("STATUS.MARKET ...adding to orderz: TL_ID: [{0}] with bwo: [{1}]", o.id, bwo.ToString()));
}
else
{
//v(String.Format("STATUS.MARKET ...orderz already contains TL_ID: [{0}] with bwo: [{1}]", o.id, bwo.ToString()));
}
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(String.Format("{0} received sendorder request for: {1}",o.symbol, o.ToString()));
if ((o.id != 0) && !isunique(o))
{
v(String.Format("{0} dropping duplicate order: {1}",o.symbol, o.ToString()));
return (long)MessageTypes.DUPLICATE_ORDERID;
}
if (o.id == 0)
{
o.id = _id.AssignId;
v(String.Format("No order id for {0}...assigning [{1}]", o.symbol, o.id));
}
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.BUY : ORDER_SIDE.SELL);
FEED_ID orderVenue = getVenueFromBW(o); // need to add pegged order types
ORDER_TYPE orderType = (o.isStop ? (o.isLimit ? ORDER_TYPE.STOP_LIMIT : ORDER_TYPE.STOP_MARKET) : (o.isLimit ? ORDER_TYPE.LIMIT : ORDER_TYPE.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
double orderPrice = System.Convert.ToDouble(o.price);
double orderStopPrice = System.Convert.ToDouble(o.stopp);
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
SENDORDERUPDATE(bwOrder, o);
// check market connection
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
debug(String.Format("{0} sent order @ ${1}", bwOrder.Symbol, orderPrice));
return (long)MessageTypes.OK;
}
private void SENDORDERUPDATE(BWOrder bwo, Order o)
{
long _tlid = o.id;
int _bwid = bwo.ClientOrderID;
// update order map
if (_tlid != 0)
{
// TL 2 broker
if (!_longint.ContainsKey(_tlid))
{
//v(String.Format("Mapping TL:[{0}] to BW:[{1}]", _tlid, _bwid));
_longint.Add(_tlid, _bwid);
}
else
{
// update the existing ID
v(String.Format("-----WARNING! Updating TL:[{0}] with BW:[{1}]", _tlid, _bwid));
_longint[_tlid] = _bwid;
}
// broker 2 TL
if (!_intlong.ContainsKey(_bwid))
{
//v(String.Format("Mapping BW:[{0}] to TL:[{1}]", _bwid, _tlid));
_intlong.Add(_bwid, _tlid);
}
else
{
// update the existing ID
v(String.Format("-----WARNING! Updating BW:[{0}] with TL:[{1}]", _bwid, _tlid));
_intlong[_bwid] = _tlid; // this actually shouldn't be called...!
}
}
else
{
v("WARNING! Incoming TL order does not have an id. It will be generated.");
}
}
void m_Session_OnOrderMessage(object sender, BWOrder bwo)
{
//v(String.Format("ORDER.MSG.{0}.{1}: for BW[{2}]", bwo.Status.ToString(), bwo.Symbol, bwo.SmartID));
switch (bwo.Status)
{
case STATUS.SERVER:
{
STATUSSERVERUPDATE(bwo);
}
break;
case STATUS.MARKET:
{
STATUSMARKETUPDATE(bwo);
}
break;
case STATUS.REJECT:
{
debug(String.Format("{0} order was rejected [{1}]",bwo.Symbol, bwo.SmartID));
}
break;
case STATUS.DONE:
{
if (bwo.SizeRemaining == 0)
{
v(String.Format("STATUS.DONE.{0}: for BW[{1}]",bwo.Symbol, bwo.SmartID));
}
}
break;
}
}
